1 / 20

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.

xiang
Download Presentation

Libyan Investment Authority Management Information Report 30 June 2010

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  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

More Related