TRS 2011 Comprehensive Annual Financial Report

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TEACHER RETIREMENT SYSTEM OF TEXAS COMPREHENSIVE ANNUAL FINANCIAL REPORT 2011 Notes to the Financial Statements Terms Notional Fair Value U.S. LIBOR-Varied Terms $ 3,267,238,636 $ (174,566,287) GBP LIBOR-Varied Terms 4,210,946 177,552 1 month EURIBOR 6,287,029 (251,882) 1 month STIBOR 820,285 (80,220) 1 month HIBOR 4,179,756 104,115 1 month U.S. Treasury Bill 728,327,376 45,606,838 3 month Canada Banker’s Acceptance 30,269,819 16,615,320 3 month STIBOR 72,137,883 10,063,980 3 month U.S. Treasury Bill 1,726,916,784 73,951,099 6 month EURIBOR 30,992,862 6,451,950 JPY Overnight 855,988 33,346 U.S. Fed Funds Effective Rate 28,849,662 (1,304,251) Fixed Rate 154,067,917 (38,855,155) Total $ 6,055,154,943 $ (62,053,595) Foreign Currency Risk – Deposits and Investments Foreign currency risk is the risk that changes in exchange rates will adversely affect the fair value of a deposit or an investment. The system does not have a formal deposit policy for foreign currency risk. The risk of holding investments in foreign currency is managed by engaging in currency overlay strategies. The maximum notional exposure of the fund to any single non-U.S. dollar developed market currency and any emerging market currency will be limited to 2% and 1% of the market value of the fund respectively. The system’s exposure to foreign currency risk at August 31, 2011, is presented in the tables on the following pages. 52 FINANCIAL SECTION
TEACHER RETIREMENT SYSTEM OF TEXAS COMPREHENSIVE ANNUAL FINANCIAL REPORT 2011 Notes to the Financial Statements Deposits: Currency Cash in Non-U.S. Banks Australian Dollar $ 4,355,235 Botswana Pula 9,809 Brazilian Real 3,779,330 Canadian Dollar 1,163,953 Chilean Peso 139,660 Colombian Peso 96,678 Croatian Kuna 100,846 Czech Koruna 73,459 Danish Krone 297,430 Egyptian Pound 126,058 Euro 27,249,109 Ghanaian Cedi 10,247 Hong Kong Dollar 30,118,228 Hungarian Forint 61,940 Indian Rupee 6,064,412 Indonesian Rupiah 1,753,231 Israeli Shekel 74,412 Japanese Yen 35,324,555 Jordanian Dinar 160,969 Kenyan Shilling 150,334 Lithuania Litas 44,861 Malaysian Ringgit 941,671 Mauritius Rupee 71,358 Mexican Peso 128,751 Moroccan Dirham 129,485 New Turkish Lira 275,114 New Zealand Dollar 46,723 Nigerian Naira 94,751 Norwegian Krone 1,252,517 Pakistan Rupee 87,883 Peruvian Nuevo Sol 54,835 Philippine Peso 100,384 Polish Zloty 573,288 Pound Sterling 16,464,381 Qatar Riyal 74,510 Singapore Dollar 721,681 South African Rand 4,805,459 South Korean Won 1,317,647 Swedish Krona 2,485,855 Swiss Franc 3,178,658 Taiwan Dollar 6,775,501 Thai Baht 1,171,162 United Arab Emirates Dirham (3)* Total Deposits Subject to Foreign Currency Risk $ 151,906,367 * Balance is related to the timing of trade related costs. FINANCIAL SECTION 53
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TRS 2011 Comprehensive Annual Financial Report

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