schedule db - part f - section 1 - TIAA-CREF

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STATEMENT AS OF SEPTEMBER 30, 2009 OF THE TEACHERS INSURANCE and ANNUITY ASSOCIATION of AMERICA NOTES TO FINANCIAL STATEMENTS 17. Sale, Transfer and Servicing of Financial Assets and Extinguishments of Liabilities C. Wash Sales (1) TIAA does not engage in the practice of wash sales, however, in isolated cases in the course of asset management activities, a security may be sold and repurchased in whole or in part within thirty days of the sale when an opportunity to significantly enhance the return on the investment is present. (2) During the period ended September 30, 2009, wash sales for securities with a NAIC designation 3 or below were: Number of Transactions Book Value of Sales 7.4 Cost of Repurchases Gains (Losses) NAIC 4 2 $ 2,884,020 $ 2,884,020 $ 10,980 NAIC 5 3 $ 5,012,383 $ 4,987,500 $ 37,617 NAIC 6 2 $ 1,309,197 $ 1,306,813 $ (2,385) 18. Gain or Loss to the Reporting Entity from Uninsured Plans and the Uninsured Portion of Partially Insured Plans Not Applicable. 19. Direct Premium Written/Produced by Managing General Agents/Third Party Administrators Not Applicable. 20. Other Items C. Other Disclosures - Effective March 2009, TIAA has been authorized to execute investment transactions under the Term Asset- Backed Securities Loan Facility (“TALF”) program. Under the TALF program, the Federal Reserve Bank of New York (“FRBNY”) will lend up to $200 billion on a non-recourse basis to holders of certain AAA-rated Asset Backed Securities (“ABS”) backed by newly and recently originated consumer and small business loans. The FRBNY will lend an amount equal to the market value of the ABS less a haircut and will be secured at all times by the ABS. Loan proceeds will be disbursed to the borrower, contingent on receipt by the FRBNY custodian bank of the eligible collateral. TIAA’s investments in the TALF program shall not exceed $500 million in the aggregate, net of financing provided by the FRBNY. As of September 30, 2009, TIAA has purchased $1,024,491,326 of eligible asset-backed securities under the TALF program which have been pledged as collateral and recorded as a loan liability outstanding to the FRBNY in the amount of $939,810,222. G. Subprime Mortgage Exposure - The Company’s exposure to subprime lending is limited to investments within its investment portfolio which are primarily in the form of ABS supported by subprime mortgage. Additionally the Company does not underwrite nor does it hold any direct sub-prime mortgages. The Company manages its subprime risk exposure by limiting the Company’s holdings in these types of instruments; maintaining high credit quality investments; and performing ongoing analysis of cash flows, prepayment speeds, default rates and other stress variables. Loan-backed and structured securities not in default are valued at amortized cost. Securities held for sale or rated NAIC 6 are valued at the lower of amortized cost or fair value. All securities are subjected to the Company’s process for identifying other-than-temporary impairments. The impairment identification process utilizes but is not limited to, a screening process based on declines in fair value and prospects for recovery. The Company writes down securities that it deems to have an other-than-temporary impairment in value in the period the securities are deemed to be impaired. Furthermore, the Company does not have any underwriting exposure to subprime mortgage risk through Mortgage Guaranty or Financial Guaranty insurance coverage. The following table presents the Company’s exposure to ABS securities supported by subprime residential mortgage loans: Credit Quality Actual Cost Book Adjusted Carrying Value Fair Value Inception to Date OTTI NAIC 1 $ 1,936,052,874 $ 1,941,280,409 $ 1,361,967,612 $ --- NAIC 2 317,641,633 310,031,199 183,772,007 8,164,304 NAIC 3 211,747,044 210,868,137 106,146,137 1,352,262 NAIC 4 335,537,318 296,959,788 154,886,983 40,362,994 NAIC 5 625,506,091 498,315,528 308,941,932 128,844,786 NAIC 6 106,416,186 7,646,054 7,630,447 96,487,076 Total $ 3,532,901,146 $ 3,265,101,115 $ 2,123,345,118 $ 275,211,422
STATEMENT AS OF SEPTEMBER 30, 2009 OF THE TEACHERS INSURANCE and ANNUITY ASSOCIATION of AMERICA 21. Events Subsequent: Not Applicable. 22. Reinsurance No Material Change. 23. Retrospectively Rated Contracts Not Applicable. 24. Changes in Incurred Losses and Loss Adjustment Expenses No Material Change. 25. Intercompany Pooling Arrangements Not Applicable. 26. Structured Settlements Not Applicable. 27. Health Care Receivables Not Applicable. 28. Participating Policies Not Applicable. 29. Premium Deficiency Reserves No Material Change. 30. Reserves for Life Contracts and Deposit-Type Contracts No Material Change. NOTES TO FINANCIAL STATEMENTS 31. Analysis of Annuity Actuarial Reserves and Deposit Liabilities by Withdrawal Characteristics No Material Change. 32. Premiums and Annuity Considerations Deferred and Uncollected No Material Change. 33. Separate Accounts A. The Company provides mortality, expense and liquidity guarantees to TIAA Real Estate Separate Account (“REA”) and is compensated for these guarantees. The Company guarantees that once REA participants begin receiving lifetime annuity income benefits, monthly payments will never be reduced as a result of adverse mortality experience. The Company also guarantees that expense charges to REA participants will never rise above the maximum amount stipulated in the contract. The Company provides REA with a liquidity guarantee to ensure it has funds available to meet participant transfer or cash withdrawal requests. If REA cannot fund participant requests, the Company’s general account will fund them by purchasing Accumulation Units in REA. The Company guarantees that participants will be able to redeem their Accumulation Units at the then current daily Accumulation Unit Value. Pursuant to the liquidity guarantee obligation, TIAA General Account owned 4,715,633 accumulation units issued by the TIAA Real Estate Separate Account with a fair value of $960,801,317 as of September 30, 2009. 34. Loss/Claims Adjustment Expense No Material Change. 7.5
Page 1: QUARTERLY STATEMENT OF THE TEACHERS
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E05.11 STATEMENT AS OF SEPTEMBER 30
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STATEMENT AS OF SEPTEMBER 30, 2009
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schedule db - part f - section 1 - TIAA-CREF

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