Generali Investments Strategy & Performance

Venice, November 26, 2010

Generali Investor Day 2010

Generali Investments Strategy & Performance

Philippe SetbonChief Executive Officer of Generali Investments

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

Disclaimer

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.

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II. Business Model and Investment Organisation

III. Portfolios

IV. Going Forward

I. Asset Management Profile

V. Final Remarks

III. Generali Investment Strategy

& Performance

VI. Back up

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Agenda

I. Asset Management ProfileGenerali Group Asset Management: Generali Investments

Asset Management for the insurance

Generali Group Asset Management

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30.5

258.1

Generali Group Asset Management: Generali Investments

Asset Management: Generali Investments

Real Estate5.5%(2)

Cash & financial instruments

94.5% InsuranceLiabilities

Traditional LifeReserves(3)

P&C Reserves(3)

“Own Investments”including own use real estate(1):

Euro 331.1 bn

(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

I. ASSET MANAGEMENT PROFILE

At 30.9.2010

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Asset Management for the insurance: Mission

Protect invested capital Generate consistent returns over the long term

Investment decisions based on ALM targets


Mission

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Asset Management for the insurance: Portfolios management

Bottom-up; increasing more toward stock-picking through qualitative approachPure model-based portfolios in fixed income

Mandates per portfolio in terms of tracking error, duration, yield curve

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

Detailed creation of liability driven portfolios at very granular levelIndividual portfolio SAA optimisation with specific value-at-risk and solvency-at-risk

Organisation

/ Information flows


Macro synthesis approach

SAA/Target settings

TAA/Portfolio construction

Investment guidelines

Security selection

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Insurance Industry RequirementsSolvency II From Risk-Return to Risk-Return-capital absorptionDevelopment of ULs

Financial Markets TrendsLess demand and high volatility for risky assets Low yields environment

Generali Group Asset Management: New Environment

Enlarge range of Investment StrategiesDynamic Tactical Asset Allocation

Our DriversAM liability driven focusing on performance delivery

contributing to the Group profitability

Needs

ActionsSustainable business model based on organisation optimisationLeverage competitive cost structure


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Agenda

II. Business Model & Investment organisation

Worldwide presence by Clients and Market strategies

Worldwide Investment Corporate Structure

Asset Management Model

Generali Investments

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Worldwide presence by Clients and Market strategies

Potential extra-returns

CORE Growth

Western EuropeLeading Cross European investment House

Hub for the insurance companies In depth knowledge of Fixed income and equity European financial markets

Central Eastern EuropeLeading expertise and productsStrong presence through PPF

AsiaHigh Growth MarketsDiversification BenefitsJV with Guotai

North AmericaInvestment and Research Presence Products and Geographic Diversification Benefits

Latin AmericaPotential Growth in investment Arm

II. BUSINESS MODEL & INVESTMENT ORGANISATION

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Worldwide Investment Corporate Structure

Asset Management

Europe

By Geographical areas By Product By Lines of business

Asset Management

Asia(1)

Lux Funds Platform(2)

Real Estate Asset

Management

Private EquityAsset

Management

Fund of Fund Asset

Management

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


AM Generali Group

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Target investment model

Asset Management Model

Investment Management

France

SpainNetherlands

AustriaGermany

Italy

Switzerland

Glo

bal L

evel

Loca

l Lev

el


Research & Macro

StrategyBottom-up Research Analysis

Quantitative

Fixed Income Govies

Corporates Convertible

Equity

Derivatives

Trading

Investments managed at global level with an integrated approachPortfolios Officers operate at local level

GroupCIO

AM Group

Core Investments

Investment Center A

Investment Center B

.....

PO PO PO

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Oversee the relationship with clients by insurance mandates

Responsible for portfolios construction coming from SAA guidelines

Monitor proper implementation in collaboration with Asset Class specialist

Responsible for portfolio global performance

Generali Investments: Front Office and Risk Control

Core: all the investments focused to immunise the insurance liabilities based mainly on traditional approach and the Area EuroSatellite: all the investments made with the aim to improve the performance of assets through the diversification on sub-asset class or specific geographical area

Third LevelEnhanced Risk Management System

Coreinvestments

Satellite investments

EquityGoviesCorporateDerivativesQuantitative

Small CapsEmerging MarketsHigh Yield....

Specialists covering very specific sub- asset classes both in fixed income and in equity universe

Asset specialists covering main asset and adopting an active management long-term approach


FIRST LEVEL

Risk Control

SECOND LEVEL

Risk Control

Asset Specialist Portfolio Officers

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Macro

Research Strategy& Asset Allocation

Role within investment process and front office team


In-house research team and proprietary analysis models

Securities Selection

Portfolio Construction

Generali Investments: Internal research in investment process

Macro Research servicing all the Group

Quarterly Tactical Allocation Committees and monthly Investment Committees

Portfolios modeling allocation according to strategic guidelines

Fundamental analysis with a 3 to 5 years time horizon

Access to key company information due to significant ownership stakes.

Analysis output shared by credit and equity analysts

Portfolio Officers

Make liability-driven construction

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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

Role within investment strategies’ implementation


In-house research team and proprietary analysis models

Generali Investments: Internal research in portfolio construction

Macro

Research Strategy& Asset Allocation

Securities Selection

Portfolio Construction

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Insurance Asset Management performed by Investment Centers

Emerging markets coverage managed by local internal research

Forward lookingPast

No exposure to US subprime assets

Irrelevant net exposure to US banks

High credit quality by internal rating


Internal analysis as a prerequisite for any investment decisions

Generali Investments: Low risk profile 16


Agenda

III. PortfoliosOwn 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

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0

100

200

300

2005 2006 2007 2008 2009 9M10

Figures as at 30.09.2010

AMTotal

No. of Employees 411

Front Office 98

Average Experience (years) 11

Breakdown by Asset Class

274.9

331.1CAGR 4.0%

Geographical asset breakdown

(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

III. PORTFOLIOS

Key Figures Own Investments Evolution(1)

Other(2)

4.0%

Real Estate(3)

5.5%

Cash&equival 3.0%

Fixed income instr. 79.1%

Equity 8.4%

Own investments at a glance

Europe 93%

Non Europe 7% Non Eur. 7%

Germany 25%

Italy 28%

France 22%

Other Eur 18%

Data as at 30 September 2010

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Life –

Portfolio management linked to liabilities

Corporate Bonds on Fixed Income Portfolio


(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

Asset Allocation by country

III. PORTFOLIOS

Life ItalyEquities 8.2%Fixed Income Instruments(1) 87.3%Investment properties(2) 2.0%Other Investment(3) 1.5%Cash 1.0%

GermanyEquities 5.6%Fixed Income Instruments(1) 88.3%Investment properties(2) 4.6%Other Investment(3) 0.7 %Cash 0.9 %

FranceEquities 10.2%Fixed Income Instruments(1) 80.9%Investment properties(2) 4.6%Other Investment(3) 0.4%Cash 3.9%

Corporate bonds 35.9%

Other Fixed income 64.1%





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Life –

Mark to market portfolios performances

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

III. PORTFOLIOS

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

Synthetic Benchmark Performance

+13.4% Portfolios Performance

+13.5%

Life total (%)Asset Class 2007 2008 2009 9M10

Equities 13.0% 8.2% 9.7% 9.0%Government

bonds 49.8% 51.7% 49.6% 49.0%Corporate

bonds 34.9% 37.9% 38.8% 39.9%

Cash 2.2% 2.2% 2.0% 2.1%

Reference Indexes Cumulative

Performance-28.9%

19.5%

19.0%

6.8%

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Non-life –

Portfolio management linked to recurring

revenue

policy


Active management of risky assetsEquity risk exposure reduction

III. PORTFOLIOS

Asset allocation evolution

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

54.7%56.2% 57.4% 59.2%

54.6%52.0%

20.9%20.3%20.7%17.8%20.3%22.6%

3.3% 3.8% 2.4% 2.8%2.7%2.5%

5.6%7.8%6.0%6.9%4.8%4.0%

2005 2006 2007 2008 2009 9M10

Cash

Other investment

Investment properties (incl. self-used)

Fixed Income Instruments

Equities

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Life Proactive management approach of long-term duration

Opportunistic approach on few asset classes

Key strategies

P&C

Portfolios management: Yields and durationIII. PORTFOLIOS

-

1.00

2.00

3.00

4.00

5.00

6.00

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

Current Yields

Financial Institutions AA Industrial AA

Italy Germany

Life Q310 Non Life Q310

Life Q309 Non Life Q309

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Portfolios management: Duration managementIII. PORTFOLIOS

30.09.2010

31.12.2009

30.09.2009 Starting to length duration

Fixed Income(1) unrealised

capital gains(2): Total = Euro 6.0 bn

Fixed Income(1) unrealised

capital gains(2): Total = Euro 11.4 bnDuration lengthening: Life 6 →

6.6; Non-life 4.0 →

4.7

Q4 Policy Lower duration / capital gains realisation

in P&C portfolios

Liability

Management Market view

Capital gains management based onInvestment management in the low interest rates scenario

(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

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

Data as at 30 June 2010

III. PORTFOLIOS

Life Investment Strategy

Spread optimisation target

Recurring revenues focus

Increased diversification in corporate bond portfolio with selective management

P&C Investment Strategy

Recurrent revenues focus

Absolute return target

Sector rotation in corporate bonds in order to improve the portfolio return and diversification

Bond portfolio by rating

By issuer

39.2%49.6% 47.3%

44.9%40.4% 40.4%

16.0%10.0% 12.4%

Life P&C Total

Other fixed Income

Corporate

Government


34.6% 34.9% 19.3% 7.6%

1.8%

1.7%

AAA AA A BBB NIG NR

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Split by Sector (%)

31.12.2009 30.09.2010Life 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%

Breakdown

of 3Q10 corporate

bond

portfolio

(2/3)III. PORTFOLIOS

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(1) Financials include covered bonds. For life the percentage is 19.8% and for P&C is 12.8%


Breakdown of 3Q10 fixed income portfolio (3/3)III. PORTFOLIOS

Life Investment Strategy and Yields

Increased bond duration from 6 to 6.6 years

No relevant change in bond portfolio composition. Sector rotation in corporate bonds in order to increase recurrent yields of portfolios

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

Average duration by segment (years)

31.12.2009 30.09.2010Life 6.0 6.6

Government 6.8 7.3

Corporate 5.1 5.7

P&C 4.0 4.7

Government 4.5 5.6

Corporate 3.4 3.8


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Focus on 9M10 equity portfolio (1/2)

Life & P&C Equity (%)

( 1 ) % of total own investments( 2 ) Total equity includes the financial segment. Equity in the

financial segment weights for 1.62%

III. PORTFOLIOS

Equity evolution (% of own Investments)(1)

Decreased equity exposure through active tactical asset allocation and market drop

Life

Preference for stocks with strong fundamentals

P&C

Active management of equity component to generate excess returns over market average.

High dividend stocks

11.4%8.5% 8.4%0%10%20%30%40%50%60%70%80%90%

100%

Life P&C Total

8.9%7.9%

12.4%12.4%11.4%

8.4%

2005 2006 2007 2008 2009 2010

(2)

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Focus on 9M10 equity portfolio (2/2)

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

III. PORTFOLIOS

Split by Sector (%)

Dynamic Sector Allocation

Relevant reduction of Financials. Banking participation will be still reducing

High dividend yield stock selection policy

31.12.2009 30.09.2010Life Financials 33.0% 29.4%

Consumer 15.1% 15.4%

Telecom 12.6% 14.2%


Other(1) 29.1% 32.1%

P&C Financials 43.7% 39.3%

Consumer 12.8% 13.6%

Telecom 11.0% 6.0%


Other(1) 23.7% 32.9%

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Agenda

IV.Going Forward

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IV. GOING FORWARD

Core Investment Strategy for Insurance Assets

Optimising

management

of the asset risks in the core portfolio by:

Risk diversification for optimal

asset allocations decisions

Integrating structural guidelines into short term policy choices maintaining flexibility: key for return maximizationUsing a Dynamic Asset Allocation framework that adapts asset allocation to market conditions in a systematic way

Government bonds are core investments which have to be actively managed / hedged Credits are evaluated with a long-term view

Fixed IncomeNon-life

EquityActive management of exposure according to capital allocationOngoing exposure reductionBottom-up based decision in order to maximisereturn on capital

Fixed income bonds are core investments which have to be actively managed / hedged

Fixed IncomeLife

EquityMaintain the equity exposure stableDynamic hedging based on a mixed approach top-down and bottom-up

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Short-term

Mid-term

Long-term

Products Markets Investments

Rationalisation

Advisory for emerging markets institutional

Asia Diversification by asset class

Chinese equity (QFII)

Asian equity

Diversification by style

Bond active management

Lux Platform convergence

FoF selection Polarisation

ISR funds

US

CEE

India

Quantitative Portfolio Managements Maximisation (Guaranteed Funds)

Stress-Testing in the portfolio strategies’implementation

Geographic diversification

Vehicles ad hoc

South- America

Geographic diversificationStrategies niches increase

Strategies for growth and extra returnIV. GOING FORWARD

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Market StrategyIV. GOING FORWARD

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

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Overview on Investment Strategies and products implementationIV. GOING FORWARD

Insurance Mandates

PensionMandates

Investment Strategies RangeInsurance/ third party products

Quantitative Portfolio Management

Absolute return

Dynamic Asset Allocation Strategies

Investment approach

Unit Linked

FoFSelection

Funds

GuaranteePortfolios

Relative BenchmarkManagement

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Agenda

VI. Final Remarks

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Final RemarksVI. FINAL REMARKS

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

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

Asset management strongly focused on liability management and capital absorption

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

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

Investment Strategies range focused on Unit Linked development

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Agenda

VI. Back up

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Portfolios exposure on PIGS

(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

VI. BACK-UP

Exposure to peripheral Europe Government Bonds as at 30.09.2010

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Venice, November 26, 2010

Generali Investor Day 2010

Generali Investments Strategy & Performance

Philippe SetbonChief Executive Officer of Generali Investments