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Libyan Investment Authority Management Information Report 30 June 2010

Libyan Investment Authority Management Information Report 30 June 2010. NAV and performance (In 000’ USD). *The methodology for the Equity Performance calculation is the Modified Dietz Method which takes weighted cash flows in to account over the period to give a true performance figure.

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Libyan Investment Authority Management Information Report 30 June 2010

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  1. Libyan Investment AuthorityManagement Information Report 30 June 2010

  2. NAV and performance (In 000’ USD) *The methodology for the Equity Performance calculation is the Modified Dietz Method which takes weighted cash flows in to account over the period to give a true performance figure.

  3. Portfolio Breakdown (excluding Subsidiaries) Bonds & Equity Analysis Currency Sector Regions

  4. Cash Position ( in 000’ USD)

  5. Deposits Position ( in 000’ USD)

  6. Equities Long Term Performance Regions Currency Average Risk Weighted Assets Top 10 countries Sectors - Not Rated Counterparties have been excluded from the Avg RWA calculation Please be informed that the MSCI index country & sector breakdown are not the most recent weightings.

  7. Equities ( in 000’ USD) *AUM represents the Assets under management within the Equity Portfolio and NOT the AUM of the LIA as a whole.

  8. Equities ( in 000’ USD) *AUM represents the Assets under management within the Equity Portfolio and NOT the AUM of the LIA as a whole.

  9. Bonds Average Risk Weighted Assets Regions - Not Rated Counterparties have been excluded from the Avg RWA calculation Top 10 countries Sectors

  10. Bonds ( in 000’ USD) *AUM represents the Assets under management within the Bond Portfolio and NOT the AUM of the LIA as a whole.

  11. Bonds ( in 000’ USD) *AUM represents the Assets under management within the Bond Portfolio and NOT the AUM of the LIA as a whole.

  12. Externally Managed Bond Portfolio ( in 000’ USD) *AUM represents the Assets under management within the Bond Portfolio and NOT the AUM of the LIA as a whole. All mandates; global government fixed income 1-3 year ,minimum rating A/A2 .

  13. Alternatives Asset Allocation

  14. Alternatives Structured Product Investments, Externally Managed ( in 000’ USD)

  15. Alternatives ( in 000’ USD) Private Equity Funds, externally managed Equity Derivatives, Externally Managed ( in 000’ USD) Valuations on equity derivatives above are based on NPV (Net Present Value) and are subject to change with market conditions upon maturity.

  16. Subsidiaries (In 000’ USD)

  17. Other Assets ( in 000’ USD)

  18. Assets bought/sold/maturing in last 3 months (In 000’ USD) Investments maturing in next 3 months (In 000’USD)

  19. VaR(VAR based on 95% Confidence, 3 Years Historical and 1 Day time horizon) Strategic Equity Portfolio Equity Portfolio ­ Due to Bloomberg VAR engine Limitation, the VAR has been calculated as the 22nd Sept 2010 using the Equity Portfolio positions as 30th June 2010 ­ The Stress Scenarios are build within Bloomberg / Provided by Bloomberg

  20. VaR (cont’d) Consolidated Bond Portfolio (Internally Managed) ­ Due to Bloomberg VAR engine Limitation, the VAR has been calculated as the 22nd Sept 2010 using the Equity Portfolio positions as 30th June 2010 ­ The Stress Scenarios are build within Bloomberg / Provided by Bloomberg

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