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 March 31, 2004

CONVERIUM HOLDING AG

Baarerstrasse 8
CH-6300 Zug
Switzerland

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

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.

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

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 Stock 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.

Investor Relations Contact

Zuzana Drozd
Head of Investor Relations
Telephone: +41 1 639 9120
E-mail: zuzana.drozd@converium

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Table of Contents

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Financial highlights

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The Converium share

     In the first quarter of 2004, the Converium share and the ADS both underperformed versus the European and the U.S. Insurance Indices.

Converium Share versus European Insurance Index

Converium ADS versus US Insurance Index

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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.”

Results of operations

We reported net income of US$ 65.7 million for the three months ended March 31, 2004, an improvement of US$ 40.2 million as compared to net income of US$ 25.5 million for the same period of 2003. The increase is due to an improved non-life combined ratio, improved Life & Health Reinsurance segment results and stronger investment results.

We reported pre-tax operating income (defined as pre-tax income excluding pre-tax net realized capital gains or losses) of US$ 77.2 million for the three months ended March 31, 2004, an improvement of US$ 50.8 million as compared to pre-tax operating income of US$ 26.4 million for the same period of 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. The improvement in pre-tax operating income was due to a lower non-life combined ratio, improved Life & Health Reinsurance segment results and an increase in net investment income.

For the three months ended March 31, 2004, gross premiums written increased 9.5%, net premiums written increased 9.6% and net premiums earned increased 12.3%.

Our non-life combined ratio was 96.4% for the three months ended March 31, 2004, compared to 98.1% in the same period of 2003, reflecting strong current year underwriting results.

We had net realized capital gains for the three months ended March 31, 2004 of US$ 9.2 million, compared to net realized capital losses of US$ 8.3 million for the same period of 2003. In the first quarter of 2004, US$ 1.1 million in impairment charges were recorded, versus US$ 15.8 million in impairment charges in the first quarter of 2003.

Our effective tax rate was 24.0% for the first quarter of 2004 as compared to a benefit rate of 40.9% for the same period of 2003. The 2004 first quarter effective tax rate approximates the expected tax rate for the full year. The 2003 first quarter effective tax benefit rate was impacted by a change in expected tax rates in Switzerland in the first quarter of 2003.

The components of net income are described in more detail below:

Reinsurance results

Gross premiums written for the first quarter of 2004 increased US$ 119.8 million, or 9.5% compared to the same period of 2003, and net premiums written increased US$ 114.0 million, or 9.6% for the same period. We retained 93.9% of our gross premiums written for the three months ended March 31, 2004 compared to 93.7% for the same period of 2003.

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The increases in net premiums written predominately reflect the continued improved market conditions and new client relationships in certain key markets. For the three months ended March 31, 2004, Standard Property & Casualty Reinsurance grew by US$ 132.0 million or 24.5% and Life & Health Reinsurance grew by US$ 26.1 million or 21.3%. This was offset by Specialty Lines, which decreased by US$ 44.1 million or 8.4%. See “Business Development” section for further information by line of business.

Net premiums earned for the three months ended March 31, 2004 increased US$ 108.7 million, or 12.3% compared to the same period of 2003. The growth in net premiums earned increased at a higher rate due to the seasonality of certain business within our portfolio.

Our losses, loss adjustment expenses and life benefits incurred increased US$ 65.3 million, or 10.0% for the three months ended March 31, 2004 as compared to the same period of 2003, mainly due to the increase in earned premiums. The non-life loss ratio was 72.0% for the three months ended March 31, 2004 compared to 73.1% for the same period in 2003. The decrease in the non-life loss ratio in 2004 reflects the strong performance on the current year business, which had a relatively low frequency of loss activity, offset slightly by the impact of prior year reserve developments.

In the first quarter of 2004, the continuing reserve volatility of old underwriting years resulted in net strengthening of prior years’ loss reserves of US$ 43.0 million, consisting of US$ 10.1 million in the Standard Property & Casualty Reinsurance segment and US$ 32.9 million in the Specialty Lines segment. In the Standard Property & Casualty Reinsurance segment, the reserve strengthening primarily occurred with respect to the motor book. In the Specialty Lines segment, the reserve strengthening arose primarily from the professional liability and other special liability lines of business related to accident years 2000 and prior. Pre-tax income was adversely impacted by US$ 11.3 million in the first quarter of 2003 by developments on prior years’ loss reserves. Risk diversification is a basic risk management tool in the insurance and reinsurance industry; as a multi-line reinsurer there are always likely to be reserve adjustments at the line of business level. Our book of business is broadly diversified by line of business as well as balanced by region and by the expected duration of its claims obligations.

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

In the first quarter of 2004, there was no reserve strengthening for the Guaranteed Minimum Death Benefit (GMDB) business in the Life & Health Reinsurance segment. In the first quarter of 2003, total net reserves for the GMDB business were strengthened by US$ 12.5 million, based on the latest information available at that time.

Underwriting acquisition costs primarily relate to commissions on treaty and individual risk business. Our underwriting acquisition costs increased US$ 11.3 million, or 5.7% for the three months ended March 31, 2004 over the same period in 2003. This increase is mainly related to the growth in earned premiums. The non-life underwriting expense ratio for the three months ended March 31, 2004 and 2003 was 21.2% and 21.6%, respectively.

Operating and administration expenses increased 4.3% in the three months ended March 31, 2004 over the same period in 2003. This was due to increased expenditures to support the growth in operations and the weakening of the US dollar. Due to our premium growth and a strong expense management culture, the non-life administration expense ratio declined to 3.2% for the three months

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ended March 31, 2004, compared to 3.4% in the same period of 2003. Due to the cyclicality in our premiums written, the administration expense ratio is typically lower in the first quarter than in subsequent quarters.

We fully charge the cost of options to operating expense under the fair value approach of SFAS No. 123, “Accounting for Stock-Based Compensation”, and recorded compensation expense of US$ 0.5 million and US$ 1.0 million for the three months ended March 31, 2004 and 2003, respectively, in connection with Converium’s stock option plans.

Investment results

Investment results are an important part of our overall profitability. Our net investment income was US$ 71.9 million for the three months ended March 31, 2004, representing an increase of US$ 15.7 million, or 27.9% as compared to the same period of 2003. The increase resulted from a 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.

Our average annualized net investment income yield was 3.6% for the three months ended March 31, 2004 as compared to 3.4% for the same period of 2003. Yields are calculated based on the average of beginning and ending investment balances (including cash and cash and cash equivalents).

We had net realized capital gains for the three months ended March 31, 2004 of US$ 9.2 million, compared to net realized capital losses of US$ 8.3 million for the same period of 2003. In the first quarter of 2004, US$ 1.1 million in impairment charges were recorded, versus US$ 15.8 million in impairment charges in the first quarter of 2003.

Our average annualized total investment income yield was 4.1% for the three months ended March 31, 2004 as compared to 2.9% for the same period of 2003. The yields were significantly impacted by net realized capital gains in 2004 versus net realized capital losses in 2003.

Our average annualized total investment return was 7.3% for the three months ended March 31, 2004 as compared to 3.1% for the same period of 2003. The performance in excess of the annualized total investment income yield of 4.1% was essentially due to a decline in interest rates at the end of the quarter, which resulted in positive unrealized capital gains.

Other

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Other loss for the three months ended March 31, 2004 was US$ 0.1 million as compared to other loss of US$ 4.4 million for the same period of 2003. Other loss includes 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 for the three months ended March 31, 2004 was US$ 7.8 million, a decrease of US$ 0.8 million compared to US$ 8.6 million for the same period of 2003.

Our effective tax rate was 24.0% for the first quarter of 2004 as compared to a benefit rate of 40.9% for the same period of 2003. The 2004 first quarter effective tax rate approximates the expected tax rate for the full year. The 2003 first quarter effective tax benefit rate was impacted by a change in expected tax rates in Switzerland in the first quarter of 2003.

Business Development

Converium’s financial results for 2004 were primarily driven by strong performance of our non-life business within the Standard Property & Casualty Reinsurance and Specialty Lines segments, the positive contribution of the Life & Health Reinsurance segment, and the current conditions in the capital markets.

The following discusses Converium’s segment results for the three months ended March 31, 2004 and 2003. A reconciliation of segment results to income before taxes is as follows:

Standard Property & Casualty Reinsurance:

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Standard Property & Casualty Reinsurance reported segment income of US$ 60.4 million and US$ 49.1 million for the three months ended March 31, 2004 and 2003, respectively. The increase in segment income was primarily attributable to:

For the three months ended March 31, 2004, gross premiums written increased 24.2% to US$ 723.2 million, net premiums written increased 24.5% to US$ 671.6 million and net premiums earned increased 14.8% to US$ 443.4 million.

For the three months ended March 31, 2004, net premiums written growth in Standard Property & Casualty Reinsurance by line of business included:

These increases were slightly offset by a decrease in net written premiums in the property line of business by 1.2% or US$ 2.9 million to US$ 241.5 million, where there was a tightening of terms and conditions.

Specialty Lines:

Specialty Lines reported segment income of US$ 38.6 million and US$ 1.2 million for the three months ended March 31, 2004 and 2003, respectively. In addition to the positive results for 2004, the cash flow generated by the longer tail lines increases total invested assets. The increase in segment income was primarily attributable to:

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For the three months ended March 31, 2004, gross premiums written decreased 6.3% to US$ 503.7 million, net premiums written decreased 8.4% to US$ 478.3 million and net premiums earned increased 9.1% to US$ 445.3 million.

For the three months ended March 31, 2004, the Specialty Lines segment included net premiums written growth within:

These increases were offset by a decrease of US$ 70.3 million in net premiums written within the workers’ compensation line of business. This mainly resulted from lower premium accruals related to the 2003 underwriting year based on revised estimated premiums received from the cedent and the non-renewal of some business with one of our ceding companies. In addition, net premiums written within the aviation and space line of business decreased slightly due to the non-renewal of a number of small contracts. Aviation and space remains one of our most significant lines of business.

Life & Health Reinsurance:

Life & Health Reinsurance reported segment income of US$ 4.9 million for the three months ended March 31, 2004 as compared to a segment loss of US$ 10.3 million for three months ended March 31, 2003. The increase in segment results was primarily attributable to:

For the three months ended March 31, 2004, gross premiums written increased 9.0% to US$ 156.7 million, net premiums written increased 21.3% to US$ 148.7 million and net premiums earned increased 16.0% to US$ 104.3 million. The growth in premiums written was primarily due to:

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The underwriting expense ratio was 19.0% in 2004 and 27.7% in 2003. The reduction in the expense ratio was caused by a reduction of commission ratios, as well as a release of commission accruals for a retro pool based upon updated information received from the cedent.

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 reported operating and administration expenses of US$ 9.6 million for the three months ended March 31, 2004 as compared to US$ 8.9 million for the same period in 2003. The increases primarily arose from expenditures to support the growth in operations, and the weakening of the US dollar.

Financial Condition and Liquidity

Invested Assets

As of March 31, 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$ 159.4 million, or 2.1%. This increase is mainly due to operating cash flow as well as unrealized capital gains.

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

Our investments are managed mostly 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 first quarter of 2004. The balances at March 31, 2004 are shown in original currencies.

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Fixed Maturities

As of March 31, 2004, our fixed maturities portfolio, excluding the Funds Withheld Asset (described more fully below), had a carrying value of US$ 5.2 billion and represented 64.4% of total investment portfolio including cash and cash equivalents (82.6% including the Funds Withheld Asset). This represents an increase in carrying value of US$ 222.7 million, or 4.5%, from December 31, 2003. This increase was driven by 2004 cash flows from operations and unrealized capital gains.

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.

Most of our fixed income securities are rated by Standard & Poor’s, Moody’s or similar rating agencies. As of March 31, 2004, approximately 99.5% of our fixed income securities portfolio was invested in securities rated A or better by these agencies and approximately 79.9% 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.

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Equity Securities

As of March 31, 2004, our equity securities portfolio had a carrying value of US$ 854.8 million. This represents an increase in carrying value of US$ 14.6 million, or 1.7%, from December 31, 2003. Equity securities were approximately 9.7% of our total investment portfolio as of March 31, 2004 and December 31, 2003, including cash and cash equivalents.

Substantially our entire equity portfolio consists of listed securities, held directly or through funds. The majority of our equity portfolio is 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 effective as of July 1, 2001 by means of the Quota Share Retrocession Agreement. 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 March 31, 2004, the Funds Withheld Asset was US$ 1,459.4 million. The decrease of US$ 71.2 million over 2003 was substantially due to paid claims.

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

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 March 31, 2004, we had short-term investments with a carrying value of US$ 67.0 million, representing 0.8% 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

At March 31, 2004, we had real estate held for investment of US$ 127.2 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.

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In addition to these properties, Converium owns a 7.4% participation in PSP Swiss Property AG (an indirect real estate investment, included in equity securities) with a market value of US$ 80.8 million as of March 31, 2004.

Premiums Receivable

We had premiums receivable of US$ 2.3 billion at March 31, 2004 compared to US$ 2.0 billion at December 31, 2003, an increase of US$ 324.8 million, or 16.2%. 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 sometime in the future. Current premiums receivable represented 6.3% and 9.1% of total premiums receivable at March 31, 2004 and December 31, 2003, respectively, and accrued premiums receivable represented 93.7% 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 retrocessionaire is unable or unwilling to meet the obligations assumed under the retrocessional agreements. At March 31, 2004, Converium holds US$ 616.9 million in collateral as security under related retrocessional agreements in the form of deposits, securities and/or letters of credit.

As of March 31, 2004, we had reinsurance recoverables from retrocessionaires of approximately US$ 1.7 billion on paid and unpaid losses and loss adjustment expenses, unearned premium reserves and future life benefits balances. This amount remains virtually unchanged since December 31, 2003. Recoverables from retrocessionaires relating to contracts in arbitration were 7.6% of equity at March 31, 2004. Allowances of US$ 46.5 million have been recorded for estimated uncollectible receivables and reinsurance recoverables at March 31, 2004, compared to US$ 35.4 million at December 31, 2003.

Loss and Loss Adjustment Expense Reserves

We had gross loss and loss adjustment expense (LAE) reserves of US$ 8.2 billion at March 31, 2004, compared to US$ 7.8 billion at December 31, 2003, an increase of US$ 326.8 million, or 4.2%. The increase in our reserve position is due to reserves on current year business, offset by claim payments. Loss and loss adjustment expense reserves, net of reinsurance recoverable for paid and unpaid losses were US$ 6.8 billion at March 31, 2004, compared to US$ 6.5 billion at December 31, 2003, an increase of US$ 306.3 million, or 4.7%. Gross reserves for future life benefits were US$ 492.5 million at March 31, 2004 compared to US$ 483.5 million at December 31, 2003.

Shareholders’ Equity

As of March 31, 2004, we had total shareholders’ equity of US$ 2,183.0 million (US$ 54.80 per share) compared to US$ 2,083.3 million (US$ 52.38 per share) as of December 31, 2003, an increase of US$ 99.7 million (US$ 2.42 per share). This increase is mainly comprised of net income of US$ 65.7 million and an increase in net unrealized gains on investments of US$ 32.1 million. We believe that our capital, liquidity, and borrowing ability are sufficient to support our business and meet our present liquidity requirements.

Cash Flows and Liquidity Sources

We held cash and cash equivalents of US$ 314.5 million as of March 31, 2004 compared to US$ 280.8 million as of December 31, 2003. Our cash balances at the end of both periods include a relatively high level of cash held by our investment managers for duration matching purposes, which approximated US$ 121.0 million at March 31, 2004 and US$ 81.0 million at December 31, 2003.

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$ 228.6 million for the three months ended March 31, 2004 compared to US$ 208.3 million for the three months ended March 31, 2003, an increase of

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US$ 20.3 million, or 9.7%. This increase was driven by improved operating performance in the current market conditions and approximated our net premium growth in 2004 relative to 2003.

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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. 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:

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 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)

(US$ million)