quarterly statement - TIAA-CREF

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STATEMENT AS OF SEPTEMBER 30, 2011 OF THE TEACHERS INSURANCE and ANNUITY ASSOCIATION of AMERICA 21. Other Items C. Other Disclosures NOTES TO FINANCIAL STATEMENTS Effective March 2009, <strong>TIAA</strong> was 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”) lent 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 lent an amount equal to the market value of the ABS less a haircut and were secured at all times by the ABS. Loan proceeds were disbursed to the borrower, contingent on receipt by the FRBNY custodian bank of the eligible collateral. As of September 30, 2011, <strong>TIAA</strong>’s eligible ABS under the TALF program totaled $900,215,895 which have been pledged as collateral to support a $820,663,635 loan outstanding payable to the FRBNY. The TALF Subscription program officially ended in April 2010. Forward Commitments The Company has the following forward commitments: At September 30, 2011, outstanding forward commitments for future long-term bond investments were $692,705,458. Of this, $246,197,347 is scheduled for disbursement in 2011 and $446,508,111 in later years. The funding of bond commitments is contingent upon the continued favorable financial performance of the potential borrowers. At September 30, 2011, outstanding forward commitments for future preferred stock investments were $8,614,136. Of this, $1,722,827 is scheduled for disbursement in 2011 and $6,891,309 in later years. The funding of preferred stocks commitments is contingent upon the continued favorable financial performance. At September 30, 2011, outstanding forward commitments for future mortgage loan investments were $240,501,391. Of this, $97,361,670 is scheduled for disbursement in 2011 and $143,139,721 in later years. The funding of mortgage loan commitments is contingent upon the underlying properties meeting specified requirements, including construction, leasing and occupancy. G. Subprime Mortgage Related Risk 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 loans. 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 held at amortized cost. Securities held for sale, or rated NAIC 6 are held at the lower of amortized cost or fair value. All securities are subjected to the Company’s process for identifying OTTIs. The impairment identification process utilizes various techniques and processes including a screening process based on declines in fair value and prospects for recovery. The Company writes down securities that it deems to have an OTTI 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 as of September 30, 2011: Credit Quality 22. Events Subsequent No Material Change. 23. Reinsurance No Material Change. Actual Cost Book Adjusted Carrying Value Fair Value Inception to Date OTTI NAIC 1..... $ 2,538,819,891 $ 2,516,711,050 $ 2,265,719,850 $ (273,063,609 ) NAIC 2..... 177,805,797 177,590,161 147,597,358 (12,430,413 ) NAIC 3..... 224,631,696 221,432,727 176,802,039 (5,206,149 ) NAIC 4..... 196,637,281 191,889,363 137,457,807 (18,274,544 ) NAIC 5..... 50,630,294 47,128,709 29,759,229 (8,585,049 ) NAIC 6..... 32,253,809 22,261,935 47,371,050 (80,420,003 ) Total...... $ 3,220,778,768 $ 3,177,013,945 $ 2,804,707,333 $ (397,979,767 ) 7.10
STATEMENT AS OF SEPTEMBER 30, 2011 OF THE TEACHERS INSURANCE and ANNUITY ASSOCIATION of AMERICA NOTES TO FINANCIAL STATEMENTS 24. Retrospectively Rated Contracts and Contracts Subject to Redetermination Not applicable. 25. Changes in Incurred Losses and Loss Adjustment Expenses No Material Change. 26. Intercompany Pooling Arrangements Not applicable. 27. Structured Settlements Not applicable. 28. Health Care Receivables Not applicable. 29. Participating Policies Not applicable. 30. Premium Deficiency Reserves No Material Change. 31. Reserves for Life Contracts and Annuity Contracts No Material Change. 32. Analysis of Annuity Actuarial Reserves and Deposit Type Liabilities by Withdrawal Characteristics No Material Change. 33. Premiums and Annuity Considerations Deferred and Uncollected No Material Change. 34. Separate Accounts No Material Change. 35. Loss/Claims Adjustment Expense No Material Change. 7.11
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