quarterly statement - TIAA-CREF

E06.2
STATEMENT AS OF SEPTEMBER 30, 2011 OF THE TEACHERS INSURANCE and ANNUITY ASSOCIATION of AMERICA
SCHEDULE DB - PART A - SECTION 1
Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
Description
Strike
Current
Credit Hedge
of Items
Price, Prior Year Year Initial
Total Current Adjustment
Quality Effectiveness
Description
Hedged or
Used for
Income
Generation
Schedule/
Exhibit
Identifier
Type(s)
of
Risk(s)
Exchange or
Counterparty
Trade
Date
Date of
Maturity
or
Expiration
Number
of
Contracts
Notional
Amount
Rate or
Index
Received
(Paid)
Initial Cost
of Premium
(Received)
Paid
Cost of
Premium
(Received)
Paid
Current
Year
Income
Book/
Adjusted
Carrying
Value Code Fair Value
Unrealized
Valuation
Increase/
(Decrease)
Foreign
Exchange
Change in
B./A.C.V.
Year’s
(Amortization)/
Accretion
to Carrying
Value of
Hedged
Item
Potential
Exposure
of
Reference
Entity
at Inception
and at
Quarter-end
(a)
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