Form 6-K

SECURITIES AND EXCHANGE COMMISSION

Report of Foreign Private Issuer

Pursuant to Rule 13a-16 or 15d-16

of the Securities Exchange Act of 1934

For the period ending September 30, 2004

CONVERIUM HOLDING AG
(Translation of registrant’s name into English)

Baarerstrasse 8
CH-6300 Zug
Switzerland
(Address of principal executive offices)

Indicate by check mark whether the registrant files or will file annual reports under cover Form 20-F or Form 40-F.

Form 20-F þ                     Form 40-F o

Indicate by check mark whether the registrant by furnishing the information contained in this Form is also thereby furnishing the information to the Commission pursuant to Rule 12g3-2(b) under the Securities Exchange Act of 1934.

Yes o                     No þ

If “Yes” is marked, indicate the file number assigned to the registrant in connection with Rule 12g3-2(b): 82-
Not Applicable

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Investor Information

Transfer Agent & Registrar
For American Depository Shares (ADS) traded on the New York Stock Exchange:

The Bank of New York
Corporate Trust Office
101 Barclay Street
New York, NY 10286
USA
Telephone +1 646 885 3300

Auditors
PricewaterhouseCoopers Ltd
Stampfenbachstrasse 73
P.O. Box 634
8035 Zurich
Switzerland
Telephone +41 1 630 1111
Fax +41 1 630 1115

Stock Trading

Converium Holding AG common shares are traded on the SWX Swiss Exchange under the trading symbol CHRN and as ADS (0.5 of a common share) on the New York Stock Exchange under the trading symbol CHR. In October 2004, following the capital increase and reduction of nominal value, approved by shareholders at the Extraordinary Shareholders Meeting held on September 28, 2004, the nominal value of Converium shares was reduced to CHF 5 from CHF 10.

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First listed

December 11, 2001 SWX Swiss Exchange and New York Stock Exchange

Investor Relations Contact
Zuzana Drozd
Head of Investor Relations
Phone +41 1 639 9120
E-mail zuzana.drozd@converium.com

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Contents

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Financial highlights

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The Converium share and ADS

Following Converium’s announcement on July 20, 2004, of a continued reserve deficiency and subsequent strengthening of its US casualty business loss reserves, the shares dropped by more than 50%. As a result, Standard & Poor’s (S&P) and A.M. Best both lowered financial strength ratings and issuer credit ratings. The net loss of US$ 660 million posted in the second quarter of 2004, and the announcement of additional reserve strengthening in the magnitude of US$ 50 — US$ 100 million, based on the results of an external reserve review, triggered further downgrading by Standard and Poor’s and A.M. Best (for additional information on ratings, see page 12).

However, the plans on how to deal with the pre-IPO issues by placing the US reinsurance operations into solvent run-off, and adjusting the remaining operations, were supported by the shareholders. The announced rights issue, raising US$ 420 million in new capital, was accepted by shareholders at the Extraordinary Shareholders Meeting held on September 28, 2004, and nearly 100% of the rights were exercised thereafter. The recapitalization will enable Converium to refocus its business plans, dispose of its legacy issues and rebuild credibility among clients, brokers and investors.

On October 15, 2004 S&P raised the long-term counterparty credit and insurer financial strength ratings for Converium AG to BBB+ and for Converium Holdings (North America) to BB+, confirming a stable outlook. This decision reflects Converium’s successful closing of the US$ 420 million rights issue and S&P expectation that Converium will maintain significant support from key clients and intermediaries.

In addition to the above, the insurance/reinsurance industry has suffered from a string of hurricanes that hit the Caribbean, parts of Florida and neighboring states as well as a series of typhoons in Asia in the third quarter of 2004, to which, however, Converium has had a comparably low exposure.

Additionally, in mid October, the insurance industry experienced an additional set back following the announcement of Eliot Spitzer, the New York State Attorney General, of an investigation into profit sharing agreements (PSA). Converium is neither a defendant in a civil lawsuit that New York State Attorney General Eliott Spitzer filed against a leading U.S. insurance broker nor has Converium been contacted by Eliot Spitzer.

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Major shareholders

In accordance with the notification requirements as set by the SWX Swiss Exchange, the following significant share holdings were notified to Converium Holding AG as of October 21, 2004:

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Management’s discussion and analysis
of financial condition and results of operations

The following discussion and analysis should be read in conjunction with our financial statements, including the related notes to those financial statements. This discussion contains forward-looking statements that involve risks and uncertainties and actual results may differ materially from the results described or implied by these forward-looking statements. See “Cautionary note regarding forward-looking statements”.

To the extent that our description of our business presents historical financial data, such financial data may not reflect our future operating performance. As a result of the ratings downgrades and the run-off of our North American business, we expect a significant decline in the amount of premiums as well as significant shifts in the geographic and line of business distributions of premiums that we write going forward as compared to our historical performance.

Overview

Converium is an international reinsurer whose business operations are recognized for innovation, professionalism and service. We believe we are accepted as a professional reinsurer for all major lines of non-life and life reinsurance in Europe, Asia-Pacific and Latin America. We actively seek to create innovative and efficient reinsurance solutions to complement our target clients’ business plans and needs. We focus on core underwriting skills and on developing close client relationships while honoring our and our clients’ relationships with intermediaries.

We offer a broad range of traditional non-life and life reinsurance products as well as innovative “non-traditional” solutions to help our target clients efficiently manage capital and risks. In non-life reinsurance, our lines of business are general third party liability, motor, personal accident (assumed from non-life insurers), property, agribusiness, aviation & space, credit & surety, engineering, marine & energy, professional liability & other special liability and workers’ compensation. In Life & Health Reinsurance, our lines of business are life & disability reinsurance, including quota share, surplus coverage and financing contracts, and accident & health.

We underwrite reinsurance both directly with ceding companies and through intermediaries, giving us the flexibility to pursue business in accordance with our ceding companies’ preferred reinsurance purchasing method. In 2003, 58% of our gross premiums written were written through intermediaries and 42% were written on a direct basis.

Our business is organized around three operating segments: Standard Property & Casualty Reinsurance, Specialty Lines and Life & Health Reinsurance, which are based principally on lines of business. The business segments are supported by global business support functions such as Actuarial & Risk Management and Underwriting Technical Services, and by global services such as Human Resources, Finance and IT. We believe that the organization of our business along lines of business and global business support and services functions provides a higher degree of transparency, accountability and management control.

Based on the developments of the second and third quarters of 2004, we have placed our U.S. operations into run-off. This involves the discontinuation of writing reinsurance from offices located in North America. However, we will offer reinsurance for attractive U.S. originated business to a limited number of select accounts. This business will be underwritten and managed through Converium AG, Zurich and its Bermuda branch. Converium Reinsurance (North America) Inc. (“CRNA”) has been placed into orderly run-off and we are seeking to commute CRNA’s liabilities wherever appropriate.

As a result of recent ratings downgrades, we were required to re-evaluate our global strategy to maximize shareholder value. As of July 1, 2004, Converium estimated its total estimated annual gross premiums written of in-force business from North American cedents to be in excess of US$ 1.4 billion. The decision to place CRNA into run-off and to transfer the underwriting of all North American non-life business to Zurich

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and Bermuda is expected to result in a reduction of gross premiums written of North American originated business of US$ 1.0 billion or more for underwriting year 2005, predominantly in Standard Property & Casualty Reinsurance and Specialty Lines. Based on most recent feedback from non-U.S. insurers, Converium currently expects its non-U.S. premium volume for underwriting year 2005 to be reduced by up to 40% compared to 2004. Accordingly, our preliminary estimates are that in underwriting year 2005, our total gross premiums written will be on the order of half the total for 2004.

Results of operations

During the first nine months of 2004, Converium has taken actions that resulted in measurable effects on its financial results. These actions included the net strengthening of prior years’ loss reserves (US$ 524.1 million year-to-date), the establishment of a full valuation allowance against its net deferred tax assets related to its North American operations (year-to-date expense of US$ 269.8 million) and an impairment of goodwill (year-to-date expense of US$ 94.0 million). See “Reserve strengthening and subsequent asset impairments”.

Net income for the three and nine months ended September 30, 2004 declined compared to the same periods in 2003. The decline is primarily due to the net strengthening of prior years’ loss reserves, and an increase in income tax expense due to the establishment of a full valuation allowance against the net deferred tax assets from our North American operations and related impairment of goodwill.

We reported a decrease in pre-tax operating results (defined as pre-tax income or loss excluding pre-tax net realized capital gains or losses, impairment of goodwill and restructuring costs) for the three and nine months ended September 30, 2004 as compared to the same periods in 2003. We use pre-tax operating results to measure performance, as this measure focuses on the underlying fundamentals of our operations without the influence of realized gains and losses from the sale of investments, or other non-operating items such as goodwill impairment and restructuring costs.

For the three months ended September 30, 2004, gross premiums written increased 2.3%, net premiums written increased 5.2% and net premiums earned increased 10.4%. For the nine months ended September 30, 2004, gross premiums written increased 6.9%, net premiums written increased 7.1% and net premiums earned increased 11.1%. See “Reinsurance results” and “Business Development”.

Our non-life combined ratio was 117.3% and 117.9% for the three and nine months ended September 30, 2004, respectively, as compared to 95.7% and 97.7% for the same periods of 2003. Reserve actions in 2004 increased the combined ratio by 10.7 points and 19.6 points for the three months and nine months ended September 30, 2004, respectively. Natural catastrophes in 2004 increased the combined ratio by 10.6 points and 3.6 points for the three months and nine months ended September 30, 2004, respectively.

We had net realized capital gains of US$ 20.3 million for the three months ended September 30, 2004 and net realized capital losses of US$ 1.3 million for the same period in 2003. The increase in net realized capital gains in the third quarter of 2004 was primarily due to the sale of equity securities to adjust our asset allocation to reduce investment portfolio risks.

We had net realized capital gains of US$ 42.0 million and US$ 6.2 million for the nine months ended September 30, 2004 and 2003, respectively. For the nine months ended September 30, 2004, US$ 3.6 million

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in impairment charges were recorded, compared to US$ 24.9 million for the same period of 2003. Included in the impairment charges for the nine months ended September 30, 2003 were US$ 22.1 million related to our equity securities portfolio, US$ 2.5 million related to our real estate portfolio and US$ 0.3 million related to our fixed maturities portfolio.

Other loss for the three months ended September 30, 2004 was US$ 31.7 million as compared to nil for the same period of 2003. For the nine months ended September 30, 2004 and 2003, other loss was US$ 28.8 million and US$ 4.4 million, respectively. The increase in other loss is primarily driven by the cost of US$ 20.0 million for a retroactive stop-loss retrocession cover from National Indemnity Company.

Reserve strengthening and subsequent asset impairments

Reserve Development

The following table presents the net adverse (favorable) reserve development for each of Converium’s non-life segments for the first three quarters of 2004 as well as for the corresponding periods of 2003:

Converium has experienced significant adverse development in its U.S. casualty reinsurance lines for the last several years. Since 2001, Converium has recorded a total of US$ 764.9 million of additional provisions on its non-life business (2001: US$ 123.6 million; 2002: US$ 148.5 million; 2003: US$ (31.3) million; and first nine months of 2004: US$ 524.1 million). In 2003, the positive development of US$ 31.3 million consisted of positive development on property lines (US$ 113.5 million) and aviation & space (US$ 102.2 million), offset by adverse development on workers’ compensation and professional liability & other special liability lines (US$ 120.3 million) and the motor and general third party liability lines (US$ 64.1 million). The reserve releases in 2003 were primarily from the 2002 underwriting year, while the U.S. business written in 1997 to 2001 mostly saw continued strengthening.

On April 29, 2004, Converium announced that first quarter reported losses from prior year U.S. casualty business had exceeded expected loss emergence and that the volatility of longer-tail risks was likely to persist for some time. This adverse loss reporting trend continued and accelerated in the second quarter of 2004. In response to the loss development observed in the first and second quarters of 2004, Converium initiated additional reviews of its US business from an integrated underwriting, claims and actuarial perspective in order to examine the adequacy of prior years’ provisions.

As a result of the in-depth reviews performed in the second quarter of 2004, Converium recorded a reserve strengthening charge of US$ 384.7 million, consisting of US$ 96.0 million in the Standard Property & Casualty Reinsurance segment and US$ 288.7 million in the Specialty Lines segment. This action was taken in response to the continued adverse loss emergence due to increased claims reporting activity from clients relating to U.S. casualty business written from 1997 to 2001. In the Standard Property & Casualty Reinsurance segment, the reserve strengthening primarily related to general third party liability lines in the United States (US$ 99.3 million). In the Specialty Lines segment, the reserve strengthening arose primarily from the professional liability & other special liability lines, in particular umbrella, professional liability and excess & surplus lines of business in the United States (US$ 265.2 million).

In the third quarter of 2004, in order to obtain an external review of our overall reserve position, we commissioned the actuarial consulting firm Tillinghast-Towers Perrin (“Tillinghast”) to perform an independent actuarial review of our non-life loss and allocated loss adjustment expense reserves as of June 30,

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2004 in respect of the Zurich and New York originated businesses. The results of this review and Converium’s internal analysis of third quarter development resulted in the additional net strengthening of prior years’ loss reserves of US$ 96.4 million in the third quarter of 2004. This development consisted of positive development of US$ (31.8) million in the Standard Property & Casualty Reinsurance segment offset by reserve strengthening of US$ 128.2 million in the Specialty Lines segment. In the Standard Property & Casualty Reinsurance segment, the positive reserve development primarily related to property (US$ (31.5) million) and miscellaneous liability (US$ (45.6) million) and was partially offset by reserve strengthening primarily related to motor liability outside the United States (US$ 45.8 million). In the Specialty Lines segment, the reserve strengthening arose primarily from worker’s compensation (US$ 26.9 million) and from the professional liability & other special liability lines, in particular umbrella, professional liability and excess & surplus lines of business in the United States (US$ 101.9 million).

Income Taxes

Converium’s consolidated income tax expense for the nine months ended September 30, 2004 reflects an additional expense of US$ 269.8 million related to the establishment of a full valuation allowance in the second quarter against the net deferred income tax balances previously carried at CRNA. CRNA is the legal entity where the majority of the reserve strengthening has occurred. Converium has not established any additional deferred tax asset related to the losses sustained by CRNA in the third quarter.

As required under SFAS 109, “Accounting for Income Taxes”, Converium is required to assess if it is more likely than not that some or all of the net deferred tax assets will not be realized. In making this assessment, reference is made to, among other things, historical losses. Therefore, a full valuation allowance was established against CRNA’s net deferred tax assets as of June 30, 2004 and has been amended accordingly as of September 30, 2004 to reflect the continued net loss position of CRNA. CRNA may offset future taxable income against the existing net operating losses carried forward, resulting in no U.S. federal tax expense on such income until such time as the net operating losses are utilized or expire.

For the three months ended September 30, 2004, Converium’s tax expense reflects an additional US$ 6.4 million of current income taxes for Converium’s operations in Australia as well as the normalized tax expense for Converium Rückversicherung (Deutschland) AG of approximately 40% based on its pre-tax income.

As of September 30, 2004, Converium’s valuation allowance was US$ 485.3 million, comprising net operating losses carried forward (US$ 320.9 million), loss reserve discount (US$ 120.9 million) and other temporary differences, net (US$ 43.5 million). As of December 31, 2003, the valuation allowance was US$ 47.9 million, all of which related to net operating losses carried forward.

As of September 30, 2004, Converium has total net operating losses carried forward of US$ 1,060.3 million available to offset future taxable income of certain branches and subsidiaries. The majority of these net operating losses carried forward relate to CRNA and expire in the years 2020 through 2024.

Converium will continue to monitor its tax position and reassess the need for a full valuation allowance on its net deferred tax assets on a periodic basis. Realization of the deferred tax asset related to net operating losses carried forward is dependent upon generating sufficient taxable income within specified future periods. The decision to place CRNA into run-off may limit the ability to generate taxable income to fully utilize its net operating loss carryforwards.

Goodwill and other intangible assets

SFAS 142, “Goodwill and Other Intangible Assets”, requires impairment testing of goodwill annually or more regularly if any event or change in business circumstances occurs which would indicate that the carrying value of goodwill may be impaired. Due to the reserving actions taken in the first six months of 2004 in respect of prior year development in the Specialty Lines segment’s business written in North America, and a subsequent decision to take a full valuation allowance against the net deferred tax asset at CRNA, a goodwill impairment test was conducted to assess the fair value of the reporting units as of June 30,

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2004. As a result of this assessment, an impairment charge of US$ 94.0 million was recorded in the second quarter of 2004, representing all goodwill carried at CRNA.

SFAS 142 also requires that useful lives for intangible assets other than goodwill be reassessed and the remaining amortization periods be adjusted accordingly. There were no intangible assets recorded on the CRNA balance sheet; therefore there is no requirement to perform impairment testing on intangible assets.

The remaining balance of goodwill and other intangible assets as of September 30, 2004 was US$ 77.5 million, which relates to Converium AG’s strategic investments in Global Aerospace Underwriting Managers Limited (“GAUM”) and MDU Services Ltd. Both of these companies are expected to perform in line with management’s expectations. Converium will be evaluating its investments in GAUM and MDU Services Ltd as part of its normal impairment testing procedures in the fourth quarter of 2004.

Ratings and regulatory issues

Following our second quarter 2004 results, both Standard & Poor’s Ratings Services and A.M. Best lowered our ratings. Such ratings are as follows.

On October 15, 2004, Standard & Poor’s revised both the long-term counterparty credit and insurer financial strength ratings of Converium AG to “BBB+” from “BBB” and removed it from “CreditWatch”. This decision reflects Converium’s successful closing of its share issue and Standard & Poor’s expectation that Converium will maintain significant support from key clients and intermediaries.

On October 22, 2004, Standard & Poor’s raised its long-term insurer financial strength ratings on Converium Rückversicherung (Deutschland) AG and Converium Insurance (UK) Ltd. to “BBB+” from “BBB-”. At the same time, Standard & Poor’s withdrew its “BBB-” long-term counterparty credit ratings on both entities at the request of Converium. All ratings were removed from CreditWatch, and the outlook on both entities is stable. The raising of the insurer financial strength ratings reflects that policyholder obligations of Converium Rückversicherung (Deutschland) AG and Converium Insurance (UK) Ltd. are now guaranteed by Converium AG and therefore reflect the ratings of Converium AG.

On September 10, 2004, Standard & Poor’s lowered its long-term counterparty credit and insurer financial strength ratings of Converium Reinsurance (North America) Inc. (“CRNA”) to “R”.

On September 29, 2004, A.M. Best affirmed the financial strength ratings of “B++” and upgraded the issuer credit rating to “bbb+” from “bbb” of Converium AG, Converium Rückversicherung (Deutschland) AG and Converium Insurance (UK) Ltd. These ratings have been removed from under review and assigned a stable outlook. At the same time, A.M. Best downgraded the financial strength rating to “B” from “B++” and the issuer credit rating to “bb” from “bbb” of Converium Insurance (North America) Inc. A.M. Best downgraded the financial strength rating to “B-” from “A-” and the issuer credit rating to “bb-” from “a-” of CRNA following our announcement of our intention to place CRNA into run-off.

On October 14, 2004, A.M Best confirmed that the “B++” financial strength rating and “bbb+” issuer credit rating of Converium AG and all debt ratings remain unchanged.

We have reviewed the contracts with our cedents for implications of a potential ratings downgrade or a decrease in statutory surplus levels. The contracts that contain a ratings or statutory surplus level provision represent approximately one-third and one-fifth of our total ultimate treaty premium, respectively. This review has indicated that the significant majority of those contracts that contain termination provisions relating to either ratings or statutory surplus declines have been triggered and therefore the counterparties have the right to terminate such contracts. Through September 30, 2004, we have not had a material reduction in net premiums resulting from clients exercising their rights of special termination under various reinsurance contracts.

Reinsurance results

Net premiums written increased in the three and nine months ended September 30, 2004 over the same

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periods in 2003, largely due to market conditions and new client relationships in certain key markets. For the nine months ended September 30, 2004, Standard Property & Casualty Reinsurance increased by US$ 70.1 million or 5.5%, Specialty Lines increased by US$ 68.3 million or 4.9%, and Life & Health Reinsurance grew by US$ 71.5 million or 25.0%. We retained 92.4% and 92.2% of our gross premiums written for the nine months ended September 30, 2004 and 2003, respectively.

For the nine months ended September 30, 2004, based on stable exchange rates, gross premiums written increased by 4.9%, net premiums written increased by 5.1%, and net premiums earned increased by 5.1%.

Net premiums earned for the three and nine months ended September 30, 2004 increased at a higher rate compared to the corresponding net premiums written due to a large proportion of business written on January 1 in the German and Austrian market, that is earned throughout the year.

See “Business Development” for further information by line of business. Also see “Overview” for future prospects regarding premium activity.

Our losses, loss adjustment expenses and life benefits incurred and non-life loss ratio increased for the three and nine months ended September 30, 2004 as compared to the same periods of 2003, mainly due to reserve development as described above. In addition, the impact of the hurricanes and typhoons in the third quarter of 2004 added US$ 95.8 million of incurred losses, or 10.6 points and 3.6 points, to the three and nine month 2004 loss ratios, respectively.

In the nine months ended September 30, 2003, there was reserve strengthening for the Guaranteed Minimum Death Benefit (GMDB) business in the Life & Health Reinsurance segment, which negatively impacted our results by US$ 22.6 million, while there was no action required in 2004.

Our net reserves for the September 11th terrorist attacks are capped at US$ 289.2 million by Zurich Financial Services.

Underwriting acquisition costs primarily relate to commissions on treaty and individual risk business. Our underwriting acquisition costs increased for the three months and nine months ended September 30, 2004 as compared to the same periods in 2003 due to growth in earned premiums. Despite this growth, the underwriting expense ratio was relatively stable in 2004 compared to 2003.

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Operating and administration expenses increased for the three months and nine months ended September 30, 2004 over the same periods in 2003 due to increased expenditures to support the growth in operations, and the weakening of the US dollar. As a result of our premium growth and strong expense management, the non-life administration expense ratio remained stable for the nine months ended September 30, 2004 as compared to the same period in 2003.

Investment results

Investment results are an important part of our overall profitability. Our net investment income increased for the three and nine months ended September 30, 2004 as compared to the same periods of 2003. The increase largely resulted from growth in invested assets over 2003, particularly in our fixed maturities portfolio, as well as income received from the transition of a fixed income bond fund to a direct fixed income investment portfolio. The decline in income from the Funds Withheld Asset is due to the declining asset balance. See “Funds Withheld Asset”.

Our average annualized net investment income yield (pre-tax) was 3.9% and 3.8% for the three and nine months ended September 30, 2004, respectively, as compared to 3.0% and 3.4% for the same periods of 2003 reflecting increasing interest rates in 2004.

Our average annualized total investment income yield (pre-tax) was 4.9% and 4.5% for the three and nine months ended September 30, 2004, respectively, as compared to 2.9% and 3.5% for the same periods of 2003. The total investment income yields were positively impacted by the increase in realized gains in 2004 resulting from the sale of equity securities to adjust our asset allocation to reduce investment portfolio risks as well as the decline in impairment charges compared to 2003.

Our average annualized total investment return (pre-tax) was 6.4% and 3.7% for the three and nine months ended September 30, 2004 as compared to 3.5% and 5.7% for the same periods of 2003. The return for the three months ended September 30, 2004 was driven by the realized gains on equities and slightly decreasing interest rates since June 30, 2004. The return for the nine months ended September 30, 2004 reflects the impact of the sale of equities resulting in realized capital gains of US$ 42.0 million, whereas for the nine months ended September 30, 2003, we had a change in unrealized capital gains of US$ 115.9 million as a

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result of the strong recovery of the stock markets.

Other

Other loss for the three months ended September 30, 2004 was US$ 31.7 million as compared to nil for the same period of 2003. For the nine months ended September 30, 2004 and 2003, other loss was US$ 28.8 million and US$ 4.4 million, respectively. The increase in other loss is primarily driven by the cost of US$ 20.0 million for a retroactive stop-loss retrocession cover from National Indemnity Company. Other loss components also include interest income on reinsurance deposits, interest expense on funds held under reinsurance contracts, fee income, write-off of uncollectible balances and results from private equity funds.

Interest expense remained relatively stable for the three and nine months ended September 30, 2004 as compared to the same periods in 2003.

Impairment of goodwill was US$ 94.0 million for the nine months ended September 30, 2004. See “Reserve strengthening and subsequent asset impairments”.

In the third quarter of 2004, due to the announced run-off of our CRNA operations, we notified certain of our employees that their employment would be terminated between two to six months after such notification. For the quarter ended September 30, 2004, US$ 3.4 million has been expensed based on the terms of these severance plans. We expect additional restructuring costs of up to US$ 16.6 million relating to the downsizing of our North American operations and a reduced cost base going forward.

Our consolidated income tax expense for the three and nine months ended September 30, 2004 reflects an expense of US$ 269.8 million, related to the establishment of a full valuation allowance against the net deferred income tax balances carried at CRNA. See “Reserve strengthening and subsequent asset impairments”.

Business Development

Converium’s business is organized around three operating segments: Standard Property & Casualty Reinsurance, Specialty Lines and Life & Health Reinsurance, which are based principally on global lines of business. In addition to the three segments’ financial results, the Corporate Center carries certain administration expenses, such as costs of the Board of Directors, the Global Executive Committee, and other global functions.

Converium’s financial results for the first nine months of 2004 have been considerably affected by the recording of additional net strengthening of prior years’ loss reserves (US$ 524.1 million). The following table compares Converium’s segment results for the three months and nine months ended September 30, 2004 and 2003 and reconciles segment results to (loss) income before taxes:

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Standard Property & Casualty Reinsurance

For the three and nine months ended September 30, 2004, Standard Property & Casualty Reinsurance reported a decrease in segment income of US$ 31.9 million and US$ 132.8 million, respectively as compared to the same periods in 2003. The decrease in 2004 was primarily attributable to the following:

Hurricanes in the US and Caribbean and the Japanese typhoons impacted results negatively by US$ 95.8 million and added 22.7 points and 7.5 points to the three and nine month loss ratios, respectively.

For the nine months ended September 30, 2004, gross premiums written increased 7.2% to US$ 1,483.5 million, net premiums written increased 5.5% to US$ 1,349.7 million and net premiums earned increased 6.0% to US$ 1,282.3 million.

For the nine months ended September 30, 2004, net premiums written growth in the Standard Property & Casualty Reinsurance segment by line of business included:

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These increases were offset by a decrease in net written premiums within the Property line of business. The Property line of business decreased by 8.3% or US$ 49.3 million to US$ 547.1 million, primarily driven by the softening of property rates which lead to the decision to non-renew several large contracts in North America, and reduced premium writings with cedents in Asia and Latin America.

Specialty Lines

Specialty Lines reported a segment loss for the three and nine months ended September 30, 2004 as compared to segment income for the same periods in 2003. The segment loss in 2004 was primarily attributable to the following:

For the nine months ended September 30, 2004, gross premiums written increased 2.9% to US$ 1,577.3 million, net premiums written increased 4.9% to US$ 1,473.9 million and net premiums earned increased 13.3% to US$ 1,395.2 million.

For the nine months ended September 30, 2004, the Specialty Lines segment included net premiums written growth within:

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These increases were offset by a decrease of US$ 20.1 million in net premiums written in the workers’ compensation line of business. This mainly resulted from lower premium accruals in 2004 related to the 2003 underwriting year based on revised estimated premiums received from a large cedent who reports on a lag, as well as a decrease in run-off premiums from older underwriting years. In addition, there was a reduction of participation on premiums written through the involuntary market with one of our ceding companies.

Life & Health Reinsurance

Life & Health Reinsurance reported segment income for the three months ended September 30, 2004 as compared to a segment loss for the same period in 2003. Technical result for the three months ended September 30, 2004 was US$ 5.2 million compared to minus US$ 12.6 million for the same period in 2003. Technical result is defined as net premiums earned minus losses, loss adjustment expenses and life benefits minus underwriting acquisition costs plus technical interest.

Life & Health Reinsurance reported segment income for the nine months ended September 30, 2004 as compared to a segment loss for the same period in 2003. Technical result increased from minus US$ 11.1 million for the nine months ended September 30, 2003 to US$ 13.8 million for the same period in 2004. The increase in 2004 was primarily attributable to:

For the nine months ended September 30, 2004, gross premiums written increased 25.6% to US$ 383.7 million, net premiums written increased 25.0% to US$ 357.6 million and net premiums earned increased 24.0% to US$ 339.3 million.

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Corporate Center

The Corporate Center carries certain administration expenses, such as costs of the Board of Directors, the Global Executive Committee, and other global functions. The Corporate Center costs were relatively stable in 2004 as compared to 2003.

Financial Condition and Liquidity

Invested Assets

As of September 30, 2004, total invested assets (excluding cash and cash equivalents) were US$ 7.7 billion compared to US$ 7.5 billion as of December 31, 2003, an increase of US$ 137.8 million, or 1.8%. This increase is mainly due to the deployment of a substantial portion of our cash and cash equivalents balance, as well as operating cash flow, into fixed maturity securities during 2004, offset by a reduction in unrealized capital gains and commutations of certain of our North American treaties as well as amounts paid related to the retroactive stop-loss retrocession cover from National Indemnity Company.

Our asset mix, including cash and cash equivalents, consisted of the following at September 30, 2004 and December 31, 2003:

During the third quarter of 2004, we adjusted our asset allocation and lowered our exposure to investments in equity securities by nearly US$ 500.0 million. This reduced our equity exposure to below 4% of total invested assets from approximately 10% as of June 30, 2004. These sales generated net realized capital gains of US$ 22.0 million (pre-tax), which were recorded in the third quarter of 2004. The proceeds of this divestiture were invested in highly liquid and highly rated fixed income instruments.

In addition, in order to protect shareholders’ equity from potential future interest rate increases, we have lowered the modified duration of our fixed income portfolio from 3.8 as of June 30, 2004 to 3.7 as of September 30, 2004. Sales relating to this reduction in duration generated net realized capital losses of less than US$ 2.0 million. Fixed income securities with a lower duration generally exhibit lower interest rate sensitivity than longer-term bonds. Furthermore, since June 30, 2004, we have increased our held-to-maturity portfolio by US$ 266.2 million.

Our investments are managed mainly by external investment managers and their performance is measured against benchmarks. The table below presents our investments in the major managed portfolios, as well as the applicable benchmark and benchmark return for the third quarter of 2004. The balances at September 30, 2004 are shown in original currencies.

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Fixed Maturities

As of September 30, 2004, our fixed maturities portfolio, excluding the Funds Withheld Asset (described more fully below), had a carrying value of US$ 5.6 billion and represented 70.0% of our total investment portfolio including cash and cash equivalents (86.5% including the Funds Withheld Asset). This represents an increase in carrying value of US$ 647.8 million, or 13.1%, from December 31, 2003. This increase is mainly due to the sale of approximately US$ 500.0 million in equity securities, which were subsequently reinvested into fixed maturities, in order to reduce our exposure to equity securities. In addition the increase was due to the deployment of operating cash flow into fixed maturity securities during 2004.

We invest in government, agency and corporate fixed income securities of issuers from around the world that meet our liquidity and credit standards. We place an emphasis on investing in listed fixed income securities that we believe to be liquid.

The table below presents the composition of our fixed income securities portfolio, excluding short-term investments, based on carrying value by scheduled maturity.

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Most of our fixed income securities are rated by Standard & Poor’s, Moody’s or similar rating agencies. As of September 30, 2004, approximately 97.9% of our fixed income securities portfolio was invested in securities rated A or better by these agencies and approximately 82.7% was invested in AAA/Aaa rated securities.

The table below presents the composition of our fixed income securities portfolio by rating, using the lower of these ratings for any security where there is a split rating.

Equity Securities

As of September 30, 2004, our equity securities portfolio had a carrying value of US$ 372.2 million (including PSP Swiss Property AG). This represents a decrease in carrying value of US$ 468.0 million, or 55.7%, from December 31, 2003. The decrease was primarily the result of the sale of a substantial portion of our equity securities portfolio in order to lower our equity exposure and related capital charges. Equity securities were approximately 3.6% and 9.7% of our total investment portfolio as of September 30, 2004 and December 31, 2003, respectively, including cash and cash equivalents and excluding PSP Swiss Property AG.

Substantially our entire equity portfolio consists of listed securities held directly or through funds. All the equity portfolios are in developed markets. As experienced in recent years, the equity markets around the world can produce highly volatile and significantly varied results due to local and worldwide economic and political conditions.

Funds Withheld Asset

The transfer of certain historical reinsurance business to Converium was effected as of July 1, 2001 by means of the Quota Share Retrocession Agreement with Zurich Financial Services. In addition, on that date, the Funds Withheld Asset was established. Its initial balance was set to match the net balance of the liabilities, less the premium receivables (including outstanding collectible balances and reinsurance deposits) on the business to which the Quota Share Retrocession Agreement applies. As of September 30, 2004, the Funds Withheld Asset was US$ 1,314.5 million. The decrease of US$ 216.1 million over December 31, 2003 was substantially due to paid claims.

The table below shows the distribution of the Funds Withheld Asset by currency as of September 30, 2004 and December 31, 2003.

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In general, the Funds Withheld Asset is reduced by paid claims, profit commissions, amounts paid to maintain the retrocession agreements and other amounts paid on the business subject to the Quota Share Retrocession Agreement, and is increased by premiums (less premium refunds), salvage and subrogation, recoveries under retrocession agreements, profit commissions and other amounts received for the business subject to the Quota Share Retrocession Agreement. The balance of the Funds Withheld Asset will decrease over time. However, business historically written on the Zurich Insurance Company (“ZIC”) and Zurich International Bermuda Ltd (“ZIB”) balance sheets is being renewed and written on the Converium balance sheet. As a result, we will generate operating cash flow from the new and renewal business written by Converium, which will be invested in accordance with our approved investment guidelines. We do not expect the Funds Withheld Asset to have a material impact on our liquidity, as we will not be required to access our own liquidity sources for claims under the Quota Share Retrocession Agreement.

Short-term Investments

Our short-term investment portfolio includes investments in fixed-term deposits and fiduciary investments. These investments generally have maturities of between three months and one year. As of September 30, 2004, we had short-term investments with a carrying value of US$ 144.0 million, representing 1.8% of our total investment portfolio, including cash and cash equivalents. Short-term investments at December 31, 2003 were US$ 55.8 million or 0.7% of our total investment portfolio, including cash and cash equivalents.

Real Estate and Other Investments

At September 30, 2004, we had real estate held for investment of US$ 127.6 million, consisting primarily of investments in residential and commercial rental properties located in Switzerland. Our direct real estate portfolio represented 1.6% of our total investment portfolio, including cash and cash equivalents.

In addition to these properties, Converium owns a 4.9% participation in PSP Swiss Property AG (an indirect real estate investment, included in equity securities) with a market value of US$ 87.3 million as of September 30, 2004. The ownership in PSP Swiss Property AG decreased from 7.4% as of December 31, 2003, due to the merger of PSP Swiss Property AG with REG Real Estate Group, another Swiss real estate company, on April 5, 2004.

During 2004, we invested approximately US$ 100.0 million in funds of hedge funds. This investment is included under the caption “Other investments” in the balance sheet.

Premiums Receivable

We had premiums receivable of US$ 2.2 billion at September 30, 2004 compared to US$ 2.0 billion at December 31, 2003, an increase of US$ 203.3 million, or 10.1%. This increase is due to premiums written in 2004. Premiums receivable include those currently due, as well as deferred premiums receivable, which is comprised primarily of accruals on premium balances which have not yet been reported and which are not contractually due to be paid until some time in the future. Current premiums receivable represented 10.0% and 9.1% of total premiums receivable at September 30, 2004 and December 31, 2003, respectively, and accrued premiums receivable represented 90.0% and 90.9%, respectively.

Reinsurance Assets

Retrocessional reinsurance arrangements generally do not relieve Converium from its direct obligations to its reinsureds. Thus, a credit exposure exists with respect to reinsurance ceded to the extent that any

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retrocessionaire is unable or unwilling to meet the obligations assumed under the retrocessional agreements. At September 30, 2004, Converium held US$ 554.7 million in collateral as security under related retrocessional agreements in the form of deposits, securities and/or letters of credit.

As of September 30, 2004, we had reinsurance recoverables from retrocessionaires of approximately US$ 1.6 billion on paid and unpaid losses and loss adjustment expenses, unearned premium reserves and future life benefits balances, compared to US$ 1.7 billion at December 31, 2003. Recoverables from retrocessionaires relating to contracts in arbitration were 5.8% of equity at September 30, 2004. Allowances of US$ 53.8 million have been recorded for estimated uncollectible receivables and reinsurance recoverables at September 30, 2004, compared to US$ 35.4 million at December 31, 2003.

Deferred Income Taxes

As of September 30, 2004, deferred income tax assets were US$ 90.9 million as compared to US$ 345.1 million at December 31, 2003, a decrease of US$ 254.2 million. The decrease is due to the establishment of a full valuation allowance against CRNA’s net deferred income tax assets as of June 30, 2004. See “Reserve strengthening and subsequent asset impairments”. Converium has not established any additional deferred tax asset related to the losses sustained by CRNA in the third quarter of 2004. As of September 30, 2004, deferred income tax liabilities were US$ 137.8 million as compared to US$ 158.3 million at December 31, 2003.

Loss and Loss Adjustment Expense Reserves

We had gross loss and loss adjustment expense (“LAE”) reserves of US$ 8.8 billion at September 30, 2004, compared to US$ 7.8 billion at December 31, 2003, an increase of US$ 966.2 million, or 12.3%. The increase in our reserve position is mainly attributable to 2004 incurred losses, including US$ 524.1 million of net strengthening of prior years’ loss reserves during the first nine months of 2004, offset by US$ 268.6 million in reserves commuted during the third quarter of 2004. Loss and loss adjustment expense reserves, net of reinsurance recoverables for paid and unpaid losses were US$ 7.5 billion at September 30, 2004, compared to US$ 6.5 billion at December 31, 2003, an increase of US$ 1.0 billion, or 16.2%. Gross reserves for future life benefits were US$ 518.8 million at September 30, 2004 compared to US$ 483.5 million at December 31, 2003.

Shareholders’ Equity

As of September 30, 2004, we had total shareholders’ equity of US$ 1,275.1 million (US$ 31.99 per share) compared to US$ 2,083.3 million (US$ 52.38 per share) as of December 31, 2003, a decrease of US$ 808.2 million (US$ 20.39 per share). This decrease is mainly comprised of the 2004 net loss of US$ 710.6 million, a reduction in net unrealized gains on investments, net of taxes of US$ 51.0 million, and US$ 47.8 million of dividends to shareholders paid in the second quarter of 2004.

In October 2004, we completed our Rights Offering whereby an additional 106,683,245 shares were issued, generating additional shareholders’ equity of US$ 409.2 million, net of estimated underwriting issuance costs of approximately US$ 19.6 million. After giving effect to the Rights Offering, shareholders’ equity would be US$ 1,684.3 million and book value per share would be US$ 11.52 on a pro forma basis at September 30, 2004.

Cash Flows and Liquidity Sources

Cash and cash equivalents increased by US$ 17.8 million to US$ 298.6 million as of September 30, 2004 from US$ 280.8 million as of December 31, 2003. Our cash position increased due to the sale of equity securities and holding of cash balance in anticipation of pending cash outflows in connection with commutations.

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Our cash flows from operating activities result principally from premiums, collections on losses recoverable and investment income, net of paid losses, acquisition costs and underwriting expenses. Our cash provided by operating activities was US$ 421.4 million for the nine months ended September 30, 2004 compared to US$ 904.0 million for the nine months ended September 30, 2003, a decrease of US$ 482.6 million, or 53.4%. This decrease was due to the slowing down of new business growth as a result of active cycle management and increased claims payment activity, particularly related to the commutations that have taken place during the third quarter of 2004 as well as amounts paid related to the retroactive stop-loss retrocession cover from National Indemnity Company.

The charges in the second and third quarters of 2004 for reserve strengthening, deferred income taxes, and impairment of goodwill do not have a current impact on cash provided by operating activities. However, future periods may be affected by higher claim payments on those reserves and the run-off of the North American operations, offset by lower tax payments (due to net operating loss carry forwards).

Critical Accounting Policies

Our consolidated financial statements include amounts that, either by their nature or due to requirements of accounting principles generally accepted in the United States (US GAAP), are determined using best estimates and assumptions. While we believe that the amounts included in our consolidated financial statements reflect our best judgment, actual amounts could ultimately differ materially from those currently presented in our consolidated financial statements. We believe the items that require the most subjective and complex estimates are:

More information regarding the estimates and assumptions required to arrive at the amounts recorded is included in the section entitled “Critical Accounting Policies” in our Management’s Discussion and Analysis of Financial Condition and Results of Operations in our Annual Report 2003.

Cautionary note regarding forward-looking statements

This document contains certain forward-looking statements. Forward-looking statements are necessarily based on estimates and assumptions that are inherently subject to significant business, economic and competitive uncertainties and contingencies, many of which, with respect to future business decisions, are subject to change. These uncertainties and contingencies can affect actual results and could cause actual results to differ materially from those expressed in any forward-looking statements.

In particular, statements using words such as “expect,” “anticipate,” “intend,” “believe” or words of similar import generally involve forward-looking statements. The specific forward-looking statements cover, among other matters, the amount of capital our businesses require and impact of our capital improvement measures, including the run-off of our North American business, our reserve position, the reinsurance market, the outcome of insurance regulatory reviews, our operating results, the rating environment and the prospects for improving results. In light of the risks and uncertainties inherent in all future projections, the inclusion of forward-looking statements should not be considered a representation by us that our objectives or plans will be achieved. Numerous factors could cause our actual results to differ materially from those in the forward-looking statements, including the following:

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The factors listed above should not be construed as exhaustive. We cannot assess the impact of each factor on our business or the extent to which any factor, or combination of factors, may cause actual results to differ materially from those described in any forward-looking statements. Except as otherwise required by law, we undertake no obligation to publicly release any future revisions we may make to forward-looking statements to reflect subsequent events or circumstances or to reflect the occurrence of unanticipated events.

The company has made it a policy not to provide any quarterly or annual earnings guidance and it will not update any past outlook for full year earnings. It will, however, provide investors with perspective on its value drivers, its strategic initiatives and those factors critical to understanding its business and operating environment.

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Converium Holding AG and Subsidiaries

Interim statements of (loss) income (unaudited)

The notes to the interim financial statements are an integral part of these financial statements.

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Converium Holding AG and Subsidiaries

Interim balance sheets

The notes to the interim financial statements are an integral part of these financial statements.

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Converium Holding AG and Subsidiaries

Interim statements of cash flows (unaudited)