Assicurazioni Generali S.p.a. · MIL:G
Assicurazioni Generali — Investor Day (November 2010)
29 slides from Assicurazioni Generali's investor day presentation, Nov 26, 2010
Slide 1: Generali Investor Day 2010: Strategic Asset Allocation & Risk Management Strategy
Generali Investor Day 2010 Strategic Asset Allocation & Risk Management Strategy Amerigo Borrini Chief Risk Officer Salvatore Colotti Chief Life Actuary Venice, November 26, 2010
Slide 2: Disclaimer
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 re
Slide 3: Strategic Asset Allocation & Risk Management Strategy
II. Strategic Asset Allocation & Risk Management Strategy 3 I. Introduction: How we managed and performed II. Asset and Liabilities integration III. Final remarks Assicurazioni Generali Group – Investor Day 2010 – Investment Management of Insurance Assets
Slide 4: I. Introduction: How we managed and performed
Agenda 4 I. Introduction: How we managed and performed Strategic Asset Allocation & Risk Management Increased investment portfolio Our track record on investment management Group risk capital and financial risks Assicurazioni Generali Group – Investor Day 2010 – Investment Management of Insurance As
Slide 5: Strategic Asset Allocation & Risk Management: Own Investments
I. INTRODUCTION: HOW WE MANAGED AND PERFORMED Strategic Asset Allocation & Risk Management 5 At 30.09.2010 “Own Investments” including own use real estate(1) Euro 331.1 bn Asset Allocation Insurance Liabilities Fixed income Cash & equival. instruments BV 3.0% BV 79.1% MV 2.9% MV 78.1% Equity BV 8.4%
Slide 6: We increased our investment portfolio
I. INTRODUCTION: HOW WE MANAGED AND PERFORMED We increased our investment portfolio 6 Strong growth trend of total Assets Under Management (Euro bn) + 8.1% AUM net of sale and + 13.1% acquisition (∆% YoY) + 1.2% - 7.2% + 6.2% + 8.1% AUM (∆% YoY) + 7.1% + 0.6% + 0.3% + 8.6% 95.9 83.6 62.9 61.4 68.6 T
Slide 7: Our investments – Life
I. INTRODUCTION: HOW WE MANAGED AND PERFORMED Our investments – Life 7 Asset allocation (%) - Eur 269.7 bn at 9M10 1.4% 1.8%1.7%1.5%1.7%2.1%2.0%2.1%1.7%1.9% 1.6% 2.0% Cash Maintained an asset 2.6% 3.0% 3.8% 4.2% 4.0% allocation consistent with the 3.7% Other structure of our technical investment r
Slide 8: Own investments – P&C
I. INTRODUCTION: HOW WE MANAGED AND PERFORMED Own investments – P&C 8 Asset allocation (%) - Eur 38.6 bn at 9M10 4.0% 4.8% 6.9% 6.0% 7.8% 5.6% Increases in the share of 2.5% 2.7% 3.8% 2.8% Cash 3.3% 2.4% corporate bonds within bond 22.6% 20.3% 17.8% 20.7% 20.3% 20.9% Other portfolio has allowed Ge
Slide 9: Our track record on investment management
I. INTRODUCTION: HOW WE MANAGED AND PERFORMED Our track record on investment management 9 Assets: Limited net exposure to structured finance: Euro 1.5 bn diversification and prudent No exposure to US subprime assets approach Negligible exposure to credit default swaps: only hedging and investm
Slide 10: Group risk capital and financial risks
I. INTRODUCTION: HOW WE MANAGED AND PERFORMED Group risk capital and financial risks 10 At 31.12.2009 Significant portion Diversification (Euro bn / Percentage) within business units of Group risk capital €26.7bn Not under IM(1) 1.9 / 7% related to financial Group (4.5) risks (64%) Operational 2.1
Slide 11: II. Asset and Liabilities integration
Agenda 11 II. Asset and Liabilities integration Centralised strategic investment framework Life Liabilities existing business / new business P&C asset liability management Asset allocation process and Solvency II Assicurazioni Generali Group – Investor Day 2010 – Investment Management of Insurance A
Slide 12: Financial crisis has given an acceleration in renewing financial system processes
II. ASSET AND LIABILITIES INTEGRATION Overview 12 Financial crisis has given an acceleration in renewing financial system processes Current environment is characterised by the need for changes (Solvency II) at system level updating governance, processes, profitability metrics, products Local regulat
Slide 13: Centralised strategic investment framework
II. ASSET AND LIABILITIES INTEGRATION Centralised strategic investment framework 13 Corporate Centre coordination and control of strategic investment Group Risk Guidelines (SAA, Credit, Market Risk Concentration, Derivative & Structured Products, Alternative Investments,...) Committees structure
Slide 14: Life liabilities: Existing business
II. ASSET AND LIABILITIES INTEGRATION Life liabilities: Existing business(1) 14 FY 2009 Total Reserves: Area/Product FY 2009 Total Reserves: Area/Premium type By Area (Euro bn) By Area (Euro bn) 90 Unit Saving 90 Single 80 Unit Pension 80 70 Regular Traditional Saving 70 60 Traditional Risk 60 50 Tr
Slide 15: Life liabilities existing business: Guarantees
II. ASSET AND LIABILITIES INTEGRATION Life liabilities existing business(1): Guarantees 15 Total Reserves by type of guarantee NIL At maturity Yearly basis (Cliquet) 22% 9% Guarantee Profit sharing granted and consolidated every year Matched Yearly basis At Maturity Guarantee 3% 66% Profit shari
Slide 16: Life liabilities: new business
II. ASSET AND LIABILITIES INTEGRATION Life liabilities: new business(1) 16 FY 2009 APE: Area/Product FY 2009 APE: Area/Premium type By Area (Euro m) By Area (Euro m) 1,800 Unit Saving 1,800 Single 1,600 Unit Pension 1,600 1,400 Regular Traditional Saving 1,400 1,200 Traditional Risk 1,200 1,000 Trad
Slide 17: Life liabilities: new business guarantees
II. ASSET AND LIABILITIES INTEGRATION Life liabilities(1): new business guarantees 17 Total APE by type of guarantee FY 2008 NIL At maturity 2008 Average Guarantee: 1.56% 30% 11% Yearly basis: 1.5% Matched Yearly basis At maturity: 1.9% 3% 56% FY 2009 NIL At maturity 2009 Average Guarantee: 1.56
Slide 18: Life liabilities: focus on Italian new production
II. ASSET AND LIABILITIES INTEGRATION Life liabilities: focus on Italian new production 18 Absence of volatility absorbers (beyond book accounting) in Italian traditional business, as opposed to Germany and France, that use policyholder/capital gains funds Penalised NBV computation due to widening o
Slide 19: Life liabilities: Portfolio guarantees development
II. ASSET AND LIABILITIES INTEGRATION Life liabilities: Portfolio guarantees development(1) 19 Expected guarantees development (%) Reserves composition (%) 2.50 New Business Old Business 100.00 2.25 Strong reduction 80.00 in the average 2.00 60.00 guarantee 1.75 40.00 thanks to back 20.00 book run o
Slide 20: P&C asset liability management
II. ASSET AND LIABILITIES INTEGRATION P&C asset liability management 20 Net technical Reserves (Euro bn) 29.0 29.3 29.6 28.4 24.2 Lengthened duration on bonds (from 2.9 at FY07 to 4.7 at 9M10) P&C liabilities duration at 3.3 Duration mismatch on P&C is 2005 2006 2007 2008 2009 based on a ongoi
Slide 21: Asset allocation process in a Solvency II environment
II. ASSET AND LIABILITIES INTEGRATION Asset allocation process in a Solvency II environment 21 New regulatory framework and the changing market environment are strengthening the focus on a liability driven approach where asset liability management is the cornerstone Investment strategies defined coh
Slide 22: Strategic Asset Allocation process
II. ASSET AND LIABILITIES INTEGRATION Strategic Asset Allocation process 22 Strong Corporate Centre Coordination and Enhancement of granularity improve efficiency in the investment process Financial assumptions Consolidation of bottom up Strategic Plan targets strategies Corporate Centre Gui
Slide 23: SAA Life Process
II. ASSET AND LIABILITIES INTEGRATION SAA Life Process 23 Strategic Plan coherency Portfolio analysis Liability portfolio structure and market outlook Investment targets Portfolio assets mapped Analysis of reserves split by Market expected return into SAA categories guarantee level and struc
Slide 24: SAA Non-life Process
II. ASSET AND LIABILITIES INTEGRATION SAA Non-life Process 24 Strategic Plan coherency Portfolio analysis and market outlook Investment targets Portfolio assets mapped Market expected return into SAA categories Group/Company risk Regulatory constraints and tolerance Group Risk Guidelines c
Slide 25: Return on capital optimisation: Life
II. ASSET AND LIABILITIES INTEGRATION Return on capital optimisation: Life 25 Manage exposure to risky assets due to higher capital requirements Corporate Govt Bonds Equities Real Estate Bonds Short / Long Exposure Trend Ã Ã Ä Ä Ã Government bonds are a very attractive asset class in order to bett
Slide 26: Return on capital optimisation: P&C
II. ASSET AND LIABILITIES INTEGRATION Return on capital optimisation: P&C 26 Begin a de-risking process in order to reduce risk capital Corporate Govt Bonds Equities Real Estate Bonds Short / Long Exposure Trend Ã Ã Ä Ä Ä Preference for government bond and short / high quality corporate bond Red
Slide 27: III. Final remarks
Agenda 27 III. Final remarks Assicurazioni Generali Group – Investor Day 2010 – Investment Management of Insurance Assets
Slide 28: Final remarks
III. FINAL REMARKS Final remarks 28 More transparent and flexible investment process in a clear governance structure Liability driven management approach Portfolio tailored asset allocation in order to increase capital efficiency Strong Corporate Centre coordination in the definition of asset alloca
Slide 29: Generali Investor Day 2010
Generali Investor Day 2010 Strategic Asset Allocation & Risk Management Strategy Amerigo Borrini Chief Risk Officer Salvatore Colotti Chief Life Actuary Venice, November 26, 2010
Assicurazioni Generali — Investor Day (November 2010) on 6ix