assets - TIAA-CREF

SI12.9ANNUAL STATEMENT FOR THE YEAR 2011 OF THE TEACHERS INSURANCE and ANNUITY ASSOCIATION of AMERICASCHEDULE DB - PART C - SECTION 1Replication (Synthetic Asset) Transactions Open as of December 31 of Current YearReplication (Synthetic Asset) TransactionsComponents of the Replication (Synthetic Asset) Transactions1 2 3 4 5 6 7 8 Derivative Instrument(s) Open Cash Instrument(s) Held91011 121314NAICNAICDesignation orBook/AdjustedBook/AdjustedDesignation orOtherNotional CarryingEffective MaturityCarryingOtherDescriptionDescription Amount Value Fair Value Date DateDescriptionValue Fair Value CUSIP DescriptionDescriptionNumberFair Value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ook/AdjustedCarryingValue/" ! # *%"#*!% %*%"* /" ! # *%"#*!% %*%"* /" ! # *! * ! * #* /" ! # ! **! !"*! * /" ! # " *#*" "*!!*! 16