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SI12.12NumberANNUAL 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 DescriptionDescription . *. * / *. * / 0 * / 1 ! " # $ % &'(& ! " # $ % &&&'&&& ! " # $ % &'(& * ! " # $ % #% #% &'& * ! " # $ % #% #% &'& * ! " # $ % #% #% &'& ! " # $ % &'& ! " # $ % &'&15Book/AdjustedCarryingValue16Fair Value ) * $ +,- ) * $ +,- ) * $ +,- ) * $ +,- ) * $ +,- ) * $ +,- ) * $ +,- ) * $ +,- ) * $ +,- ) * $ +,-12 ) * $ +,-&'& ) * $ +,-&'*& 9999999 - Totals XXX XXX XXX #% XXX XXX XXX
ANNUAL STATEMENT FOR THE YEAR 2011 OF THE TEACHERS INSURANCE and ANNUITY ASSOCIATION of AMERICASCHEDULE DB - PART C - SECTION 2Replication (Synthetic Asset) Transactions Open1NumberofPositionsFirst Quarter Second Quarter Third Quarter Fourth Quarter Year To Date23456789Total ReplicationTotal ReplicationTotal ReplicationTotal Replication(Synthetic Asset) Number (Synthetic Asset) Number (Synthetic Asset) Number (Synthetic Asset) NumberTransactionsofTransactionsofTransactionsofTransactionsofStatement Value Positions Statement Value Positions Statement Value Positions Statement Value Positions10Total Replication(Synthetic Asset)TransactionsStatement Value1. Beginning Inventory 2. Add: Opened or Acquired Transactions 3. Add: Increases in Replication (Synthetic Asset)Transactions Statement Value XXX XXX XXX XXX XXX 4. Less: Closed or Disposed of Transactions 5. Less: Positions Disposed of for Failing EffectivenessCriteria 6. Less: Decreases in Replication (Synthetic Asset)Transactions Statement Value XXX XXX XXX XXX XXX SI137. Ending Inventory
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