DCF Studio

    SREN.SW · EBS · Financial Services

    Swiss Re AG

    Also onConsensus Drift

    Implied value per share

    CHF 741.89

    Market price

    CHF 138.75

    Implied upside

    +434.7%

    5-year forecast · Perpetuity growth terminal value · Mid-year discounting · Base case · USD model at 0.8218

    Wrong toolThis is a financial. Banks and insurers report no meaningful operating income, and capex and working capital do not mean what a free-cashflow model assumes, so a DCF will misprice it. The model below runs on best-effort numbers - treat it as an illustration, not a valuation.
    AdjustedReports in USD, trades in CHF. Modelled in USD, converted at the end.
    AdjustedReported capital expenditure averages just 0.00% of revenue, which is too low to be the company's real investment - property trusts and similar structures invest through lines that are not reported as capex. Capex has been set to 1.00% of revenue so the forecast is not handed free growth. Override it if the reported figure is right.
    AdjustedCapital expenditure runs at 1.0% of revenue against depreciation of -0.2%. A perpetuity has to be a steady state, so the terminal year uses maintenance capex at depreciation and then charges the reinvestment terminal growth requires (g/ROIC of NOPAT). The bridge is shown under Terminal Value.
    NoteRisk-free rate is an assumption: CHF assumption - no free live source available for this market.

    No usable EV/EBITDA (EBITDA is not positive), so the exit multiple falls back to 8x.

    Value Per Share

    Perpetuity growth
    CHF 741.89+434.7%
    Exit multiple
    CHF 336.05+142.2%
    Market price
    CHF 138.75

    Same forecast, different terminal treatment. Percentages vs price.

    Forecast Cashflows

    Reporting currency (USD). Outflows negative.

    0bn1bn3bnFY26FY27FY28FY29FY30
    Nominal FCFFDiscounted to todayUSD
    LineFY26FY27FY28FY29FY30CAGR
    RevenueUSD 46.6bnUSD 46.8bnUSD 46.9bnUSD 47.1bnUSD 47.2bn+0.3%
    EBITUSD 3.8bnUSD 3.8bnUSD 3.8bnUSD 3.8bnUSD 3.8bn+0.3%
    NOPATUSD 3.2bnUSD 3.2bnUSD 3.2bnUSD 3.2bnUSD 3.2bn+0.3%
    Add depreciation & amortisationUSD -114.2mUSD -114.5mUSD -114.9mUSD -115.3mUSD -115.6m-0.3%
    Less capital expenditureUSD -466.4mUSD -467.9mUSD -469.4mUSD -471.0mUSD -472.5m+0.3%
    Less increase in working capitalUSD 24.3mUSD 24.4mUSD 24.4mUSD 24.5mUSD 24.6m-0.3%
    Free cashflow to firmUSD 2.6bnUSD 2.7bnUSD 2.7bnUSD 2.7bnUSD 2.7bn+0.3%
    Discount factor0.98160.94580.91130.87810.8461-
    Present valueUSD 2.6bnUSD 2.5bnUSD 2.4bnUSD 2.3bnUSD 2.3bn-3.3%
    Present Value Of The ForecastUSD 12.2bn

    Discount Rate

    Source shown per component. All overridable above.

    Risk-free rate0.50%CHF assumption - no free live source available for this market (assumption)
    Equity risk premium5.50%Market assumption
    Beta0.564Reported 0.349, pulled toward 1.0 (Blume)
    Cost of equity3.60%Risk-free + beta x equity risk premium
    Cost of debt5.48%Interest expense / average total debt
    Market capitalisationUSD 40.9bn82.7% of capital
    Total debtUSD 8.5bn17.3% of capital, book value as a proxy
    Tax rate15.0%Effective, capped at statutory
    WACC3.78%E/V x Re + D/V x Rd x (1 - t)

    Terminal Value

    Perpetuity growth is intrinsic. The exit multiple defaults to the company's current EV/EBITDA, so it answers a different question - what the shares are worth if today's rating holds and EBITDA grows as forecast.

    Perpetuity growth at 2.50%

    Value per shareUSD 902.75

    93% of EV

    Forecast FCFF, final year
    USD 2.7bn
    Capex at depreciation, working capital in reinvestment
    USD 3.2bn
    Less reinvestment at g/ROIC (22.1% of NOPAT)
    USD -718.2m
    Capitalised
    USD 2.5bn
    ROIC (reported)
    11.3%
    Terminal value, undiscounted
    USD 201.7bn
    Terminal value, discounted
    USD 170.7bn
    Enterprise value
    USD 182.9bn
    Less net debt
    USD -83.4bn
    Equity value
    USD 266.2bn

    Exit at 8.0x EBITDA

    Value per shareUSD 408.91

    67% of EV

    Terminal value, undiscounted
    USD 29.6bn
    Terminal value, discounted
    USD 25.1bn
    Enterprise value
    USD 37.2bn
    Less net debt
    USD -83.4bn
    Equity value
    USD 120.6bn

    Spread between methods: 75%.

    Sensitivity

    Value per share (USD) by discount rate and long-run growth.

    Long-run growth
    Discount rate1.50%2.00%2.50%3.00%3.50%
    1.78%3477.57————
    2.78%991.651366.323059.68——
    3.78%682.75762.03902.731222.412667.08
    4.78%562.00591.86634.61701.11819.10
    5.78%497.64511.62529.74554.24589.30

    Outlined: this model. Green text: above today's price of 168.83. Shading: distance from this model's own value.

    Priced In

    What each input would have to be to justify the current price, one at a time.

    InputModelImpliedGap
    EBIT margin8.1%-17.1%-25.1pp
    Download as Excel

    Live formulas, not pasted numbers - edit a driver and the workbook reprices.

    Yahoo Finance and RBA data. General information, not advice. Methodology.