TRS 2011 Comprehensive Annual Financial Report
TRS 2011 Comprehensive Annual Financial Report
TRS 2011 Comprehensive Annual Financial Report
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TEACHER RETIREMENT SYSTEM OF TEXAS COMPREHENSIVE ANNUAL FINANCIAL REPORT <strong>2011</strong><br />
Notes to the <strong>Financial</strong> Statements<br />
Terms Notional Fair Value<br />
U.S. LIBOR-Varied Terms $ 3,267,238,636 $ (174,566,287)<br />
GBP LIBOR-Varied Terms 4,210,946 177,552<br />
1 month EURIBOR 6,287,029 (251,882)<br />
1 month STIBOR 820,285 (80,220)<br />
1 month HIBOR 4,179,756 104,115<br />
1 month U.S. Treasury Bill 728,327,376 45,606,838<br />
3 month Canada Banker’s Acceptance 30,269,819 16,615,320<br />
3 month STIBOR 72,137,883 10,063,980<br />
3 month U.S. Treasury Bill 1,726,916,784 73,951,099<br />
6 month EURIBOR 30,992,862 6,451,950<br />
JPY Overnight 855,988 33,346<br />
U.S. Fed Funds Effective Rate 28,849,662 (1,304,251)<br />
Fixed Rate 154,067,917 (38,855,155)<br />
Total $ 6,055,154,943 $ (62,053,595)<br />
Foreign Currency Risk – Deposits and Investments<br />
Foreign currency risk is the risk that changes in exchange rates will adversely affect the fair value of a deposit or an investment.<br />
The system does not have a formal deposit policy for foreign currency risk. The risk of holding investments in foreign currency is managed<br />
by engaging in currency overlay strategies. The maximum notional exposure of the fund to any single non-U.S. dollar developed market<br />
currency and any emerging market currency will be limited to 2% and 1% of the market value of the fund respectively. The system’s<br />
exposure to foreign currency risk at August 31, <strong>2011</strong>, is presented in the tables on the following pages.<br />
52 FINANCIAL SECTION
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