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quarterly statement - TIAA-CREF

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E06.16<br />

STATEMENT AS OF SEPTEMBER 30, 2011 OF THE TEACHERS INSURANCE and ANNUITY ASSOCIATION of AMERICA<br />

SCHEDULE DB - PART A - SECTION 1<br />

Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date<br />

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23<br />

Description<br />

Strike<br />

Current<br />

Credit Hedge<br />

of Items<br />

Price, Prior Year Year Initial<br />

Total Current Adjustment<br />

Quality Effectiveness<br />

Description<br />

Hedged or<br />

Used for<br />

Income<br />

Generation<br />

Schedule/<br />

Exhibit<br />

Identifier<br />

Type(s)<br />

of<br />

Risk(s)<br />

Exchange or<br />

Counterparty<br />

Trade<br />

Date<br />

Date of<br />

Maturity<br />

or<br />

Expiration<br />

Number<br />

of<br />

Contracts<br />

Notional<br />

Amount<br />

Rate or<br />

Index<br />

Received<br />

(Paid)<br />

Initial Cost<br />

of Premium<br />

(Received)<br />

Paid<br />

Cost of<br />

Premium<br />

(Received)<br />

Paid<br />

Current<br />

Year<br />

Income<br />

Book/<br />

Adjusted<br />

Carrying<br />

Value Code Fair Value<br />

Unrealized<br />

Valuation<br />

Increase/<br />

(Decrease)<br />

Foreign<br />

Exchange<br />

Change in<br />

B./A.C.V.<br />

Year’s<br />

(Amortization)/<br />

Accretion<br />

to Carrying<br />

Value of<br />

Hedged<br />

Item<br />

Potential<br />

Exposure<br />

of<br />

Reference<br />

Entity<br />

at Inception<br />

and at<br />

Quarter-end<br />

(a)<br />

<br />

<br />

$"%&<br />

!! "! ##' ( )#! #" ## )<br />

<br />

* +<br />

*$ %! %! <br />

$%&<br />

##' ( #! %#!"% ## )<br />

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*<br />

*, %! %! <br />

$)"&<br />

##' ( %)#% &!#%( ## )<br />

<br />

*<br />

, * %)! %! <br />

$)"&<br />

!##' ( !#%! &#!( !## )<br />

,+ <br />

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*<br />

$ ))"- , * %! %! <br />

$%&<br />

!##' ( %)#! &#( !## )<br />

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$ , * !%! "! <br />

$)&<br />

##' ( %"#) )#" ## )<br />

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#!#' ( )"#% #" #!# )<br />

,+ <br />

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. <br />

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,+ <br />

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- , * $$<br />

- , * $$<br />

- , * $$<br />

- , * $$<br />

$)!&<br />

%!! %! !##' ( !#%! %#" !## )<br />

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!!! "! ##' ( %#! #% ## )<br />

$!&<br />

!! "! ##' ( "# !#% ## )<br />

$"%&<br />

"! "! ##' ( )#! !#" ## )<br />

*$ $$ %!! %! <br />

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##' ( %#! #% ## )<br />

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##' ( #!! &"#)( ## )<br />

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$ ))"- <br />

-* +-* <br />

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, <br />

$)&<br />

' !! "! !##' ( !#!)" &( !## )<br />

* <br />

$&<br />

%! %! !##' ( #" &!#%( !## )<br />

, <br />

$%&<br />

' " ##' ( )#) &"#"!#!( &#)#%( ## ) )

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