Generali Investments Strategy & Performance

Generali Investor Day 2010

Generali Investments
Strategy & Performance

Philippe Setbon
Chief Executive Officer of

Venice, November 26, 2010

Disclaimer 2

Certain of the statements contained herein are statements of future expectations and other
forward-looking statements.
These expectations are based on management's current views and assumptions and involve
known and unknown risks and uncertainties.
The user of such information should recognise that actual results, performance or events
may differ materially from such expectations because they relate to future events and
circumstances which are beyond our control including, among other things, general economic
and sector conditions.
Neither Assicurazioni Generali S.p.A. nor any of its affiliates, directors, officers employees or
agents owe any duty of care towards any user of the information provided herein nor any
obligation to update any forward-looking information contained in this document.
The manager in charge of preparing the company’s financial reports, Raffaele Agrusti,
declares, pursuant to paragraph 2 of article 154-bis of the Consolidated Law on Financial
Intermediation, that the accounting information contained in this presentation corresponds to
document results, books and accounts records.

Assicurazioni Generali Group – Investor Day 2010 – Investment Management of Insurance Assets

III. Generali Investment Strategy & Performance 3

I. Asset Management Profile

II. Business Model and Investment Organisation

III. Portfolios

IV. Going Forward

V. Final Remarks

VI. Back up


Agenda 4

I. Asset Management Profile
Generali Group Asset Management: Generali Investments

Asset Management for the insurance

Generali Group Asset Management


I. ASSET MANAGEMENT PROFILE

Generali Group Asset Management: Generali Investments 5

At 30.9.2010

Asset Management:
“Own Investments”
Cash & financial including own use real estate(1):
instruments Euro 331.1 bn
94.5% Insurance
Liabilities

Traditional Life
Reserves(3)
258.1

Real Estate
5.5%(2) 30.5 P&C Reserves(3)

(1) Including own use real estate within own investments. Own investments include own capital and insurance funds (i.e. unit linked excluded)
(2) Including real estate mutual funds & own use real estate
(3) Net technical reserves; life reserves including investment contracts



Asset Management for the insurance: Mission 6

Investment decisions based on
ALM targets

Mission

Generate consistent returns
Protect invested capital
over the long term



Asset Management for the insurance: Portfolios management 7

Macro synthesis approach
Organisation / Information flows

Detailed creation of liability driven portfolios at very granular level
SAA/Target
Individual portfolio SAA optimisation with specific value-at-risk and
settings solvency-at-risk

Active rebalancing and TAA decision, mainly on the basis of macro-
economic views (by strategy team)
TAA/Portfolio Identification of sub-segments by geography and industry sector in
construction equities and fixed income,
e.g. 1) Sovereign, 2) Corporate, 3) High-yield in fixed income
Limits per asset class band in 1) tracking error, 2) duration, 3) yield

Investment Mandates per portfolio in terms of tracking error, duration, yield curve
guidelines
Bottom-up; increasing more toward stock-picking through qualitative
Security selection approach
Pure model-based portfolios in fixed income



Generali Group Asset Management: New Environment 8

Insurance Industry Requirements Financial Markets Trends
Solvency II Less demand and high volatility for
From Risk-Return to risky assets
Risk-Return-capital absorption Low yields environment
Development of ULs

Our Drivers
AM liability driven focusing on performance delivery
contributing to the Group profitability
Enlarge range of Investment Strategies
Needs
Dynamic Tactical Asset Allocation
Sustainable business model based on organisation optimisation
Actions
Leverage competitive cost structure


Agenda 9

II. Business Model &
Investment organisation
Worldwide presence by Clients and Market strategies

Worldwide Investment Corporate Structure

Asset Management Model



II. BUSINESS MODEL & INVESTMENT ORGANISATION

Worldwide presence by Clients and Market strategies 10

Potential
CORE Growth
extra-returns

North America
Central Eastern Europe
Investment and
Research Presence Leading expertise and
Western Europe products
Products and
Geographic Leading Cross Strong presence through
Diversification European investment PPF
Benefits House
Hub for the
insurance
companies Asia
In depth High Growth Markets
knowledge of Diversification
Latin America Fixed income and Benefits
Potential Growth in equity European JV with Guotai
investment Arm financial markets



Worldwide Investment Corporate Structure 11

AM
Generali Group

Asset Asset Fund of Fund Real Estate Private Equity
Lux Funds
Management Management Asset Asset Asset
(1)
Platform(2)
Europe Asia Management Management Management

By Geographical areas By Product By Lines of business

(1) Joint Venture with Guotai AM
(2) Joint Venture with Banca Generali SpA



Asset Management Model 12

Investments managed at global level with an integrated approach
Portfolios Officers operate at local level
Target investment model Investment Management
Fixed Income
AM Group Research & Govies

Global Level
Macro Corporates Bottom-up
Group Strategy Convertible Research
Core Investments
CIO
Equity Analysis
Quantitative Derivatives
Trading
Investment Investment .....
Center A Center B Italy
France
Local Level Germany
PO PO PO
Austria
Switzerland
Spain
Netherlands



Generali Investments: Front Office and Risk Control 13

Asset Specialist Portfolio Officers

Core Satellite Oversee the relationship with clients
investments investments by insurance mandates
Asset specialists Specialists covering
Responsible for portfolios construction
covering main asset very specific sub-
and adopting an asset classes both coming from SAA guidelines
active management in fixed income and Monitor proper implementation in
long-term approach in equity universe
collaboration with Asset Class
Equity Small Caps specialist
Govies Emerging Markets
Corporate High Yield Responsible for portfolio global
Derivatives .... performance
Quantitative

FIRST LEVEL SECOND LEVEL

Risk Control Risk Control

Third Level
Enhanced Risk Management System
Core: all the investments focused to immunise the insurance liabilities based mainly on traditional approach and the Area Euro
Satellite: all the investments made with the aim to improve the performance of assets through the diversification on sub-asset class or specific geographical area



Generali Investments: Internal research in investment process 14

In-house research team and proprietary analysis models
Role within investment process and front office team

Macro
Securities Portfolio
Research Strategy
Selection Construction
& Asset Allocation

Macro Research servicing Fundamental analysis with Portfolio Officers
all the Group a 3 to 5 years time horizon
Make liability-driven
Quarterly Tactical Access to key company construction
Allocation Committees and information due to
monthly Investment significant ownership
Committees stakes.

Portfolios modeling Analysis output shared by
allocation according to credit and equity analysts
strategic guidelines



Generali Investments: Internal research in portfolio construction 15

In-house research team and proprietary analysis models
Role within investment strategies’ implementation

Macro
Securities Portfolio
Research Strategy
Selection Construction
& Asset Allocation

Bottom up-research covers Equity and Corporate

Portfolio construction is based mainly on a bottom-up research integrated with macro and
sector analysis

Internal research reporting for funds manager

Internal credit rating

Research performance measurement



Generali Investments: Low risk profile 16

Internal analysis as a prerequisite for any investment decisions

Past Forward looking

No exposure to US subprime assets Insurance Asset Management
performed by Investment Centers

Irrelevant net exposure to US banks
Emerging markets coverage
managed by local internal research
High credit quality by internal rating


Agenda 17

III. Portfolios
Own investments at a Glance

Life – Portfolio management linked to liabilities

Life – Mark to market portfolios performance

P&C – Portfolio management linked to recurring revenue policy

Portfolios management

Breakdown of 3Q10 fixed income portfolio

Focus on 3Q10 equity portfolio


III. PORTFOLIOS

Own investments at a glance 18

Key Figures Own Investments Evolution(1)

AM CAGR 4.0%
Figures 331.1
as at 30.09.2010 Total 300 274.9
200
No. of Employees 411
100
Front Office 98
0

Average Experience (years) 11 2005 2006 2007 2008 2009 9M10

Geographical asset breakdown Breakdown by Asset Class
Non Europe 7% Non Eur. Italy Other(2) Cash&equival
7% 28% 4.0% 3.0%

Other Eur Equity
18% 8.4%

Germany France Real Estate(3) Fixed income
Europe 93% 25% 22% 5.5% instr. 79.1%
(1) Including own use real estate within own investments. Own investments include own capital and insurance funds (i.e. unit linked excluded)
(2) Including investments in subsidiaries, associated companies and JVs, derivatives, receivables from banks or customer
(3) Including real estate mutual funds & own use real estate Data as at 30 September 2010


III. PORTFOLIOS

Life – Portfolio management linked to liabilities 19

Asset Allocation by country
Corporate Bonds on Fixed Income Portfolio
Life Italy
Equities 8.2% Corporate bonds
Fixed Income Instruments
(1)
87.3% 35.9%
(2)
Investment properties 2.0%
(3)
Other Investment 1.5% Other Fixed income
Cash 1.0% 64.1%

Germany
Equities 5.6% Corporate bonds
(1)
88.3% 49.2%
(2)
(3)
Other Investment 0.7 % Other Fixed income
Cash 0.9 % 50.8%

France
Corporate bonds
Equities 10.2%
(1)
80.9%
39.8%
(2)
(3)
Other Investment 0.4% Other Fixed income
Cash 3.9% 60.2%
(1) Fixed income Instruments include Government bonds, Corporate bonds and Other fixed income investments
(2) Including self-used investment properties
(3) Including Associates, JV, Derivatives, Receivables from bank & customers Data as at 30 September 2010


III. PORTFOLIOS

Life – Mark to market portfolios performances 20

Consistent performance in a competitive and challenging environment
Cumulative performance from January 2008 to September 2010

Synthetic Benchmark Performance +13.4% Portfolios Performance +13.5%

Life total (%)
Reference Indexes
Asset Class 2007 2008 2009 9M10 Cumulative
Performance
Equities 13.0% 8.2% 9.7% 9.0% -28.9%
Government
bonds 49.8% 51.7% 49.6% 49.0% 19.5%
Corporate
bonds 34.9% 37.9% 38.8% 39.9% 19.0%

Cash 2.2% 2.2% 2.0% 2.1% 6.8%

Reference Indexes:
MSCI EMU TR; BARCLAYS EURO AGG TSY; BARCLAYS EURO AGG CORP; JPM EURO CASH 3M


III. PORTFOLIOS

Non-life – Portfolio management linked to recurring revenue policy 21

Asset allocation evolution
4.0% 4.8% 6.9% 6.0% 5.6%
2.5% 7.8%
2.7% 3.8% 2.8%
3.3% 2.4% Cash

22.6% 20.3% 17.8% 20.9%
20.7% 20.3%
Other investment

Investment properties
(incl. self-used)

52.0% 54.6% 54.7% Fixed Income
56.2% 57.4% 59.2%
Instruments

Equities

18.8% 17.7% 17.3% 13.3% 12.1% 11.4%

2005 2006 2007 2008 2009 9M10

Active management of risky assets
Equity risk exposure reduction
Data as at 30 September 2010


III. PORTFOLIOS

Portfolios management: Yields and duration 22

Key strategies
Life Proactive management approach of long-term duration

P&C Opportunistic approach on few asset classes

Current Yields
6.00

5.00

4.00

3.00

Financial Institutions AA Industrial AA
2.00
Italy Germany

1.00 Life Q310 Non Life Q310

Life Q309 Non Life Q309
-
1 3 5 7 9 11 13 15 17 19 21 23 25 27 29
Maturity Duration


III. PORTFOLIOS

Portfolios management: Duration management 23

Investment management in the low interest rates scenario
Capital gains management based on
Liability Management Market view

30.09.2009 Starting to length duration

31.12.2009 Fixed Income(1) unrealised capital gains(2): Total = Euro 6.0 bn

Fixed Income(1) unrealised capital gains(2): Total = Euro 11.4 bn
30.09.2010
Duration lengthening: Life 6 → 6.6; Non-life 4.0 → 4.7

Q4 Policy Lower duration / capital gains realisation in P&C portfolios

(1) Fixed Income includes Bonds and loans (Government bonds, Corporate bonds and Other fixed income investments)
(2) Including on balance sheet and off balance sheet gross unrealised capital gains on bonds and loans at the relevant date


III. PORTFOLIOS

Breakdown of 3Q10 fixed income portfolio (1/3) 24

By issuer
Other fixed Income Life
10.0% 16.0% 12.4% Investment Strategy
Corporate
40.4% Spread optimisation target
40.4%
44.9% Government
Recurring revenues focus
Increased diversification in corporate
49.6%
39.2% 47.3% bond portfolio with selective
management
Life P&C Total

P&C
Bond portfolio by rating
Investment Strategy
1.7% Recurrent revenues focus
Absolute return target
34.6% 34.9% 19.3% 7.6%
Sector rotation in corporate bonds in
1.8% order to improve the portfolio return
AAA AA A BBB NIG NR and diversification
Data as at 30 June 2010


III. PORTFOLIOS

Breakdown of 3Q10 corporate bond portfolio (2/3) 25

Split by Sector (%)

31.12.2009 30.09.2010
Life Financials(1) 67.6% 65.9%
Utilities 4.4% 9.7%
Asset-backed 3.8% 3.3%
Telecom 4.2% 5.0%
Industrial 8.8% 4.5%
Other sectors 11.2% 11.7%

P&C Financials(1) 65.8% 62.4%
Utilities 4.9% 6.5%
Asset-backed 10.4% 9.8%
Telecom 3.3% 4.6%
Other sectors 10.0% 11.8%
(1) Financials include covered bonds. For life the percentage is 19.8% and for P&C is 12.8%


III. PORTFOLIOS

Breakdown of 3Q10 fixed income portfolio (3/3) 26

Average duration by segment (years)

31.12.2009 30.09.2010 Life
Investment Strategy and Yields
Life 6.0 6.6
Increased bond duration
Government 6.8 7.3
from 6 to 6.6 years
Corporate 5.1 5.7
No relevant change in bond portfolio
composition. Sector rotation in
P&C 4.0 4.7 corporate bonds in order to increase
recurrent yields of portfolios
Government 4.5 5.6
Corporate 3.4 3.8
P&C
Investment Strategy and Yields
Further lengthening bond duration
from 4 to 4.7 years in order to exploit
the steepness of the yield curve
The policy has been possible thanks
to liability portfolios structure


III. PORTFOLIOS

Focus on 9M10 equity portfolio (1/2) 27

Equity evolution (% of own Investments)(1)

12.4% 12.4% Decreased equity exposure
11.4%
through active tactical asset
7.9%
8.9% 8.4% allocation and market drop
Life
Preference for stocks with
strong fundamentals

2005 2006 2007 2008 2009 2010

Life & P&C Equity (%) P&C
100%
90%
Active management of equity
80% component to generate excess
70%
60% returns over market average.
50%
40% High dividend stocks
30%
20%
10%
0% 8.5% 11.4% 8.4% (1) % of total own investments
(2) Total equity includes the financial segment. Equity in the
(2)
Life P&C Total financial segment weights for 1.62%


III. PORTFOLIOS

Focus on 9M10 equity portfolio (2/2) 28

Split by Sector (%)

31.12.2009 30.09.2010
Life Financials 33.0% 29.4% Dynamic Sector Allocation
Consumer 15.1% 15.4%
Telecom 12.6% 14.2%
Relevant reduction of Financials.
Industrial 10.3% 8.9% Banking participation will be still
Other(1) 29.1% 32.1% reducing

P&C Financials 43.7% 39.3%
High dividend yield stock
Consumer 12.8% 13.6%
selection policy
Telecom 11.0% 6.0%
Other(1) 23.7% 32.9%

Data refer to equity portfolio in-house managed
(1) Other mainly includes Energy, Utility and Materials Sectors. Data as at 30 September 2010


Agenda 29

IV.Going Forward


IV. GOING FORWARD

Core Investment Strategy for Insurance Assets 30

Integrating structural guidelines into short term policy choices maintaining flexibility:
key for return maximization
Using a Dynamic Asset Allocation framework that adapts asset allocation to market
conditions in a systematic way
Non-life Life
Fixed Income Fixed Income
Fixed income bonds are Government bonds are
core investments which core investments which
have to be actively Optimising have to be actively
managed / hedged management managed / hedged
of the asset risks in Credits are evaluated with
the core portfolio by: a long-term view
Equity Risk diversification
Equity
Active management of for optimal Maintain the equity
exposure according to asset allocations exposure stable
capital allocation decisions Dynamic hedging based
Ongoing exposure on a mixed approach top-
reduction down and bottom-up
Bottom-up based decision
in order to maximise
return on capital


IV. GOING FORWARD

Strategies for growth and extra return 31

Products Markets Investments
Rationalisation Asia Diversification by asset
Advisory for class
Short-term emerging Chinese equity (QFII)
markets Asian equity
institutional
Diversification by style
Bond active
management
Lux Platform US Quantitative Portfolio
Mid-term convergence CEE Managements
FoF selection Maximisation
India
Polarisation (Guaranteed Funds)

ISR funds Stress-Testing in the
portfolio strategies’
implementation

Long-term Geographic South- Geographic diversification
diversification America Strategies niches increase
Vehicles ad hoc


IV. GOING FORWARD

Market Strategy 32

Asia represents a key market also for the Asset Management of Generali
Asia represents a key market also for the Asset Management of Generali

A strong Joint Venture with Guotai, our Chinese Asset Manager
partner, will be operative in Hong Kong from 2011 for:
Leveraging European and Asian
insurance assets of Generali Group
Developing Third Party clients
Servicing Asian investors through
Generali investment capabilities
in Europe


IV. GOING FORWARD

Overview on Investment Strategies and products implementation 33

Relative Benchmark
Funds Management

Guarantee Absolute return
Insurance Portfolios
Mandates

Unit Quantitative
Pension Linked Portfolio Management
Mandates

FoF
Selection Dynamic Asset
Allocation Strategies

Investment Insurance/ third
Investment Strategies Range
approach party products


Agenda 34

VI. Final Remarks


VI. FINAL REMARKS

Final Remarks 35

Asset management strongly focused on liability management and capital
absorption

The investment team and strategy capabilities in Europe are pillars of our
investments growth and diversification

In-house macro and bottom-up research are key steps of our investment process
and first level of risk management

A stable and sustainable business model which generates favorable risk-adjusted
returns

Investment Strategies range focused on Unit Linked development

Key growing markets and innovative investment strategies are the drivers for
future return

Agenda 36

VI. Back up


VI. BACK-UP

Portfolios exposure on PIGS 37

Exposure to peripheral Europe Government Bonds as at 30.09.2010

(Euro bn) Gross Net (1)

Portugal 3.7 0.6

Spain 3.5 0.6

Ireland 1.8 0.3

Greece 3.1 0.5

Total 12.0 2.0

(1) Net PHP and Tax


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