UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

 

FORM 11-K

 

 

 

(Mark One)

 

[X]ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the fiscal year ended December 31, 2019

 

OR

  [ ] TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the transition period from to ___

 

Commission File Number 001-38769

 

A.Full title of the plan and the address of the plan, if different from that of the issuer named below:

 

Cigna 401(k) Plan

 

B.Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:

 

Cigna Corporation

900 Cottage Grove Road

Bloomfield, Connecticut 06002

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIGNA 401(k) PLAN

 

Financial Statements and

Supplemental Schedule

 

December 31, 2019 and 2018

 

 

 

 

 

 

 

 

 

 

 
 

 

 

CIGNA 401(k) PLAN

 

TABLE OF CONTENTS

 

 

 

 

 

 

 

 

Page

 

 

 

 

Report of Independent Registered Public Accounting Firm 3

 

 

 

 

 

Financial Statements

 

 

 

Statements of Net Assets Available for Benefits as of December 31, 2019 and 2018

 

5

 

Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2019

 

6

 

Notes to the Financial Statements

 

7

 

 

 

 

 

Supplemental Schedule*

 

 

 

Form 5500 Schedule H, Line 4i - Schedule of Assets (Held at End of Year) as of December 31, 2019

 

*Other supplemental schedules required by Section 2520.103-10 of the Department of

Labor’s Rules and Regulations for Reporting and Disclosure under ERISA have been

omitted because they are not applicable

 

 

18

 

 

 

 

 

 

 

 

Report of Independent Registered Public Accounting Firm

 

To the Administrator and Plan Participants of Cigna 401(k) Plan

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of net assets available for benefits of Cigna 401(k) Plan (the “Plan”) as of December 31, 2019 and December 31, 2018 and the related statement of changes in net assets available for benefits for the year ended December 31, 2019, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2019 and December 31, 2018, and the changes in net assets available for benefits for the year ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on the Plan’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Plan in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

Supplemental Information

 

The supplemental schedule of Form 5500 Schedule H, Line 4i - Schedule of Assets (Held at End of Year) as of December 31, 2019 has been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The supplemental schedule is the responsibility of the Plan’s management. Our audit procedures included determining whether the supplemental schedule reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedule. In forming our opinion on the supplemental schedule, we evaluated whether the supplemental schedule, including its form and content, is presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the supplemental schedule is fairly stated, in all material respects, in relation to the financial statements as a whole.

 

   

 

 

 

 

 

 

/s/ PricewaterhouseCoopers LLP

 

 

Philadelphia, Pennsylvania

June 26, 2020

 

We have served as the Plan’s auditor since at least 1994. We have not been able to determine the specific year we began serving as auditor of the Plan

 

 

 

   

 

 

 

 

CIGNA 401(k) PLAN
       
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
       
       
   As of
   December 31,
   2019  2018
   (In thousands)
Assets      
       
Investments, at Fair Value (See Note 4)  $6,655,971   $3,726,976 
           
Investments, at Contract Value (See Note 5)   3,091,873    2,086,528 
           
Notes receivable   150,760    96,110 
           
Employer contributions receivable   27,603    49,148 
           
Net assets available for benefits  $9,926,207   $5,958,762 
           
           
           
           
           
           
           
           
           
           
The accompanying Notes to the Financial Statements are an integral part of these statements.

 

 

5

 

 

 

 

CIGNA 401(k) PLAN
    
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
    
    For the Year Ended 
    December 31, 
    2019 
    (In thousands) 
      
Investment Income     
      
   Net appreciation in fair value of investments  $894,607 
      
   Interest   64,221 
      
   Dividends   182 
      
        Net investment income   959,010 
      
Interest income on notes receivable from participants   3,878 
      
Contributions     
      
   Employee contributions   277,493 
      
   Employer contributions   159,629 
      
   Rollover contributions   36,344 
      
        Total contributions   473,466 
      
Deductions     
      
   Benefits paid to participants   (421,661)
      
   Plan expenses   (2,549)
      
        Total deductions   (424,210)
      
Net increase   1,012,144 
      
Transfers from other plans (See Note 3)   2,955,301 
      
Net assets available for benefits     
   Beginning of year   5,958,762 
      
   End of year  $9,926,207 
      
      
      
      
The accompanying Notes to the Financial Statements are an integral part of these statements.

 

 

 

 

6 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

Note 1 – Description of the Plan

 

The following description of the Cigna 401(k) Plan (the “Plan”) provides general information only. A more complete explanation of the features and benefits available under the Plan, a defined contribution plan, is contained in the Plan’s Summary Plan Description and Prospectus. Generally, all U.S.-based employees of participating subsidiaries of Cigna Holding Company (formerly known as “Cigna Corporation”) and referred to as “Old Cigna” (the “Company” or “Plan Sponsor”) are eligible to participate in the Plan. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974, as amended (ERISA). As of December 31, 2019 and 2018 and for the year ended December 31, 2019, Prudential Bank & Trust, FSB, was the Trustee for the Plan.

 

Old Cigna became a subsidiary of Cigna Corporation (formerly Halfmoon Parent, Inc. and referred to as “Cigna”) on December 20, 2018 as a result of Cigna's acquisition of Express Scripts Holding Company. Following the acquisition, the Cigna Stock Fund refers to shares of Cigna issued since the time of the merger. Prior to December 20, 2018, the Cigna Stock Fund refers to shares previously issued by Old Cigna.

 

Plan Administration

 

The Cigna Corporation Retirement Plan Committee, which is comprised of three members of Cigna's management, is the primary Plan fiduciary. This committee delegates responsibility for administration of the Plan to the Plan Administrator, a Cigna employee, and responsibility for the Plan’s financial management to Cigna's Chief Financial Officer (CFO). The Plan Administrator and CFO have arranged with Prudential Retirement Insurance and Annuity Company (PRIAC) to perform the primary administrative, recordkeeping and asset management functions on behalf of the Plan. The Retirement Plan Committee is responsible for, among other things, selecting and monitoring the Plan’s investments.

 

Investments

 

The Plan’s investment options include a fixed income fund, which is supported by both traditional and synthetic fully benefit-responsive investment contracts (see Note 5); Cigna common stock; and pooled separate accounts that invest in equities, bonds, derivatives or funds. Participants may transfer assets among the investment options, subject to certain restrictions. For example, transfers involving assets invested in Cigna common stock may be subject to restrictions imposed under Cigna Corporation’s Policy on Securities Transactions and Insider Trading. See Notes 4 and 5 for additional information regarding the Plan’s investment options.

 

The Plan uses an age-appropriate Moderate target portfolio under Prudential Retirement’s GoalMaker® asset allocation program (GoalMaker) as its default investment option. GoalMaker meets the requirements to be a Qualified Default Investment Alternative (QDIA) under federal law. Participants are invested in the QDIA if they have not made their own investment allocation election or may be invested due to a plan merger if they do not elect how their old plan account should be invested after the plan merger occurs.

 

 

7 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

Employee Contributions

 

The Plan permits employees to make pre-tax and Roth contributions (regular and catch-up). The contribution rate maximum is 80% of a participant’s eligible pay. This is a total limit that applies to all employee contributions. As a result of the Plan’s use of a “qualified automatic contribution arrangement” (QACA) safe harbor, highly-compensated employees are not subject to a separate contribution rate limit.

 

The Plan uses an automatic contribution rate increase program called Contribution Accelerator. If an eligible participant’s pre-tax contribution rate is at least 1% but less than 10%, the contribution rate is automatically increased by 1% at the beginning of each year until it reaches 10%. Eligible participants can opt out of Contribution Accelerator or change the date when the increase would go into effect each year.

 

All employees, however, are still subject to the annual dollar limit set by the Internal Revenue Service (IRS). Employee contributions may be invested in any combination of investment options offered by the Plan subject to certain other Internal Revenue Code (IRC) limitations and any restrictions imposed under Cigna Corporation’s Policy on Securities Transactions and Insider Trading.

 

Employer Contributions

 

All employees are eligible for employer-matching contributions as soon as they join the Plan. New employees are automatically enrolled in the Plan after 30 days from date of hire and are eligible to receive regular matching contributions of 4% of the employee’s contribution. Regular matching contributions are made at the same time employee contributions are made, typically bi-weekly, but no less frequently than monthly.

 

The Plan also provides a “true-up” matching contribution after the close of each Plan year. The true-up match is an added employer contribution, if necessary to make the year’s total matching contributions equal to what they would have been on a “look-back” if all employee match eligible contributions were made as of the end of the year and matching contributions were based on the participant’s total annual eligible earnings as of the end of the year. The true-up match provides otherwise missed regular matching contributions for eligible participants caused by changes in an employee’s contribution rates during the year.

 

All types of matching contributions (regular and true-up) are collectively referred to as "employer contributions."

 

The maximum effective regular matching contribution is equal to 4.5% of a participant’s eligible earnings. The actual match rate is equal to: 100% of the participant’s first 3% of pay contributed (a 3% of pay match), plus 50% of the participant’s next 3% of pay contributed (a 1.5% of pay match). The company match rate applies to pre-tax, Roth contributions and catch-up contributions – to the extent those contributions are part of an employee’s first 6% of pay contributed.

 

In addition to providing regular and true-up contributions, the Plan also provides discretionary profit sharing contributions. The Plan Sponsor approved a dollar for dollar match on the first half percent (0.5%) and one percent (1%) of eligible pay in 2019 and 2018, respectively, subject to the Company achieving certain performance goals in 2019 and 2018. The performance goals were satisfied and the Company made matching contributions equal to $17.1 million in the first quarter of 2020 and $32.2 million in the first quarter of 2019.

 

8 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

Rollover Contributions

 

The Plan may accept rollover contributions. Rollover contributions represent distributions received from other “eligible retirement plans,” as defined in IRC section 401(a)(31)(E). Distributions from other plans are subject to certain conditions to be eligible for rollover into the Plan.

 

Participant Accounts

 

Each participant’s account is credited with the participant’s contribution, the employer contribution and investment earnings, net of expenses. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s vested account balance.

 

Vesting

 

Employee contributions and related investment earnings are fully vested at all times.

 

Employer contributions and related investment earnings become fully vested upon completion of two years of service. Employer contributions made at any time and related investment earnings become fully vested earlier when an employee reaches age 65; dies; becomes totally and permanently disabled; or continues to be employed by a participating Cigna company that is sold and does not maintain a successor plan. Early vesting also would occur if Cigna discontinues matching contributions or terminates the Plan.

 

Participants earn a year of vesting service if they have at least 1,000 hours of service during the calendar year.

 

Forfeitures

 

Forfeited amounts may be used to reduce future employer contributions and to offset certain plan expenses (other than routine administrative expenses) as determined by the Plan Administrator. Employer contributions were reduced by forfeited amounts of approximately $0.9 million in 2019.

 

Notes Receivable

 

The notes receivable amount represents the unpaid principal balance on unpaid loans. The Plan permits participants to borrow a portion of their vested Plan account, subject to certain limitations, including restriction of post-2009 Cigna employer contributions, at an annual rate of interest with a specified repayment period. The minimum amount that may be borrowed is $1,000; the maximum total loan amount is the lesser of $50,000 or 50% of the participant’s vested account balance. A participant may have no more than two outstanding loans. Loan terms range from 12 to 60 months or up to 120 months if the loan is used to buy or build a participant’s primary residence. The annual interest rate for a Plan loan is 2% plus the yield of actively traded U.S. Treasury securities, adjusted by the U.S. Treasury Department to 3-year or 7-year constant maturities. The maximum Plan loan interest rate is the bank prime loan rate that is in effect on the same date that the applicable Treasury rate is determined. Loan interest rates remain fixed during the term of the loan. The loan is secured by the participant’s vested account balance. PRIAC charges the participant a $50 fee to process Plan loans and a $25 annual loan maintenance fee for new loans initiated after March 29, 2018. At December 31, 2019, loan interest rates ranged from 2.36% to 11.00%.

 

9 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

Payment of Benefits

 

Participants may withdraw funds subject to the requirements of the Plan. Upon termination of employment for any reason, a participant may elect to receive either a lump-sum amount equal to the value of the participant’s vested account balance, monthly installments over a period of years, an annuity, or a combination of these forms of payment. If the participant’s vested account balance is more than $1,000 but not more than $5,000 and the participant does not agree within 80 days to accept a lump sum, the amount will automatically be rolled over to an Individual Retirement Account or Individual Retirement Annuity (IRA) sponsored by a Prudential Retirement affiliate. The IRA will be invested in an investment product designed to preserve principal and provide a reasonable rate of return and liquidity. All related expenses will be charged to the IRA. If a Plan participant with a balance greater than $5,000 terminates and does not withdraw funds, the account becomes inactive. Inactive plan participants can request withdrawals at any time. Also, when a participant reaches age 70 ½, required minimum distributions must be made in accordance with IRS formulas. To the extent a participant’s account is invested in Cigna common stock, the participant may elect to receive such amounts in shares.

Plan Expenses

 

Administrative expenses and certain investment management fees are reported separately, and participant accounts are directly charged, on a quarterly basis, with the same administrative fee regardless of their investment options. Effective April 1, 2018, the annual administrative fee was 0.025% of the participant’s account balance up to a maximum of $175.

Brokers’ commissions resulting from buying or selling Cigna common stock are paid from the participants’ account balances and are reflected as a reduction of investment income in these financial statements. Fees related to pooled separate accounts and underlying fund investments are netted against investment returns of each pooled separate account. Other costs associated with the operation of the Plan, including trustee and legal fees, are paid by Cigna.

 

Plan Termination

 

Cigna intends to continue the Plan indefinitely but reserves the right to discontinue employer contributions or terminate the Plan in whole or in part at any time prior to that. If contributions are discontinued or the Plan is terminated, affected participants will become fully vested. Upon Plan termination, net assets of the Plan will be distributed in the manner Cigna elects in accordance with the Plan document and in accordance with ERISA and its related regulations.

 

Note 2 - Significant Accounting Policies

 

Basis of Presentation

 

The financial statements have been prepared on the accrual basis of accounting in conformity with accounting principles generally accepted in the United States of America (GAAP). Amounts recorded in the financial statements reflect management’s estimates and assumptions that affect the reported amount of assets, liabilities, and changes therein, and disclosure of contingent assets and liabilities at the date of the financial statements. Significant estimates are discussed throughout these Notes; however, actual results could differ from those estimates.

 

10 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

Valuation of Investments and Income Recognition

 

Except for the fully benefit-responsive benefit investment contracts, which are valued at contract value, plan investments are reported at fair value. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value of Cigna common stock is based upon its quoted market price. Fair value of pooled separate accounts is measured by the net unit value, which is based on the fair value of the underlying assets of the account.

 

Purchases and sales of securities are recorded on a trade-date basis. Interest is recognized when earned. Dividends are recognized on the ex-dividend date. Net appreciation or depreciation includes realized gains and losses on investments that were both purchased and sold during the period as well as unrealized appreciation or depreciation of the investments held at year end.

 

Notes Receivable from Participants

 

Notes receivable from participants are measured at their unpaid principal balance plus any accrued but unpaid interest. Delinquent participant loans are recorded as distributions based on the terms of the Plan document.

 

Payment of Benefits

 

Benefits are recorded when paid.

 

Recent Accounting Pronouncements

 

In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement," which is part of the FASB disclosure framework project to improve the effectiveness of disclosures in the notes to the financial statements. The amendments in the new guidance remove, modify and add certain disclosure requirements related to fair value measurements covered in Topic 820, "Fair Value Measurement." The new standard is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted for either the entire standard or only the requirements that modify or eliminate the disclosure requirements, with certain requirements applied prospectively, and all other requirements applied retrospectively to all periods presented. As such, management elected to early adopt all of ASU 2018-13 effective January 1, 2019 with no material impact to the Plan.

 

Note 3 – Plan Mergers

 

On December 31, 2019, the Express Scripts, Inc. 401(k) Plan (Express Scripts Plan) was merged into the Plan. In connection with this merger, approximately $2.9 billion in assets were transferred from the Express Scripts Plan into the Plan. These assets were deposited into individual accounts on December 31, 2019 according to the participant investment allocations. Beginning on January 1, 2020, participants were eligible to make contributions and receive matching contributions.

 

11 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

In addition, approximately $48.6 million of outstanding loans taken by Express Scripts Plan participants were transferred into the Plan on December 31, 2019. These loans were not required to be reamortized at the time of the plan merger.

 

The Plan retained the vesting periods of the participants of the Express Scripts Plan and preserved all of their contributions from the Express Scripts Plan. No benefit payments were made by the Plan to the participants of the Express Scripts Plan during 2019.

 

Note 4 - Fair Value Measurements

 

Accounting Standards Codification 820, Fair Value Measurements and Disclosures, provides a framework for measuring fair value. That framework provides a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value, as follows: Level 1, which refers to securities valued using unadjusted quoted prices from active markets for identical assets; Level 2, which refers to securities not traded on an active market but for which observable market inputs are readily available; and Level 3, which refers to securities valued based on significant unobservable inputs. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

 

Financial Assets Carried at Fair Value

 

The following table provides information as of December 31, 2019 and 2018 about the Plan’s financial assets carried at fair value on a recurring basis.

 

 

                             
2019         Quoted Prices     Significant            
           in Active     Other            
          Markets for     Observable            
          Identical Assets     Inputs            
(In thousands)   (Level 1)   (Level 2)   Total      
Assets at fair value:                          
Common stock     $ 891,882   $     $ 891,882      
Pooled separate accounts:                          
     Fixed maturities             216,956     216,956      
     Equity securities             5,547,133     5,547,133      
     Total assets at fair value   $ 891,882   $ 5,764,089   $ 6,655,971      
                             

 

2018         Quoted Prices     Significant            
           in Active     Other            
          Markets for     Observable            
          Identical Assets     Inputs            
(In thousands)   (Level 1)   (Level 2)   Total      
Assets at fair value:                          
Common stock     $ 869,031   $     $ 869,031      
Pooled separate accounts:                          
     Fixed maturities             134,890     134,890      
     Equity securities             2,723,055     2,723,055      
     Total assets at fair value   $ 869,031   $ 2,857,945   $ 3,726,976      

 

 

12 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

Note 5 – Financial Assets Carried at Contract Value

 

The Plan’s Fixed Income Fund is supported by four separate fully benefit-responsive investment contracts, including a traditional investment contract and three synthetic investment contracts. The Fixed Income Fund is a “fund of funds”, and blends the crediting rates of the individual investment contracts to create a single melded crediting rate for the Fixed Income Fund. The melded rate approximates the rates of the supporting investment contracts and is utilized for Plan accounting purposes only. While PRIAC does not guarantee, support or otherwise back the melded book value, participants may ordinarily direct the withdrawal or transfer of all or a portion of their investment at their melded book value.

 

The Plan transacts with each of the four separate contract issuers at contract value. These contracts meet the fully benefit-responsive investment contract criteria and therefore are reported at their contract value in the statements of net assets available for benefits. Contract value is the relevant measure for fully benefit-responsive investment contracts because this is the amount received by the Plan if participants were to initiate permitted transactions. Contract value represents contributions made under each contract, plus earnings, less withdrawals, and administrative expenses.

 

The following represents the disaggregation of contract value between types of investment contracts held by the Plan.

 

 

    As of December 31,
(In thousands) 2019   2018
Financial assets at contract value:          
Traditional investment contract $ 783,714   $ 530,464
Synthetic investment contracts   2,308,159     1,556,064
Total $ 3,091,873   $ 2,086,528

 

The key difference between a synthetic investment contract and a traditional investment contract is that the Plan owns the underlying assets of the synthetic investment contract. A synthetic investment contract includes a wrapper contract, which is an agreement for the wrap issuer insurance company, to make payments to the Plan in certain circumstances. The wrapper contract typically includes certain conditions and limitations on the underlying assets owned by the Plan. With traditional investment contracts, the Plan owns only the contract itself and there are no reserves against contract value for the credit risk of the contract issuer.

 

Synthetic and traditional investment contracts are designed to accrue interest based on crediting rates established by the contract issuers. The synthetic investment contracts held by the Plan include three wrapper contracts with the Prudential Insurance Company of America (PICA), Voya Retirement Insurance and Annuity Company (VRIAC), and Massachusetts Mutual Life Insurance Company (MassMutual), each of which provide a guarantee that their crediting rate will not fall below 0 percent. Assets supporting these contracts are comprised of diversified fixed income securities. Cash flow volatility (for example, timing of benefit payments) as well as asset underperformance can be passed through to the Plan through adjustments to future contract crediting rates. Crediting rates are reviewed not less than annually for resetting, and any adjustments can then be passed through to participants, which would generally be performed through updating of the crediting rate for the Fixed Income Fund in order to bring the melded book value of the participants in line with the Plan’s cumulative contract value on the four underlying fully benefit-responsive investment contracts.

 

13 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

 

The traditional investment contract held by the Plan is a guaranteed investment contract with PRIAC. The contract issuer is contractually obligated to repay the principal and interest at a specified interest rate that is guaranteed to the Plan. The crediting rate is based on a formula established by the contract issuer but may not be less than 0 percent and is reviewed not less than annually for resetting.

 

The Plan’s ability to receive amounts due in accordance with fully benefit-responsive investment contracts is dependent on the third-party issuer’s ability to meet its financial obligations. The issuer’s ability to meet its contractual obligations may be affected by future economic and regulatory developments.

 

Certain events might limit the ability of the Plan to transact at contract value with the contract issuer. These events may be different under each contract. Examples of such events include the following:

 

1.The Plan’s failure to qualify under Section 401(a) of the Internal Revenue Code or the failure of the trust to be tax-exempt under Section 501(a) of the Internal Revenue Code;
2.Premature termination of the contracts;
3.Plan termination or merger;
4.Changes to the Plan’s prohibition on competing investment options;
5.Bankruptcy of the plan sponsor or other plan sponsor events (for example, divestitures or spinoffs of a subsidiary) that significantly affect the Plan’s normal operations;
6.Bankruptcy of PRIAC, the contract issuer to the traditional investment contract.

Note that if these certain events were to occur, the Plan may not be able to transact at contract value with the contract issuers and may elect to reflect any difference between market value and contract value by adjusting participants’ melded book value in the Fixed Income Fund. It is possible that under such events participants’ melded book value may decrease, however, the Plan Sponsor does not believe it is probable that such events will occur.

 

Note 6 - Tax Status
 

The Plan's design and current operations are consistent with all IRS requirements for tax exemption.  This was confirmed by the IRS through the issuance to Cigna of a favorable Determination Letter dated March 27, 2018.  The Plan has been amended since receiving the determination letter; however, the plan administrator believes that the Plan is currently designed and being operated in compliance with the applicable requirements of the Internal Revenue Code. The Plan may be subject to IRS audit but there is no such audit currently in progress, nor has there been one in the recent past. Tax years that remain open and subject to an audit based on IRS general procedures are 2016 to 2019.

Accounting principles generally accepted in the United States of America require the Plan’s management to evaluate tax positions taken by the Plan and recognize a tax liability (or asset) if the Plan has taken an uncertain position that more likely than not would not be sustained upon examination by the Internal Revenue Service. As of December 31, 2019 and 2018, there were no uncertain positions taken that had an effect on the Plan financial statements or that required disclosure.

 

14 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

Note 7 - Related Party Transactions and Party in Interest Transactions

 

The Plan invests in Cigna common stock. During the year ended December 31, 2019, the Plan purchased shares of Cigna common stock for approximately $47.5 million and sold shares of Cigna common stock for approximately $84.3 million. The Cigna Stock Fund experienced net appreciation of approximately $59.6 million for the year ended December 31, 2019.

 

The Plan also invests in pooled separate accounts and fully benefit-responsive investment contracts, which are administered by PRIAC, the Plan’s third party administrator and record-keeper. Activity reported by PRIAC for these investments qualify as party in interest transactions. Fees incurred by the Plan for administrative services are included in Plan expenses and totaled $1.4 million in 2019. These have been paid directly to PRIAC.

 

Following the completion of the merger in 2018, Express Scripts, Inc. (ESI) became a wholly-owned subsidiary of Cigna Corp.  ESI sponsored a 401(K) plan for its employees.  See Note 3 – Plan Mergers for additional details.

 

Note 8 – Risks and Uncertainties

 

The Plan invests in various investment securities. Investment securities are exposed to various risks such as interest rate, market and credit risks, including credit risk on fully benefit-responsive investment contracts. Credit risk exists for these contracts because there are no reserves by the insurance company against the contract value disclosed, other than the underlying assets of the synthetic investment contracts, which the Plan owns. Due to the level of risk associated with certain investment securities and the level of uncertainty related to changes in the value of investment securities, it is at least reasonably possible that changes in values of investment securities will occur in the near term and that such changes could materially affect participants’ account balances and the amounts reported in the statements of net assets available for benefits.

 

Note 9 – Reconciliation of Financial Statements to Form 5500

 

The following is a reconciliation of net assets available for benefits per the financial statements to the Form 5500 as of December 31, 2019.

 

Net Assets available for benefits per the Statements of Net Assets Available for Benefits $ 9,926,207 $ 5,958,762
Difference between contract value and current value on fully benefit-responsive contracts (a)   (3,949)   (34,719)
Net Assets available for benefits per the Form 5500 $ 9,922,258 $ 5,924,043
         
(a) Fully benefit-responsive contracts are required to be carried at contract value in the Statements of Net Assets Available for Benefits.

 

 

 

 

15 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

Note 10 – Subsequent Event

 

In March 2020, the World Health Organization categorized Coronavirus Disease 2019 ("COVID-19") as a pandemic, and the President of the United States declared the COVID-19 outbreak a national emergency. The COVID-19 pandemic has led to volatility in financial markets and has affected, and may continue to affect, the market price of Cigna common stock and other Plan assets. The potential economic impact brought by, and the duration of, COVID-19 is difficult to assess or predict and will depend on future developments that are highly uncertain and cannot be predicted.

 

The Plan has implemented certain requirements of the Setting Every Community Up for Retirement Enhancement Act of 2019 (the SECURE Act) and optional features of the Coronavirus Aid, Relief, and Economic Security Act (the CARES Act), which provisions change the Plan to, among others, allow certain eligible individuals to receive coronavirus-related relief for loan repayment, suspend required minimum distributions, and delay the commencement date for required minimum distributions. Written amendments to the Plan to reflect these operational changes will be adopted at a later date in accordance with applicable law and IRS guidance.

 

No other subsequent events were identified through June 26, 2020, the date these financial statements were issued.

 

 

16 
 

 

 

 

 

 

 

 

SUPPLEMENTAL SCHEDULE

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CIGNA 401(k) PLAN
               
FORM 5500 SCHEDULE H, LINE 4i - SCHEDULE OF ASSETS
(HELD AT END OF YEAR)
               
As of December 31, 2019
(In thousands)
               
               
  Identity of issue, borrower, lessor or similar party Description of investment including maturity date, rate of interest, collateral, par or maturity value Current Value
*Cigna CIGNA COMMON STOCK Common Stock       $ 891,882
               
*PRIAC DRYDEN S&P 500 INDEX Pooled Separate Account       $ 1,898,141
               
*PRIAC LARGE CAP BLEND FUND Pooled Separate Account       $ 598,240
               
*PRIAC MID CAP BLEND FUND Pooled Separate Account       $ 399,451
               
*PRIAC SMALL CAP BLEND FUND Pooled Separate Account       $ 331,150
               
*PRIAC INTERNATIONAL STOCK FUND Pooled Separate Account       $ 171,836
               
*PRIAC BLACKROCK EXTENDED EQUITY MARKET INDEX FUND Pooled Separate Account       $ 936,220
               
*PRIAC ALL WORLD EX FUND Pooled Separate Account       $ 1,144,603
               
*PRIAC US TOTAL STOCK FUND Pooled Separate Account       $ 67,491
               
*PRIAC PRUDENTIAL INVESTMENT MANAGEMENT, INC. HIGH YIELD BOND FUND Pooled Separate Account       $ 216,957
               
*PRIAC GUARANTEED LONG TERM FUND (CONTRACT INTEREST RATE: 3.80%)   General Account Contract       $ 783,714
               
VOYA CIGNA STABLE VALUE FUND (CONTRACT INTEREST RATE: 2.22%) Synthetic Contract       $ 1,042,944
               
*PICA PRUDENTIAL STABLE VALUE FUND (CONTRACT INTEREST RATE: 2.76%): Synthetic Contract          
  COMMERCIAL MORTGAGE SEPARATE ACCOUNT Separate Account       $ 84,745
  PRIVEST SEPARATE ACCOUNT Separate Account       $ 85,789
  AMERICREDIT AUTOMOBILE RECEI

Asset-backed security

 

3.13% DUE 02/18/2025   204
  AMERICREDIT AUTOMOBILE RECEI

Asset-backed security

 

3.36% DUE 02/18/2025   308
  AMERICREDIT AUTOMOBILE RECEIV

Asset-backed security

 

2.74% DUE 04/18/2025   504
  AMERICREDIT AUTOMOBILE RECEIV

Asset-backed security

 

2.32% DUE 07/18/2025   897
  AVIS BUDGET RENTAL CAR FUNDING

Asset-backed security

 

3.70% DUE 09/20/2024   520
  AVIS BUDGET RENTAL CAR FUNDING

Asset-backed security

 

4.00% DUE 03/20/2025   422
  AVIS BUDGET RENTAL CAR FUNDING

Asset-backed security

 

3.35% DUE 09/22/2025   825
  AVIS BUDGET RENTAL CAR FUNDING

Asset-backed security

 

2.36% DUE 03/20/2026   1,090
  CITIBANK CREDIT CARD ISSUANCE

Asset-backed security

 

2.41% DUE 04/22/2026   201
  CITIBANK CREDIT CARD ISSUANCE

Asset-backed security

 

3.96% DUE 10/15/2030   1,887
  COMMONBOND STUDENT LOAN T

Asset-backed security

 

3.21% DUE 02/25/2044   328
  DISCOVER CARD MASTER TRUST

Asset-backed security

 

2.53% DUE 10/15/2026   305
  DRIVE AUTO RECEIVABLES TRUST

Asset-backed security

 

2.65% DUE 02/15/2024   403

 

 

18

 

 

 

 

 

  ENTERPRISE FLEET FINANCING LLC

Asset-backed security

 

2.13% DUE 07/20/2022   27
  ENTERPRISE FLEET FINANCING LLC

Asset-backed security

 

2.13% DUE 07/20/2022   18
  ENTERPRISE FLEET FINANCING LLC

Asset-backed security

 

1.97% DUE 01/20/2023   45
  FORD CREDIT FLOORPLAN MASTER

Asset-backed security

 

2.48% DUE 09/15/2024   404
  FORD CREDIT FLOORPLAN MASTER

Asset-backed security

 

3.06% DUE 04/15/2026   413
  FORD CREDIT AUTO LEASE TRUST

Asset-backed security

 

2.36% DUE 03/15/2029   1,107
  FORD CREDIT AUTO OWNER TRUST F

Asset-backed security

 

3.19% DUE 07/15/2031   312
  FORD CREDIT AUTO OWNER TRUST F

Asset-backed security

 

3.19% DUE 07/15/2031   416
  GMF FLOORPLAN OWNER REVOLVING

Asset-backed security

 

2.31% DUE 01/18/2022   600
  GM FINANCIAL SECURITIZED TERM

Asset-backed security

 

3.62% DUE 06/17/2024   103
  DRB PRIME STUDENT LOAN TRUST

Asset-backed security

 

2.81% DUE 11/25/2042   241
  LAUREL ROAD PRIME STUDENT LOA

Asset-backed security

 

3.54% DUE 05/26/2043   586
  MMAF EQUIPMENT FINANCE LLC

Asset-backed security

 

2.41% DUE 08/16/2024   201
  MMAF EQUIPMENT FINANCE LLC

Asset-backed security

 

2.72% DUE 06/15/2040   507
  MMAF EQUIPMENT FINANCE LLC

Asset-backed security

 

2.29% DUE 11/12/2041   691
  NAVIENT STUDENT LOAN TRUST

Asset-backed security

 

4.00% DUE 12/15/2059   518
  NAVIENT STUDENT LOAN TRUST

Asset-backed security

 

3.19% DUE 02/18/2042   906
  NAVIENT STUDENT LOAN TRUST

Asset-backed security

 

3.13% DUE 02/15/2068   603
  NEW RESIDENTIAL MORTGAGE LOAN

Asset-backed security

 

4.00% DUE 12/25/2057   311
  NORTH CAROLINA STATE EDUCATION

Asset-backed security

 

2.74% DUE 07/25/2036   496
  ONEMAIN DIRECT AUTO RECEIVABLE

Asset-backed security

 

2.55% DUE 11/14/2023   1,001
  ONEMAIN DIRECT AUTO RECEIVABLE

Asset-backed security

 

2.82% DUE 07/15/2024   301
  ONEMAIN DIRECT AUTO RECEIVAB

Asset-backed security

 

3.63% DUE 09/14/2027   1,544
  ONEMAIN FINANCIAL ISSUANCE TR

Asset-backed security

 

2.54% DUE 09/14/2032   406
  ONEMAIN FINANCIAL ISSUANCE TR

Asset-backed security

 

2.54% DUE 09/14/2032   81
  ONEMAIN DIRECT AUTO RECEIVAB

Asset-backed security

 

3.43% DUE 12/16/2024   1,013
  SANTANDER DRIVE AUTO RECEIVA

Asset-backed security

 

3.81% DUE 12/16/2024   710
  SANTANDER DRIVE AUTO RECEIVABL

Asset-backed security

 

2.49% DUE 10/15/2025   502
  SOCIAL PROFESSIONAL LOAN PROG

Asset-backed security

 

3.60% DUE 02/25/2048   2,261
  SOCIAL PROFESSIONAL LOAN PROGR

Asset-backed security

 

2.84% DUE 01/25/2041   1,008
  SOCIAL PROFESSIONAL LOAN PROGR

Asset-backed security

 

2.37% DUE 11/16/2048   687
  SPRINGFIELD FUNDING TRUST

Asset-backed security

 

2.90% DUE 11/15/2029   84
  SPRINGFIELD FUNDING TRUST

Asset-backed security

 

2.68% DUE 07/15/2030   200
  TOWD POINT MORTGAGE TRUST

Asset-backed security

 

3.75% DUE 03/25/2058   759
  TOWD POINT MORTGAGE TRUST

Asset-backed security

 

2.79% DUE 12/25/2048   286
  TOYOTA AUTO LOAN EXTENDED

Asset-backed security

 

2.56% DUE 11/25/2031   1,523
  WORLD OMNI SELECT AUTO TRUST

Asset-backed security

 

3.68% DUE 07/15/2023   537

 

 

 

19

 

 

 

 

  WORLD OMNI SELECT AUTO TRUST

Asset-backed security

 

3.86% DUE 01/15/2025   755
  BBCCRE TRUST

Collateralized Mortgage

Obligation

3.97% DUE 08/10/2033   1,066
  BARCLAYS COMMERCIAL MORTGAGE S

Collateralized Mortgage

Obligation

2.94% DUE 08/14/2036   907
  BANK

Collateralized Mortgage

Obligation

3.29% DUE 07/15/2060   146
  BANK

Collateralized Mortgage

Obligation

2.77% DUE 11/15/2054   709
  BANK

Collateralized Mortgage

Obligation

3.09% DUE 09/15/2060   1,233
  BANK

Collateralized Mortgage

Obligation

3.09% DUE 09/15/2060   565
  BENCHMARK MORTGAGE TRUST

Collateralized Mortgage

Obligation

2.67% DUE 12/15/2072   2,010
  BENCHMARK MORTGAGE TRUST

Collateralized Mortgage

Obligation

3.75% DUE 04/10/2051   1,427
  CD COMMERCIAL MORTGAGE TRUST

Collateralized Mortgage

Obligation

3.49% DUE 08/15/2051   1,247
  CD MTG

Collateralized Mortgage

Obligation

2.46% DUE 08/10/2049   1,198
  CFCRE COMMERCIAL MORTGAGE TRUS

Collateralized Mortgage

Obligation

3.59% DUE 12/10/2054   636
  COMM MORTGAGE TRUST

Collateralized Mortgage

Obligation

4.05% DUE 10/10/2046   264
  COMM MORTGAGE TRUST

Collateralized Mortgage

Obligation

4.05% DUE 10/10/2046   475
  COMM MORTGAGE TRUST

Collateralized Mortgage

Obligation

3.69% DUE 03/10/2047   1,576
  COMMERICAL MORTGAGE TRUST

Collateralized Mortgage

Obligation

3.43% DUE 08/10/2048   2,617
  COMMERICAL MORTGAGE TRUST

Collateralized Mortgage

Obligation

2.83% DUE 10/10/2049   1,117
  CSAIL 18 CX12

Collateralized Mortgage

Obligation

4.16% DUE 08/15/2051   1,849
  CSAIL COMMERCIAL MORTGAGE

Collateralized Mortgage

Obligation

2.72% DUE 12/15/2052   1,998
  'COMM MORTGAGE TRUST

Collateralized Mortgage

Obligation

3.35% DUE 02/10/2048   1,250
  CSMC 18 RPL9

Collateralized Mortgage

Obligation

3.85% DUE 09/25/2057   1,736
  COMM MORTGAGE TRUST

Collateralized Mortgage

Obligation

2.69% DUE 08/15/2057   2,162
  CITIGROUP COMMERCIAL MORTGAGE

Collateralized Mortgage

Obligation

2.58% DUE 08/10/2049   1,207
  CITIGROUP COMMERCIAL MORTGAGE

Collateralized Mortgage

Obligation

2.58% DUE 08/10/2049   1,207
  CITIGROUP COMMERCIAL MORTGAGE

Collateralized Mortgage

Obligation

3.46% DUE 12/10/2049   636
  CGCMT

Collateralized Mortgage

Obligation

3.11% DUE 09/15/2050   1,235
  CITIGROUP COMMERCIAL MORTGAGE

Collateralized Mortgage

Obligation

3.96% DUE 03/10/2051   1,288
  CBSLT 17 BGS

Collateralized Mortgage

Obligation

2.68% DUE 09/25/2042   379
  DEUTSCHE BANK COMMERCIAL MTG

Collateralized Mortgage

Obligation

2.63% DUE 09/10/2049   1,866
  CITIGROUP COMMERCIAL MORTGAGE

Collateralized Mortgage

Obligation

3.52% DUE 09/10/2058   1,579
  FNMA

Collateralized Mortgage

Obligation

3.03% DUE 11/25/2025   1,187
  FNMA

Collateralized Mortgage

Obligation

2.48% DUE 03/25/2026   275
  FNMA

Collateralized Mortgage

Obligation

2.37% DUE 07/25/2026   604

 

 

 

20

 

 

 

  FNMA

Collateralized Mortgage

Obligation

2.37% DUE 07/25/2026   201
  FNMA

Collateralized Mortgage

Obligation

2.25% DUE 07/25/2026   797
  FNMA

Collateralized Mortgage

Obligation

2.50% DUE 10/25/2026   202
  FNMA

Collateralized Mortgage

Obligation

2.50% DUE 10/25/2026   292
  FNMA ACES

Collateralized Mortgage

Obligation

2.36% DUE 09/25/2026   996
  FNMA ACES

Collateralized Mortgage

Obligation

2.36% DUE 09/25/2026   1,096
  FNMA

Collateralized Mortgage

Obligation

2.56% DUE 09/25/2026   1,106
  FNMA

Collateralized Mortgage

Obligation

2.96% DUE 02/25/2027   3,002
  FNMA

Collateralized Mortgage

Obligation

2.67% DUE 12/25/2026   3,146
  FNMA ACES

Collateralized Mortgage

Obligation

2.74% DUE 04/25/2029   2,918
  FNMA ACES

Collateralized Mortgage

Obligation

2.90% DUE 01/25/2028   961
  FNMA ACES

Collateralized Mortgage

Obligation

3.00% DUE 01/25/2028   1,402
  FNMA ACES

Collateralized Mortgage

Obligation

3.00% DUE 01/25/2028   5,192
  FNMA ACES

Collateralized Mortgage

Obligation

3.05% DUE 11/25/2027   633
  FNMA

Collateralized Mortgage

Obligation

3.15% DUE 03/25/2028   5,421
  FANNIEMAE CES

Collateralized Mortgage

Obligation

3.44% DUE 09/25/2027   1,108
  FANNIEMAE CES

Collateralized Mortgage

Obligation

3.50% DUE 07/25/2028   403
  FANNIEMAE CES

Collateralized Mortgage

Obligation

3.50% DUE 07/25/2028   1,629
  FNMA

Collateralized Mortgage

Obligation

3.82% DUE 03/25/2030   1,193
  FNMA ACES

Collateralized Mortgage

Obligation

3.01% DUE 06/25/2028   3,041
  FANNIE MAE

Collateralized Mortgage

Obligation

2.14% DUE 09/25/2029   2,129
  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.60% DUE 01/25/2028   2,712
  FREDDIE MAC

Collateralized Mortgage

Obligation

3.50% DUE 10/15/2045   897
  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.25% DUE 09/25/2027   53
  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.25% DUE 09/25/2027   2,484
  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.29% DUE 11/25/2027   2,499
  FHLMC

Collateralized Mortgage

Obligation

3.50% DUE 12/25/2027   1,880
  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.34% DUE 04/25/2028   1,257
  FHLMC

Collateralized Mortgage

Obligation

3.75% DUE 11/25/2032   879
  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.85% DUE 05/25/2028   1,024
  FHLMC

Collateralized Mortgage

Obligation

3.85% DUE 05/25/2028   197
  FHLMC

Collateralized Mortgage

Obligation

3.92% DUE 06/25/2028   634
  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.93% DUE 06/25/2028   1,240

 

 

 

21

 

 

 

 

  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.99% DUE 07/25/2028   2,376
  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.99% DUE 05/25/2033   2,922
  FHLMC  MULTIFAMILY STRUCTURED

Collateralized Mortgage

Obligation

3.90% DUE 08/25/2028   2,640
  FHLMC  MULTIFAMILY STRUCTURED

Collateralized Mortgage

Obligation

3.92% DUE 09/25/2028   1,436
  FHLMC  MULTIFAMILY STRUCTURED

Collateralized Mortgage

Obligation

3.88% DUE 10/25/2028   2,418
  FHLMC MULTIFAMILY STRUCTURED P

Collateralized Mortgage

Obligation

3.49% DUE 02/25/2052   1,558
  FREDDIE MAC  SCRT

Collateralized Mortgage

Obligation

3.50% DUE 08/25/2058   1,541
  GS MORTGAGE SECURITIES TRUST

Collateralized Mortgage

Obligation

3.52% DUE 06/10/2047   1,113
  GSMS 17 GS7

Collateralized Mortgage

Obligation

3.20% DUE 08/10/2050   1,037
  JP MORGAN CHASE COMMERCIAL MTG

Collateralized Mortgage

Obligation

2.63% DUE 08/15/2049   1,409
  JPMBB COMMERCIAL MORTGAGE SEC

Collateralized Mortgage

Obligation

3.23% DUE 01/15/2048   1,867
  JPMBB COMMERCIAL MORTGAGE SEC

Collateralized Mortgage

Obligation

3.55% DUE 07/15/2048   1,211
  METLIFE SECURITIZATION TRUST

Collateralized Mortgage

Obligation

3.75% DUE 03/25/2057   256
  MILL CITY MORTGAGE TRUST

Collateralized Mortgage

Obligation

2.75% DUE 01/25/2061   416
  MILL CITY MORTGAGE TRUST

Collateralized Mortgage

Obligation

3.25% DUE 10/25/2069   321
  MORGAN STANLEY BAML TRUST

Collateralized Mortgage

Obligation

3.46% DUE 12/15/2049   633
  MORGAN STANLEY BAML TRUST

Collateralized Mortgage

Obligation

3.08% DUE 03/15/2048   473
  MORGAN STANLEY BAML TRUST

Collateralized Mortgage

Obligation

3.08% DUE 03/15/2048   658
  MORGAN STANLEY BAML TRUST

Collateralized Mortgage

Obligation

2.73% DUE 11/15/2049   608
  MORGAN STANLEY CAPITAL I TRUST

Collateralized Mortgage

Obligation

2.53% DUE 08/15/2049   600
  NEW RESIDENTIAL MORTGAGE LOA

Collateralized Mortgage

Obligation

2.54% DUE 01/25/2048   513
  TOWD POINT MORTGAGE TRUST

Collateralized Mortgage

Obligation

2.39% DUE 02/25/2057   508
  TOWD POINT MORTGAGE TRUST

Collateralized Mortgage

Obligation

3.00% DUE 01/28/2058   560
  UBS COMMERCIAL MORTGAGE TRUST

Collateralized Mortgage

Obligation

3.90% DUE 02/15/2051   1,285
  UBS COMMERCIAL MORTGAGE TRUST

Collateralized Mortgage

Obligation

4.31% DUE 06/15/2051   2,719
  UBS BARCLAYS COMMERCIAL MORTGA

Collateralized Mortgage

Obligation

2.73% DUE 08/10/2049   8
  UBS COMMERCIAL MORTGAGE TRUST

Collateralized Mortgage

Obligation

3.87% DUE 07/15/2051   1,280
  WF RBS COMMERCIAL MORTGAGE T

Collateralized Mortgage

Obligation

2.88% DUE 03/15/2048   1,750
  WELLS FARGO COMMERCIAL MORTGAG

Collateralized Mortgage

Obligation

3.19% DUE 02/15/2048   2,038
  WELLS FARGO COMMERCIAL MTG

Collateralized Mortgage

Obligation

2.67% DUE 07/15/2048   1,316
  WELLS FARGO COMMERCIAL MORTGAG

Collateralized Mortgage

Obligation

2.40% DUE 08/15/2049   1,193
  WELLS FARGO COMMERCIAL MORTGAG

Collateralized Mortgage

Obligation

2.68% DUE 10/15/2049   1,215
  WELLS FARGO COMMERCIAL MORTGAG

Collateralized Mortgage

Obligation

2.81% DUE 11/15/2059   612

 

 

 

22

 

 

 

  WELLS FARGO COMMERCIAL MORTGAG

Collateralized Mortgage

Obligation

3.52% DUE 12/15/2049   637
  WELLS FARGO COMMERCIAL MTG

Collateralized Mortgage

Obligation

3.39% DUE 11/15/2050   1,257
  WELLS FARGO COMMERCIAL MORTGAG

Collateralized Mortgage

Obligation

3.89% DUE 08/15/2051   1,803
  COMM 2014 UBS2 CMO-CMBS 3.96% DUE 03/10/2047   997
  COMM 2014 UBS2 CMO-CMBS 3.96% DUE 03/10/2047   1,475
  AEP TEXAS INC Corporate Bond 3.95% DUE 06/01/2028   625
  AEP TRANSMISSION CO LLC Corporate Bond 3.10% DUE 12/01/2026   57
  AT&T INC Corporate Bond 4.12% DUE 02/17/2026   786
  AT&T INC Corporate Bond 4.35% DUE 03/01/2029   2,503
  AT&T INC Corporate Bond 3.80% DUE 02/15/2027   128
  ABBVIE INC Corporate Bond 3.60% DUE 05/14/2025   581
  ABBVIE INC Corporate Bond 3.60% DUE 05/14/2025   211
  ABBVIE INC Corporate Bond 3.60% DUE 05/14/2025   465
  ABBVIE INC Corporate Bond 3.60% DUE 05/14/2025   1,056
  ABBVIE INC Corporate Bond 3.20% DUE 11/21/2029   631
  ABBVIE INC Corporate Bond 3.20% DUE 11/21/2029   2,060
  ALIMENTATION COUCHE TARD Corporate Bond 3.55% DUE 07/26/2027   483
  ALLIANT ENERGY FINANCE Corporate Bond 3.75% DUE 06/15/2023   626
  AMEREN ILLINOIS Corporate Bond 3.80% DUE 05/15/2028   687
  AMERICAN EXPRESS CO Corporate Bond 3.40% DUE 02/27/2023   976
  AMERICAN EXPRESS CO Corporate Bond 3.38% DUE 05/17/2021   15
  AMERICAN EXPRESS CO Corporate Bond 3.38% DUE 05/17/2021   932
  AMERICAN EXPRESS CO Corporate Bond 3.70% DUE 08/03/2023   852
  AMERICAN INTERNATIONAL GROUP Corporate Bond 4.12% DUE 02/15/2024   967
  ARCH CAPITAL FINANCE LLC Corporate Bond 4.01% DUE 12/15/2026   55
  ARCH CAPITAL FINANCE LLC Corporate Bond 4.01% DUE 12/15/2026   1,098
  BAT CAPITAL CORP Corporate Bond 2.76% DUE 08/15/2022   1,005
  BB&T CORPORATION Corporate Bond 3.20% DUE 09/03/2021   805
  BMW US CAPITAL LLC Corporate Bond 2.25% DUE 09/15/2023   546
  BNP PARIBAS Corporate Bond 4.38% DUE 09/28/2025   215
  BANCO SANTANDER SA Corporate Bond 3.85% DUE 04/12/2023   209
  BANK OF AMERICA CORP Corporate Bond 4.12% DUE 01/22/2024   1,263
  BANK OF AMERICA CORP Corporate Bond 4.00% DUE 01/22/2025   384
  BANK OF AMERICA CORP Corporate Bond 4.45% DUE 03/03/2026   604
  BANK OF AMERICA CORP Corporate Bond 4.45% DUE 03/03/2026   686
  BANK OF AMERICA CORP Corporate Bond 2.62% DUE 04/19/2021   1,388
  BANK OF AMERICA CORP Corporate Bond 3.82% DUE 01/20/2028   966
  BANK OF AMERICA CORP Corporate Bond 3.82% DUE 01/20/2028   1,288
  BANK OF AMERICA CORP Corporate Bond 3.59% DUE 07/21/2028   74
  BANK OF AMERICA CORP Corporate Bond 3.37% DUE 01/23/2026   314
  BANK OF AMERICA CORP Corporate Bond 3.50% DUE 05/17/2022   413
  BANK OF AMERICA CORP Corporate Bond 3.19% DUE 07/23/2030   662
  BANK OF MONTREAL Corporate Bond 3.30% DUE 02/05/2024   339
  BANK OF NY MELLON CORP Corporate Bond 2.20% DUE 08/16/2023   652
  BANK OF NY MELLON CORP Corporate Bond 2.95% DUE 01/29/2023   211
  BANQUE FED CRED MUTUEL Corporate Bond 3.75% DUE 07/20/2023   965
  BARCLAYS PLC Corporate Bond 3.65% DUE 03/16/2025   442
  BARCLAYS PLC Corporate Bond 3.65% DUE 03/16/2025   297
  BARCLAYS PLC Corporate Bond 3.68% DUE 01/10/2023   338
  BAYER US FINANCE II LLC Corporate Bond 3.50% DUE 06/25/2021   204
  BAYER US FINANCE II LLC Corporate Bond 3.50% DUE 06/25/2021   443
  BAYER US FINANCE II LLC Corporate Bond 2.60% DUE 06/25/2021   296
  BNP PARIBAS Corporate Bond 2.95% DUE 05/23/2022   204
  BNP PARIBAS Corporate Bond 4.40% DUE 08/14/2028   289
  BOEING CO Corporate Bond 2.95% DUE 02/01/2030   1,111
  BRISTOL MYERS SQUIBB CO Corporate Bond 2.25% DUE 08/15/2021   966
  BRISTOL MYERS SQUIBB CO Corporate Bond 3.45% DUE 11/15/2027   910
  BRISTOL MYERS SQUIBB CO Corporate Bond 3.40% DUE 07/26/2029   862
  BRIXMOR OPERATING PART Corporate Bond 3.65% DUE 06/15/2024   1,255
  BROADCOM CRP CAYMN FI Corporate Bond 3.62% DUE 01/15/2024   295
  BROADCOM CRP CAYMN FI Corporate Bond 3.62% DUE 01/15/2024   285
  BROADCOM INC Corporate Bond 3.12% DUE 04/15/2021   192
  BROADCOM INC Corporate Bond 3.12% DUE 10/15/2022   153

 

 

 

23

 

 

 

  BROADCOM INC Corporate Bond 3.12% DUE 10/15/2022   815
  VIACOMCBS INC Corporate Bond 2.50% DUE 02/15/2023   503
  CNA FINANCIAL CORP Corporate Bond 3.95% DUE 05/15/2024   855
  CNA FINANCIAL CORP Corporate Bond 3.95% DUE 05/15/2024   502
  CNA FINANCIAL CORP Corporate Bond 3.95% DUE 05/15/2024   775
  CVS CAREMARK CORP Corporate Bond 4.00% DUE 12/05/2023   529
  CVS CAREMARK CORP Corporate Bond 5.00% DUE 12/01/2024   829
  CVS HEALTH CORP Corporate Bond 4.10% DUE 03/25/2025   709
  CVS HEALTH CORP Corporate Bond 4.30% DUE 03/25/2028   1,054
  CANADIAN NATURAL RESOURCES LTD Corporate Bond 2.95% DUE 01/15/2023   908
  CAPITAL ONE NA Corporate Bond 2.25% DUE 09/13/2021   442
  CAPITAL ONE NA Corporate Bond 2.25% DUE 09/13/2021   904
  CATERPILLAR FINANCIAL SERVICE Corporate Bond 1.70% DUE 08/09/2021   439
  CENTERPOINT ENERGY HOUSTON Corporate Bond 2.40% DUE 09/01/2026   169
  CENTERPOINT ENERGY HOUSTON Corporate Bond 3.00% DUE 02/01/2027   960
  CHARTER COMM OPT LLC CAP Corporate Bond 4.91% DUE 07/23/2025   551
  CHARTER COMM OPT LLC CAP Corporate Bond 4.91% DUE 07/23/2025   440
  CHARTER COMM OPT LLC CAP Corporate Bond 4.91% DUE 07/23/2025   187
  CHARTER COMM OPT LLC CAP Corporate Bond 4.91% DUE 07/23/2025   496
  CITIGROUP INC Corporate Bond 3.88% DUE 03/26/2025   370
  CITIGROUP INC Corporate Bond 4.45% DUE 09/29/2027   386
  CITIGROUP INC Corporate Bond 4.45% DUE 09/29/2027   744
  CITIGROUP INC Corporate Bond 2.70% DUE 03/30/2021   1,206
  CITIGROUP INC Corporate Bond 3.40% DUE 05/01/2026   394
  CITIGROUP INC Corporate Bond 3.40% DUE 05/01/2026   1,366
  CITIBANK NA Corporate Bond 3.05% DUE 05/01/2020   1,204
  COLORADO INTERSTATE GAS CO LLC Corporate Bond 4.15% DUE 08/15/2026   179
  COMCAST CORP Corporate Bond 3.95% DUE 10/15/2025   1,015
  COMMONWEALTH EDISON CO Corporate Bond 2.95% DUE 08/15/2027   404
  COMMONWEALTH EDISON CO Corporate Bond 3.70% DUE 08/15/2028   744
  CONCHO RESOURCES INC Corporate Bond 3.75% DUE 10/01/2027   195
  CONCHO RESOURCES INC Corporate Bond 3.75% DUE 10/01/2027   736
  CONCHO RESOURCES INC Corporate Bond 4.30% DUE 08/15/2028   153
  CONSTELLATION BRANDS INC Corporate Bond 2.61% DUE 11/15/2021   825
  COX COMMUNICATIONS INC Corporate Bond 3.50% DUE 08/15/2027   2,609
  CREDIT SUISSE GROUP-SPON ADR Corporate Bond 3.00% DUE 12/14/2023   998
  CROWN CASTLE INTERNTL CORP Corporate Bond 4.88% DUE 04/15/2022   318
  CYRUSONE LP CYRUSONE FIN Corporate Bond 2.90% DUE 11/15/2024   582
  DTE ENERGY COMPANY Corporate Bond 3.70% DUE 08/01/2023   992
  DAIMLER FINANCE NA LLC Corporate Bond 3.10% DUE 05/04/2020   216
  DAIMLER FINANCE NA LLC Corporate Bond 3.35% DUE 05/04/2021   366
  DELTA AIR LINES INC Corporate Bond 3.62% DUE 03/15/2022   348
  DELTA AIR LINES INC Corporate Bond 3.62% DUE 03/15/2022   819
  DELTA AIR LINES INC Corporate Bond 2.88% DUE 03/13/2020   125
  DELTA AIR LINES INC Corporate Bond 3.40% DUE 04/19/2021   563
  DEUTSCHE BANK NY Corporate Bond 4.25% DUE 02/04/2021   178
  DEUTSCHE BANK NY Corporate Bond 4.25% DUE 02/04/2021   1,524
  DEXIA CREDIT LOCAL Corporate Bond 2.25% DUE 02/18/2020   500
  DIAMONDBACK ENERGY INC Corporate Bond 2.88% DUE 12/01/2024   809
  DIGITAL REALTY TRUST LP Corporate Bond 3.70% DUE 08/15/2027   842
  DISCOVER BANK Corporate Bond 3.45% DUE 07/27/2026   338
  DISCOVERY COMMUNICATIONS Corporate Bond 3.50% DUE 06/15/2022   514
  DOLLAR TREE INC Corporate Bond 4.00% DUE 05/15/2025   1,107
  DOMINION ENERGY INC Corporate Bond 2.85% DUE 08/15/2026   45
  DOWDUPONT INC Corporate Bond 3.77% DUE 11/15/2020   167
  DUKE ENERGY CORP Corporate Bond 2.65% DUE 09/01/2026   136
  DUKE ENERGY CORP Corporate Bond 3.15% DUE 08/15/2027   1,067
  DUKE ENERGY PROGRESS INC Corporate Bond 3.70% DUE 09/01/2028   502
  DUKE ENERGY FLORIDA LLC Corporate Bond 3.80% DUE 07/15/2028   603
  ERAC USA FINANCE COMPANY Corporate Bond 3.30% DUE 12/01/2026   541
  ERAC USA FINANCE COMPANY Corporate Bond 3.30% DUE 12/01/2026   257
  ERAC USA FINANCE COMPANY Corporate Bond 3.30% DUE 12/01/2026   335
  EQM MIDSTREAM PARTNERS LP SERI Corporate Bond 4.75% DUE 07/15/2023   461
  ELECTRONIC ARTS Corporate Bond 3.70% DUE 03/01/2021   204
  EMERA US FINANCE LP Corporate Bond 2.70% DUE 06/15/2021   333
  EMERA US FINANCE LP Corporate Bond 3.55% DUE 06/15/2026   519

 

 

24

 

 

 

  ENERGY TRANSFER PARTNERS Corporate Bond 4.75% DUE 01/15/2026   1,083
  ENEL FINANCE INTERNATIONAL NV Corporate Bond 3.62% DUE 05/25/2027   181
  ENEL FINANCE INTERNATIONAL NV Corporate Bond 3.50% DUE 04/06/2028   297
  ENEL FINANCE INTERNATIONAL NV Corporate Bond 4.88% DUE 06/14/2029   356
  ENERGY TRANSFER PARTNERS Corporate Bond 4.95% DUE 06/15/2028   170
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.40% DUE 04/01/2024   97
  ENTERGY CORP Corporate Bond 2.95% DUE 09/01/2026   437
  EQUIFAX INC Corporate Bond 3.95% DUE 06/15/2023   315
  FLIR SYSTEMS INC Corporate Bond 3.12% DUE 06/15/2021   176
  FMC CORP Corporate Bond 3.45% DUE 10/01/2029   672
  FIFTH THIRD BANK Corporate Bond 3.95% DUE 07/28/2025   880
  FORD MOTOR CREDIT CO LLC Corporate Bond 3.20% DUE 01/15/2021   719
  FORD MOTOR CREDIT CO LLC Corporate Bond 2.98% DUE 08/03/2022   601
  FORD MOTOR CREDIT CO LLC Corporate Bond 3.81% DUE 10/12/2021   581
  FORD MOTOR CREDIT CO LLC Corporate Bond 3.81% DUE 10/12/2021   815
  FORTIS INC Corporate Bond 3.06% DUE 10/04/2026   412
  GENERAL DYNAMICS CORP Corporate Bond 2.88% DUE 05/11/2020   386
  GENERAL MOTORS FINL CO Corporate Bond 5.25% DUE 03/01/2026   410
  GENERAL MOTORS FINL CO Corporate Bond 3.15% DUE 06/30/2022   510
  GENERAL MOTORS FINL CO Corporate Bond 3.85% DUE 01/05/2028   316
  GILEAD SCIENCES Corporate Bond 2.50% DUE 09/01/2023   127
  GOLDMAN SACHS GROUP INC Corporate Bond 3.85% DUE 07/08/2024   1,534
  GOLDMAN SACHS GROUP INC Corporate Bond 4.25% DUE 10/21/2025   570
  GOLDMAN SACHS GROUP INC Corporate Bond 4.25% DUE 10/21/2025   163
  GOLDMAN SACHS GROUP INC Corporate Bond 3.85% DUE 01/26/2027   11
  GOLDMAN SACHS GROUP INC Corporate Bond 3.85% DUE 01/26/2027   27
  GOLDMAN SACHS GROUP INC Corporate Bond 3.69% DUE 06/05/2028   798
  GOLDMAN SACHS GROUP INC Corporate Bond 3.75% DUE 02/25/2026   662
  HSBC HOLDINGS PLC Corporate Bond 2.72% DUE 05/18/2021   786
  HSBC HOLDINGS PLC Corporate Bond 4.58% DUE 06/19/2029   224
  HUNTINGTON NATIONAL BANK Corporate Bond 2.50% DUE 08/07/2022   708
  HUNTINGTON NATIONAL BANK Corporate Bond 3.55% DUE 10/06/2023   330
  HUSKY ENERGY INC Corporate Bond 4.00% DUE 04/15/2024   369
  IHS MARKIT LTD Corporate Bond 4.12% DUE 08/01/2023   266
  IHS MARKIT LTD Corporate Bond 4.12% DUE 08/01/2023   170
  JP MORGAN CHASE & CO Corporate Bond 4.50% DUE 01/24/2022   1,869
  JP MORGAN CHASE & CO Corporate Bond 3.88% DUE 09/10/2024   723
  JP MORGAN CHASE & CO Corporate Bond 3.88% DUE 09/10/2024   375
  JP MORGAN CHASE & CO Corporate Bond 3.90% DUE 07/15/2025   1,188
  JP MORGAN CHASE & CO Corporate Bond 2.95% DUE 10/01/2026   747
  JPMORGAN CHASE & CO Corporate Bond 3.51% DUE 01/23/2029   531
  JPMORGAN CHASE & CO Corporate Bond 3.51% DUE 01/23/2029   2,126
  JEFFERIES GROUP INC Corporate Bond 6.45% DUE 06/08/2027   117
  JPMORGAN CHASE BANK NA Corporate Bond 3.09% DUE 04/26/2021   753
  KEURIG DR PEPPER INC Corporate Bond 3.55% DUE 05/25/2021   220
  KEYCORP Corporate Bond 2.90% DUE 09/15/2020   1,359
  KEYBANK NA CLEVELAND OH Corporate Bond 3.35% DUE 06/15/2021   766
  KRAFT HEINZ FOODS CO Corporate Bond 4.00% DUE 06/15/2023   1,555
  LYB INTERNATIONAL FINANCE BV Corporate Bond 4.00% DUE 07/15/2023   793
  LEVEL 3 FINANCING INC Corporate Bond 3.40% DUE 03/01/2027   81
  LEVEL 3 FINANCING INC Corporate Bond 3.40% DUE 03/01/2027   504
  LEVEL 3 FINANCING INC Corporate Bond 3.40% DUE 03/01/2027   423
  LINCOLN NATIONAL CORP Corporate Bond 3.80% DUE 03/01/2028   666
  LLOYDS BANK PLC Corporate Bond 3.30% DUE 05/07/2021   610
  LYONDELLBASELL INDUSTRIES NV Corporate Bond 5.75% DUE 04/15/2024   395
  MPLX LP Corporate Bond 4.88% DUE 12/01/2024   1,033
  MPLX LP Corporate Bond 4.12% DUE 03/01/2027   58
  MPLX LP Corporate Bond 4.00% DUE 03/15/2028   300
  MPLX LP Corporate Bond 4.00% DUE 03/15/2028   326
  MAGNA INTERNATIONAL INC Corporate Bond 3.62% DUE 06/15/2024   1,052
  MAGNA INTERNATIONAL INC Corporate Bond 4.15% DUE 10/01/2025   271
  MARRIOTT INTERNATIONAL INC Corporate Bond 2.52% DUE 12/01/2020   813
  MCKESSON CORP Corporate Bond 3.95% DUE 02/16/2028   283
  MICROSOFT CORP Corporate Bond 2.00% DUE 08/08/2023   856
  MID-ATLANTIC INTERSTATE Corporate Bond 4.10% DUE 05/15/2028   274
  MITSUBISHI UFJ FINANCIAL GROUP Corporate Bond 3.00% DUE 02/22/2022   550

 

 

 

25

 

 

 

  MITSUBISHI UFJ FINANCIAL GROUP Corporate Bond 3.76% DUE 07/26/2023   1,285
  MIZUHO FINANCIAL GROUP Corporate Bond 3.92% DUE 09/11/2024   1,734
  MONDELEZ INTERNATIONAL INC Corporate Bond 3.00% DUE 05/07/2020   471
  MORGAN STANLEY Corporate Bond 4.35% DUE 09/08/2026   547
  MORGAN STANLEY Corporate Bond 4.35% DUE 09/08/2026   273
  MORGAN STANLEY Corporate Bond 3.77% DUE 01/24/2029   70
  MORGAN STANLEY Corporate Bond 3.88% DUE 04/29/2024   1,302
  MORGAN STANLEY Corporate Bond 2.50% DUE 04/21/2021   1,864
  MORGAN STANLEY Corporate Bond 3.62% DUE 01/20/2027   623
  MORGAN STANLEY Corporate Bond 3.62% DUE 01/20/2027   932
  MOTOROLA SOLUTIONS INC Corporate Bond 4.00% DUE 09/01/2024   1,220
  MYLAN NV Corporate Bond 3.95% DUE 06/15/2026   339
  MYLAN NV Corporate Bond 3.95% DUE 06/15/2026   495
  MYLAN NV Corporate Bond 3.95% DUE 06/15/2026   834
  NATWEST MARKETS PLC Corporate Bond 3.62% DUE 09/29/2022   1,088
  NOBLE ENERGY INC Corporate Bond 3.90% DUE 11/15/2024   370
  ONCOR ELECTRIC DELIVERY Corporate Bond 3.70% DUE 11/15/2028   1,040
  ONEOK INC Corporate Bond 4.00% DUE 07/13/2027   69
  ONEOK INC Corporate Bond 4.00% DUE 07/13/2027   426
  ORACLE CORP Corporate Bond 2.65% DUE 07/15/2026   665
  OWENS CORNING INC Corporate Bond 3.40% DUE 08/15/2026   356
  PNC BANK NA Corporate Bond 4.05% DUE 07/26/2028   856
  PNC BANK NA Corporate Bond 4.05% DUE 07/26/2028   1,098
  PENSKE TRUCK LEASING PTL Corporate Bond 4.12% DUE 08/01/2023   644
  PETROLEOS MEXICANOS Corporate Bond 6.38% DUE 02/04/2021   570
  PETROLEOS MEXICANOS Corporate Bond 6.49% DUE 01/23/2027   66
  PHILLIPS 66 PARTNERS LP Corporate Bond 3.60% DUE 02/15/2025   786
  PROVIDENCE ST JOSEPH HEALTH OB Corporate Bond 2.75% DUE 10/01/2026   217
  PUBLIC SERVICE ELECTRIC & GAS Corporate Bond 2.25% DUE 09/15/2026   481
  QUEST DIAGNOSTIC INC Corporate Bond 2.95% DUE 06/30/2030   885
  REALTY INCOME CORP Corporate Bond 3.00% DUE 01/15/2027   926
  REGIONS FINANCIAL CORP Corporate Bond 2.75% DUE 08/14/2022   631
  ROPER TECHNOLOGIES INC Corporate Bond 4.20% DUE 09/15/2028   910
  ROYAL BK OF SCOTLAND GRP PLC Corporate Bond 3.88% DUE 09/12/2023   210
  ROYAL BK OF SCOTLAND GRP PLC Corporate Bond 4.52% DUE 06/25/2024   212
  RYDER SYSTEM INC Corporate Bond 2.50% DUE 09/01/2022   382
  RYDER SYSTEM INC Corporate Bond 3.50% DUE 06/01/2021   342
  SP POWERASSETS LTD Corporate Bond 3.00% DUE 09/26/2027   335
  SCHLUMBERGER INV Corporate Bond 3.30% DUE 09/14/2021   230
  SCHLUMBERGER INV Corporate Bond 2.40% DUE 08/01/2022   595
  SHIRE ACQ INV IRELAND DA Corporate Bond 2.88% DUE 09/23/2023   1,299
  SHIRE ACQ INV IRELAND DA Corporate Bond 3.20% DUE 09/23/2026   464
  SOUTHERN CAL EDISON Corporate Bond 2.40% DUE 02/01/2022   725
  SOUTHERN CAL EDISON Corporate Bond 2.40% DUE 02/01/2022   280
  SOUTHWESTERN ELECTRIC POWER Corporate Bond 4.10% DUE 09/15/2028   985
  SPECTRA ENERGY PARTNERS Corporate Bond 3.38% DUE 10/15/2026   98
  SUNTRUST BANK Corporate Bond 2.70% DUE 01/27/2022   198
  SVENSKA HANDELSBANKEN AB Corporate Bond 1.88% DUE 09/07/2021   414
  SYNCHRONY FINANCIAL Corporate Bond 2.70% DUE 02/03/2020   100
  SYNCHRONY FINANCIAL Corporate Bond 2.70% DUE 02/03/2020   50
  TAKEDA PHARMACEUTICAL Corporate Bond 4.00% DUE 11/26/2021   429
  TEXAS EASTERN TRANSMISSION LP Corporate Bond 3.50% DUE 01/15/2028   200
  TEXTRON INC Corporate Bond 5.95% DUE 09/21/2021   211
  TRIMBLE INCORPORATED Corporate Bond 4.15% DUE 06/15/2023   675
  TYCO ELECTRONICS Corporate Bond 3.12% DUE 08/15/2027   381
  TYSON FOODS INC Corporate Bond 2.25% DUE 08/23/2021   702
  UBS GROUP FUNDING SWITZE Corporate Bond 2.86% DUE 08/15/2023   594
  UNION PACIFIC CORP Corporate Bond 2.75% DUE 03/01/2026   338
  UNITED TECHNOLOGIES CORP Corporate Bond 3.35% DUE 08/16/2021   609
  UNITED HEALTH GROUP INC Corporate Bond 3.10% DUE 03/15/2026   995
  UNUM GROUP Corporate Bond 4.00% DUE 03/15/2024   1,004
  VENTAS REALTY LP Corporate Bond 4.40% DUE 01/15/2029   952
  VIACOM INC Corporate Bond 4.25% DUE 09/01/2023   746
  VISTRA OPERATIONS CO LLC Corporate Bond 3.55% DUE 07/15/2024   177
  VISTRA OPERATIONS CO LLC Corporate Bond 3.55% DUE 07/15/2024   177
  VISTRA OPERATIONS CO LLC Corporate Bond 3.70% DUE 01/30/2027   715

 

 

26

 

 

 

  VOLKSWAGEN GROUP AMERICA Corporate Bond 3.88% DUE 11/13/2020   315
  VOLKSWAGEN GROUP AMERICA Corporate Bond 4.00% DUE 11/12/2021   419
  WALMART INC Corporate Bond 3.70% DUE 06/26/2028   501
  WELLPOINT INC Corporate Bond 3.12% DUE 05/15/2022   374
  WELLTOWER INC Corporate Bond 3.95% DUE 09/01/2023   649
  WELLTOWER INC Corporate Bond 2.70% DUE 02/15/2027   362
  WABTEC Corporate Bond 4.95% DUE 09/15/2028   330
  WABTEC Corporate Bond 3.42% DUE 09/15/2021   955
  WRKCO INC Corporate Bond 3.75% DUE 03/15/2025   601
  WILLIAMS PARTNERS LP Corporate Bond 4.30% DUE 03/04/2024   267
  WILLIAMS PARTNERS LP Corporate Bond 4.30% DUE 03/04/2024   160
  WILLIAMS PARTNERS LP Corporate Bond 4.30% DUE 03/04/2024   1,441
  ZOETIS INC Corporate Bond 3.25% DUE 08/20/2021   1,686
  SINGTEL GROUP TREASURY P Corporate Bond 4.50% DUE 09/08/2021   208
  PSA INTERNATIONAL PTE LT Corporate Bond 3.88% DUE 02/11/2021   1,020
  REPUBLIC OF INDONESIA Corporate Bond 3.75% DUE 04/25/2022   206
  FREDDIE MAC

Federal Government and

Agency Bond

6.75% DUE 09/15/2029   133
  FREDDIE MAC

Federal Government and

Agency Bond

6.75% DUE 09/15/2029   140
  FANNIE MAE

Federal Government and

Agency Bond

6.25% DUE 05/15/2029   264
  FANNIE MAE

Federal Government and

Agency Bond

7.12% DUE 01/15/2030   1,448
  CORP ANDINA DE FOMENTO Foreign Government Bond 2.12% DUE 09/27/2021   239
  CORP ANDINA DE FOMENTO Foreign Government Bond 2.75% DUE 01/06/2023   91
  CORP ANDINA DE FOMENTO Foreign Government Bond 2.75% DUE 01/06/2023   212
  EMIRATE ABU DHABI GOVT INTL Foreign Government Bond 3.12% DUE 10/11/2027   817
  HARVEST OPERATIONS CORP Foreign Government Bond 4.20% DUE 06/01/2023   212
  JAPAN FINANCE ORG MUNICIPAL Foreign Government Bond 2.12% DUE 10/25/2023   201
  JAPAN FINANCE ORG MUNICIPAL Foreign Government Bond 2.62% DUE 04/20/2022   203
  JAPAN FINANCE ORG MUNICIPAL Foreign Government Bond 1.75% DUE 09/05/2024   197
  KUWAIT INTERNATIONAL BOND Foreign Government Bond 2.75% DUE 03/20/2022   203
  MANITOBA PROVINCE OF Foreign Government Bond 2.60% DUE 04/16/2024   87
  NA DEVELOPMENT BANK Foreign Government Bond 4.38% DUE 02/11/2020   1,003
  ONTARIO PROVINCE OF Foreign Government Bond 3.40% DUE 10/17/2023   116
  ONTARIO TEACHERS  FINANC Foreign Government Bond 2.12% DUE 09/19/2022   1,008
  STATE OF QATAR Foreign Government Bond 4.50% DUE 04/23/2028   349
  STATE OF QATAR Foreign Government Bond 4.50% DUE 04/23/2028   229
  SAUDI INTERNATIONAL BOND Foreign Government Bond 2.38% DUE 10/26/2021   206
  SAUDI INTERNATIONAL BOND Foreign Government Bond 4.00% DUE 04/17/2025   323
  TOKYO METROPOLITAN GOVT Foreign Government Bond 2.50% DUE 06/08/2022   202
  TOKYO METROPOLITAN GOVERNMENT Foreign Government Bond 2.00% DUE 05/17/2021   300
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (3)
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (15)
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (53)
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (3)
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (8)
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (1)
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (9)
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   1
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   2
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   12
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   7
  2 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (1)
  2 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (2)
  2 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (1)
  2 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   1
  2 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   8
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   1
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   37
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   7
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   33
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   17
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   16
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   3

 

 

27

 

 

 

  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   99
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   16
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   5
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   2
  10 YR US TR NOTES Futures Contract 0.00% DUE 03/31/2020   4
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (14)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (7)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (7)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (3)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (4)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (4)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (7)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (3)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (5)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (8)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   (2)
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   2
  US ULTRA T-BOND Futures Contract 0.00% DUE 03/31/2020   9
  US ULTRA T-BOND Futures Contract 0.00% DUE 03/31/2020   31
  US ULTRA T-BOND Futures Contract 0.00% DUE 03/31/2020   (37)
  US ULTRA T-BOND Futures Contract 0.00% DUE 03/31/2020   (12)
  US 10YR ULTRA FUT MAR20 Futures Contract 0.00% DUE 03/31/2020   17
  US 10YR ULTRA FUT MAR20 Futures Contract 0.00% DUE 03/31/2020   25
  US 10YR ULTRA FUT MAR20 Futures Contract 0.00% DUE 03/31/2020   34
  US 10YR ULTRA FUT MAR20 Futures Contract 0.00% DUE 03/31/2020   17
  US 10YR ULTRA FUT MAR20 Futures Contract 0.00% DUE 03/31/2020   5
  FHLMC GOLD Mortgage-backed Security 4.50% DUE 06/01/2039   177
  FHLMC GOLD Mortgage-backed Security 3.50% DUE 08/01/2043   2,283
  FHLMC GOLD Mortgage-backed Security 4.50% DUE 09/01/2044   238
  FHLMC GOLD Mortgage-backed Security 2.00% DUE 01/01/2032   333
  FHLMC GOLD Mortgage-backed Security 4.00% DUE 04/01/2048   414
  FHLMC GOLD Mortgage-backed Security 4.00% DUE 10/01/2045   1,109
  FHLMC GOLD Mortgage-backed Security 4.00% DUE 08/01/2046   797
  FHLMC GOLD Mortgage-backed Security 4.50% DUE 12/01/2046   748
  FHLMC GOLD Mortgage-backed Security 2.50% DUE 01/01/2029   745
  FHLMC Mortgage-backed Security 3.00% DUE 01/01/2037   562
  FHLMC Mortgage-backed Security 3.00% DUE 12/01/2037   208
  FHLMC GOLD Mortgage-backed Security 3.00% DUE 02/01/2043   1,065
  FHLMC GOLD Mortgage-backed Security 3.50% DUE 02/01/2042   1,219
  FHLMC GOLD Mortgage-backed Security 3.00% DUE 12/01/2042   826
  FHLMC GOLD Mortgage-backed Security 4.00% DUE 12/01/2040   726
  FHLMC GOLD Mortgage-backed Security 2.50% DUE 07/01/2031   177
  FHLMC GOLD Mortgage-backed Security 4.00% DUE 04/01/2042   300
  FHLMC GOLD Mortgage-backed Security 3.50% DUE 10/01/2042   457
  FHLMC GOLD Mortgage-backed Security 3.00% DUE 06/01/2043   267
  FHLMC Mortgage-backed Security 3.00% DUE 09/01/2030   719
  FHLMC Mortgage-backed Security 3.50% DUE 11/01/2047   1,661
  FHLMC Mortgage-backed Security 5.00% DUE 02/01/2048   411
  FNMA Mortgage-backed Security 4.50% DUE 02/01/2041   681
  FNMA Mortgage-backed Security 3.50% DUE 01/01/2041   1,005
  FNMA Mortgage-backed Security 4.50% DUE 02/01/2041   194
  FNMA Mortgage-backed Security 3.00% DUE 08/01/2042   917
  FNMA Mortgage-backed Security 4.50% DUE 10/01/2041   423
  FNMA Mortgage-backed Security 4.00% DUE 01/01/2042   1,144
  FNMA Mortgage-backed Security 3.50% DUE 12/01/2041   749
  FNMA Mortgage-backed Security 4.50% DUE 08/01/2041   331
  FNMA Mortgage-backed Security 4.00% DUE 07/01/2042   803
  FNMA Mortgage-backed Security 4.00% DUE 07/01/2042   241
  FNMA Mortgage-backed Security 3.00% DUE 12/01/2042   622
  FNMA Mortgage-backed Security 2.50% DUE 01/01/2028   289
  FNMA Mortgage-backed Security 4.50% DUE 02/01/2046   551
  FNMA Mortgage-backed Security 6.00% DUE 07/01/2041   464
  FNMA Mortgage-backed Security 3.00% DUE 03/01/2043   1,156
  FNMA Mortgage-backed Security 3.00% DUE 03/01/2043   419
  FNMA Mortgage-backed Security 3.00% DUE 04/01/2030   245
  FNMA Mortgage-backed Security 3.50% DUE 06/01/2045   2,231

 

 

28

 

 

 

  FNMA Mortgage-backed Security 4.00% DUE 12/01/2045   410
  FNMA Mortgage-backed Security 2.50% DUE 09/01/2046   405
  FNMA Mortgage-backed Security 2.50% DUE 09/01/2046   201
  FNMA Mortgage-backed Security 3.00% DUE 11/01/2036   351
  FNMA Mortgage-backed Security 3.50% DUE 12/01/2046   412
  FNMA Mortgage-backed Security 3.50% DUE 12/01/2046   366
  FNMA Mortgage-backed Security 3.00% DUE 04/01/2043   272
  FNMA Mortgage-backed Security 3.50% DUE 06/01/2043   910
  FNMA Mortgage-backed Security 4.50% DUE 09/01/2043   629
  FNMA Mortgage-backed Security 3.50% DUE 10/01/2045   958
  FNMA Mortgage-backed Security 6.00% DUE 10/01/2036   111
  FNMA Mortgage-backed Security 5.50% DUE 01/01/2037   131
  FNMA Mortgage-backed Security 3.00% DUE 12/01/2031   404
  FNMA Mortgage-backed Security 5.00% DUE 09/01/2047   359
  FNMA Mortgage-backed Security 3.00% DUE 07/01/2027   435
  FNMA Mortgage-backed Security 4.50% DUE 08/01/2040   331
  FNMA Mortgage-backed Security 3.50% DUE 01/01/2041   1,866
  FNMA Mortgage-backed Security 3.50% DUE 05/01/2042   1,592
  FNMA Mortgage-backed Security 3.50% DUE 03/01/2043   772
  FNMA Mortgage-backed Security 4.50% DUE 10/01/2039   245
  FNMA Mortgage-backed Security 4.50% DUE 11/01/2040   147
  FNMA Mortgage-backed Security 2.50% DUE 09/01/2027   378
  FNMA Mortgage-backed Security 3.50% DUE 01/01/2046   374
  FNMA Mortgage-backed Security 3.50% DUE 01/01/2046   367
  FNMA Mortgage-backed Security 3.50% DUE 08/01/2031   331
  FNMA Mortgage-backed Security 4.00% DUE 09/01/2046   353
  FNMA Mortgage-backed Security 4.50% DUE 08/01/2047   819
  FNMA Mortgage-backed Security 4.00% DUE 08/01/2047   443
  FNMA Mortgage-backed Security 3.50% DUE 08/01/2033   371
  FNMA Mortgage-backed Security 5.00% DUE 06/01/2040   109
  FNMA Mortgage-backed Security 5.00% DUE 06/01/2040   130
  FNMA Mortgage-backed Security 4.50% DUE 06/01/2040   253
  FNMA Mortgage-backed Security 5.00% DUE 06/01/2040   379
  FNMA Mortgage-backed Security 4.50% DUE 02/01/2041   223
  FNMA Mortgage-backed Security 5.00% DUE 02/01/2041   169
  FNMA Mortgage-backed Security 4.00% DUE 10/01/2040   744
  FNMA Mortgage-backed Security 4.00% DUE 11/01/2040   411
  GNMA Mortgage-backed Security 3.00% DUE 09/15/2042   185
  GNMA II Mortgage-backed Security 3.00% DUE 03/20/2043   163
  GNMA II Mortgage-backed Security 3.50% DUE 03/20/2043   294
  GNMA II Mortgage-backed Security 3.00% DUE 09/20/2042   349
  GNMA II Mortgage-backed Security 3.50% DUE 10/20/2042   726
  GNMA II Mortgage-backed Security 3.50% DUE 10/20/2042   574
  GNMA II Mortgage-backed Security 4.00% DUE 10/20/2042   735
  GNMA II Mortgage-backed Security 3.50% DUE 12/20/2042   331
  GNMA II Mortgage-backed Security 3.50% DUE 12/20/2042   374
  GNMA II Mortgage-backed Security 3.00% DUE 09/20/2043   245
  GNMA II Mortgage-backed Security 3.50% DUE 10/20/2043   409
  GNMA II Mortgage-backed Security 4.00% DUE 10/20/2043   507
  GNMA II Mortgage-backed Security 4.50% DUE 10/20/2043   128
  GNMA II Mortgage-backed Security 3.50% DUE 12/20/2043   511
  GNMA II Mortgage-backed Security 4.50% DUE 12/20/2043   280
  GNMA II Mortgage-backed Security 3.00% DUE 01/20/2044   73
  GNMA II Mortgage-backed Security 3.00% DUE 01/20/2044   150
  GNMA II Mortgage-backed Security 3.50% DUE 03/20/2045   213
  GNMA II Mortgage-backed Security 4.50% DUE 03/20/2045   141
  GNMA II Mortgage-backed Security 4.00% DUE 06/20/2044   345
  GNMA II Mortgage-backed Security 3.00% DUE 12/20/2044   352
  GNMA II Mortgage-backed Security 5.00% DUE 04/20/2045   76
  GNMA II Mortgage-backed Security 3.50% DUE 04/20/2045   238
  GNMA II Mortgage-backed Security 3.00% DUE 05/20/2045   335
  GNMA II Mortgage-backed Security 4.50% DUE 05/20/2045   99
  GNMA II Mortgage-backed Security 4.00% DUE 09/20/2045   773
  GNMA II Mortgage-backed Security 3.50% DUE 11/20/2045   1,272
  GNMA II Mortgage-backed Security 4.00% DUE 11/20/2045   173
  GNMA II Mortgage-backed Security 4.00% DUE 12/20/2045   313

 

 

29

 

 

 

  GNMA II Mortgage-backed Security 3.00% DUE 01/20/2046   345
  GNMA II Mortgage-backed Security 3.50% DUE 05/20/2046   543
  GNMA II Mortgage-backed Security 3.50% DUE 07/20/2046   911
  GNMA II Mortgage-backed Security 3.50% DUE 07/20/2046   615
  GNMA II Mortgage-backed Security 5.00% DUE 07/20/2046   371
  GNMA II Mortgage-backed Security 4.50% DUE 09/20/2046   138
  GNMA II Mortgage-backed Security 4.00% DUE 10/20/2046   149
  GNMA II Mortgage-backed Security 4.50% DUE 10/20/2046   162
  GNMA II Mortgage-backed Security 4.00% DUE 11/20/2046   234
  GNMA II Mortgage-backed Security 4.50% DUE 11/20/2046   283
  GNMA II Mortgage-backed Security 2.50% DUE 12/20/2046   184
  GNMA II Mortgage-backed Security 3.50% DUE 12/20/2046   198
  GNMA II Mortgage-backed Security 3.50% DUE 12/20/2046   966
  GNMA II Mortgage-backed Security 4.00% DUE 02/20/2047   306
  GNMA II Mortgage-backed Security 4.00% DUE 03/20/2047   719
  GNMA II Mortgage-backed Security 4.00% DUE 08/20/2048   824
  GNMA II Mortgage-backed Security 4.50% DUE 08/20/2047   752
  GNMA II Mortgage-backed Security 5.00% DUE 11/20/2047   838
  GNMA Mortgage-backed Security 4.00% DUE 10/20/2041   444
  GNMA Mortgage-backed Security 4.50% DUE 10/20/2041   2,034
  GNMA Mortgage-backed Security 4.50% DUE 04/15/2040   148
  GNMA Mortgage-backed Security 4.00% DUE 01/15/2041   252
  ALABAMA ECON SETTLEMENT AUTH B Municipal Government Bond 3.16% DUE 09/15/2025   51
  CLEARNET Notional Par Contract 1.93% DUE 07/31/2025   (471)
  CLEARNET Notional Par Contract 1.93% DUE 07/31/2025   (388)
  CLEARNET Notional Par Contract 1.55% DUE 08/15/2028   (347)
  CLEARNET Notional Par Contract 1.55% DUE 08/15/2028   (258)
  CLEARNET Notional Par Contract 1.91% DUE 08/15/2028   (112)
  CLEARNET Notional Par Contract 1.55% DUE 02/12/2025   (83)
  CLEARNET Notional Par Contract 1.55% DUE 07/31/2025   (83)
  CLEARNET Notional Par Contract 1.91% DUE 08/15/2028   (71)
  CLEARNET Notional Par Contract 1.55% DUE 08/15/2028   (70)
  CLEARNET Notional Par Contract 1.93% DUE 07/31/2025   (69)
  CLEARNET Notional Par Contract 1.91% DUE 08/15/2024   (55)
  CLEARNET Notional Par Contract 2.40% DUE 01/31/2026   (28)
  CLEARNET Notional Par Contract 1.91% DUE 08/15/2024   (27)
  CLEARNET Notional Par Contract 1.91% DUE 08/15/2024   (26)
  CLEARNET Notional Par Contract 1.91% DUE 08/15/2024   (25)
  CLEARNET Notional Par Contract 1.91% DUE 05/31/2025   (23)
  CLEARNET Notional Par Contract 2.40% DUE 01/31/2026   (23)
  CLEARNET Notional Par Contract 1.91% DUE 11/15/2024   (21)
  CLEARNET Notional Par Contract 2.40% DUE 01/31/2026   (17)
  CLEARNET Notional Par Contract 1.91% DUE 05/31/2025   (16)
  CLEARNET Notional Par Contract 1.48% DUE 09/15/2021   (15)
  CLEARNET Notional Par Contract 1.93% DUE 01/31/2026   (14)
  CLEARNET Notional Par Contract 1.60% DUE 09/15/2021   (12)
  CLEARNET Notional Par Contract 2.40% DUE 01/31/2026   (11)
  CLEARNET Notional Par Contract 2.40% DUE 01/31/2026   (11)
  CLEARNET Notional Par Contract 1.52% DUE 02/29/2024   (11)
  CLEARNET Notional Par Contract 1.91% DUE 11/15/2024   (10)
  CLEARNET Notional Par Contract 1.91% DUE 11/15/2024   (10)
  CLEARNET Notional Par Contract 1.91% DUE 11/15/2024   (10)
  CLEARNET Notional Par Contract 1.93% DUE 01/31/2026   (10)
  CLEARNET Notional Par Contract 1.55% DUE 02/15/2027   (9)
  CLEARNET Notional Par Contract 1.38% DUE 09/15/2021   (9)
  CLEARNET Notional Par Contract 2.40% DUE 02/15/2027   (8)
  CLEARNET Notional Par Contract 1.91% DUE 05/31/2025   (8)
  CLEARNET Notional Par Contract 1.91% DUE 05/31/2025   (8)
  CLEARNET Notional Par Contract 1.91% DUE 05/31/2025   (8)
  CLEARNET Notional Par Contract 1.91% DUE 05/31/2025   (8)
  CLEARNET Notional Par Contract 1.48% DUE 09/15/2021   (8)
  CLEARNET Notional Par Contract 1.38% DUE 09/15/2021   (8)
  CLEARNET Notional Par Contract 1.91% DUE 08/15/2024   (7)
  CLEARNET Notional Par Contract 1.91% DUE 11/15/2024   (7)
  CLEARNET Notional Par Contract 1.91% DUE 11/15/2024   (7)
  CLEARNET Notional Par Contract 1.60% DUE 09/15/2021   (6)

 

 

30

 

 

 

  CLEARNET Notional Par Contract 1.91% DUE 08/15/2024   (5)
  CLEARNET Notional Par Contract 1.55% DUE 02/15/2027   (4)
  CLEARNET Notional Par Contract 2.40% DUE 02/15/2027   (4)
  CLEARNET Notional Par Contract 2.40% DUE 02/15/2027   (3)
  CLEARNET Notional Par Contract 2.40% DUE 02/15/2027   (3)
  CLEARNET Notional Par Contract 1.55% DUE 02/15/2027   (3)
  CLEARNET Notional Par Contract 1.55% DUE 02/15/2027   (3)
  CLEARNET Notional Par Contract 1.55% DUE 02/15/2027   (3)
  CLEARNET Notional Par Contract 1.91% DUE 08/15/2024   (3)
  CLEARNET Notional Par Contract 1.55% DUE 05/31/2022   (3)
  CLEARNET Notional Par Contract 1.94% DUE 04/30/2026   (3)
  CLEARNET Notional Par Contract 1.94% DUE 04/30/2026   (3)
  CLEARNET Notional Par Contract 1.94% DUE 04/30/2026   (2)
  CLEARNET Notional Par Contract 1.94% DUE 04/30/2026   (1)
  CLEARNET Notional Par Contract 2.17% DUE 03/31/2021   9
  CLEARNET Notional Par Contract 2.17% DUE 03/31/2021   19
  CLEARNET Notional Par Contract 1.83% DUE 06/15/2021   26
  INTERCONTINENTAL EXCHANGE Notional Par Contract 1.00% DUE 12/20/2024   1,089
  STATE STREET STIF Sweep Investment   DUE 04/24/2019   23
  STATE STREET STIF Sweep Investment   DUE 05/01/2019   60
  STATE STREET STIF Sweep Investment   DUE 05/14/2019   9
  STATE STREET STIF Sweep Investment   DUE 05/20/2019   134
  STATE STREET STIF Sweep Investment   DUE 06/03/2019   12
  STATE STREET STIF Sweep Investment   DUE 07/08/2019   35
  STATE STREET STIF Sweep Investment   DUE 07/09/2019   38
  STATE STREET STIF Sweep Investment   DUE 07/12/2019   79
  STATE STREET STIF Sweep Investment   DUE 08/06/2019   87
  STATE STREET STIF Sweep Investment   DUE 08/16/2019   2
  STATE STREET STIF Sweep Investment   DUE 08/26/2019   18
  STATE STREET STIF Sweep Investment   DUE 08/28/2019   6
  STATE STREET STIF Sweep Investment   DUE 08/30/2019   59
  STATE STREET STIF Sweep Investment   DUE 09/03/2019   99
  STATE STREET STIF Sweep Investment   DUE 09/13/2019   38
  STATE STREET STIF Sweep Investment   DUE 09/25/2019   137
  STATE STREET STIF Sweep Investment   DUE 10/01/2019   99
  STATE STREET STIF Sweep Investment   DUE 10/16/2019   75
  STATE STREET STIF Sweep Investment   DUE 10/21/2019   95
  STATE STREET STIF Sweep Investment   DUE 10/28/2019   134
  STATE STREET STIF Sweep Investment   DUE 11/07/2019   70
  STATE STREET STIF Sweep Investment   DUE 11/13/2019   34
  STATE STREET STIF Sweep Investment   DUE 11/18/2019   63
  STATE STREET STIF Sweep Investment   DUE 11/22/2019   74
  STATE STREET STIF Sweep Investment   DUE 11/19/2019   76
  STATE STREET STIF Sweep Investment   DUE 12/02/2019   81
  STATE STREET STIF Sweep Investment   DUE 12/03/2019   169
  STATE STREET STIF Sweep Investment   DUE 12/04/2019   88
  STATE STREET STIF Sweep Investment   DUE 12/13/2019   41
  STATE STREET STIF Sweep Investment   DUE 12/19/2019   229
  STATE STREET STIF Sweep Investment   DUE 12/20/2019   889
  STATE STREET STIF Sweep Investment   DUE 12/23/2019   6,103
  STATE STREET STIF Sweep Investment   DUE 12/24/2019   10,078
  STATE STREET STIF Sweep Investment   DUE 12/27/2019   1,036
  US TREASURY N B US Government Bond 2.25% DUE 11/15/2024   590
  US TREASURY N B US Government Bond 1.75% DUE 11/15/2029   8,773
  US TREASURY N B US Government Bond 1.62% DUE 12/15/2022   18,518
  US TREASURY N B US Government Bond 1.75% DUE 12/31/2026   9,654
  US TREASURY N B US Government Bond 1.75% DUE 12/31/2024   22,270
  US TREASURY N B US Government Bond 1.62% DUE 12/31/2021   27,036
  US TREASURY US Government Bond 0.00% DUE 11/15/2043   188
  OTHER ASSETS           12,951
    SUBTOTAL           526,595
      TOTAL PRUDENTIAL STABLE VALUE FUND           697,129
               

 

 

 

31

 

 

 

MASSMUTUAL MASSMUTUAL (CONTRACT INTEREST RATE 3.10%) Synthetic Contract          
  AASET 2019 1 TRUST Asset-backed security 3.84% DUE 05/15/2039   713
  ACCESS GROUP INC Asset-backed security 3.17% DUE 07/01/2039   245
  ACCESS GROUP INC Asset-backed security 3.17% DUE 07/01/2039   196
  ADAMS OUTDOOR ADVERTISING Asset-backed security 4.81% DUE 11/15/2048   510
  AASET 2018 2 TRUST Asset-backed security 4.45% DUE 11/18/2038   680
  CARVANA AUTO RECEIVABLES TRUST Asset-backed security 3.07% DUE 07/15/2025   531
  CHASE EDUCATION LOAN TRUST Asset-backed security 2.20% DUE 06/28/2039   642
  CITIBANK CREDIT CARD ISSUANCE Asset-backed security 2.51% DUE 05/14/2029   1,092
  COLLEGE AVE STUDENT LOANS Asset-backed security 4.46% DUE 12/28/2048   378
  CREDIT SUISSE ABS REPACKAGING Asset-backed security 2.50% DUE 01/25/2030   28
  CREDIT SUISSE ABS REPACKAGING Asset-backed security 2.50% DUE 01/25/2030   53
  DB MASTER FINANCE LLC Asset-backed security 4.35% DUE 05/20/2049   521
  DOMINOS PIZZA MASTER ISSUER Asset-backed security 3.67% DUE 10/25/2049   370
  ECMC GROUP STUDENT LOAN TRUST Asset-backed security 3.14% DUE 07/26/2066   229
  ECMC GROUP STUDENT LOAN TRUST Asset-backed security 2.59% DUE 09/25/2068   658
  EDLINC STUDENT LOAN FUNDING TR Asset-backed security 3.60% DUE 12/01/2047   557
  EDUCATION LOAN ASSET-BACKED TR Asset-backed security 2.96% DUE 08/01/2043   46
  EDUCATION LOAN ASSET-BACKED TR Asset-backed security 2.96% DUE 08/01/2043   137
  EDUCATION LOAN ASSET-BACKED TR Asset-backed security 2.96% DUE 08/01/2043   137
  EDUCATION LOAN ASSET-BACKED TR Asset-backed security 2.79% DUE 11/25/2033   291
  FALCON AEROSPACE LTD Asset-backed security 3.60% DUE 09/15/2039   843
  FIRST FRANKLIN MTG LOAN Asset-backed security 3.52% DUE 01/25/2035   231
  FHLMC STACR Asset-backed security 3.84% DUE 07/25/2049   279
  GOODGREEN TRUST Asset-backed security 3.23% DUE 10/15/2052   162
  GOODGREEN TRUST Asset-backed security 3.74% DUE 10/15/2052   207
  GOODGREEN TRUST Asset-backed security 2.86% DUE 04/15/2055   1,076
  GOODGREEN TRUST Asset-backed security 3.26% DUE 10/15/2053   577
  HERO FUNDING TRUST Asset-backed security 3.19% DUE 09/20/2048   312
  HERO FUNDING TRUST Asset-backed security 4.67% DUE 09/20/2048   175
  HERTZ VEHICLE FINANCING LLC Asset-backed security 4.03% DUE 07/25/2024   523
  HERTZ VEHICLE FINANCING LLC Asset-backed security 3.43% DUE 12/26/2025   849
  HIGHER EDUCATION FUNDING Asset-backed security 3.00% DUE 01/01/2044   582
  HIGHER EDUCATION FUNDING Asset-backed security 1.88% DUE 01/01/2044   511
  HORIZON AIRCRAFT FINANCE I LIM Asset-backed security 3.72% DUE 07/15/2039   447
  HORIZON AIRCRAFT FINANCE I LIM Asset-backed security 3.42% DUE 11/15/2039   788
  321 HENDERSON RECEIVABLES I LL Asset-backed security 3.96% DUE 03/15/2063   286
  JP MORGAN STUDENT LOAN TRUST Asset-backed security 2.29% DUE 06/28/2039   235
  KDAC AIRCRAFT FINANCE LIMITED Asset-backed security 4.21% DUE 12/15/2042   184
  KDAC AIRCRAFT FINANCE LIMITED Asset-backed security 4.21% DUE 12/15/2042   200
  MACH I Asset-backed security 3.47% DUE 10/15/2039   565
  MOSAIC SOLAR LOANS LLC Asset-backed security 4.45% DUE 06/20/2042   48
  NAVIENT STUDENT LOAN TRUST Asset-backed security 4.44% DUE 12/15/2059   147
  NAVIENT STUDENT LOAN TRUST 201 Asset-backed security 3.29% DUE 07/25/2052   385
  NAVIENT STUDENT LOAN TRUST Asset-backed security 3.29% DUE 08/25/2050   584
  NAVIENT STUDENT LOAN TRUST Asset-backed security 3.29% DUE 08/25/2050   313
  NAVIENT STUDENT LOAN TRUST Asset-backed security 3.09% DUE 06/27/2067   955
  NELNET STUDENT LOAN TRUST Asset-backed security 2.29% DUE 10/25/2040   188
  NELNET STUDENT LOAN TRUST Asset-backed security 2.10% DUE 03/23/2037   175
  NELNET STUDENT LOAN TRUST Asset-backed security 3.01% DUE 06/25/2035   399
  NELNET STUDENT LOAN TRUST Asset-backed security 2.82% DUE 09/27/2066   481
  NELNET STUDENT LOAN TRUST Asset-backed security 2.53% DUE 10/25/2067   1,063
  NELNET PRIVATE EDUCATION LOAN Asset-backed security 3.55% DUE 12/26/2040   39
  NELNET PRIVATE EDUCATION LOAN Asset-backed security 3.60% DUE 12/26/2040   48
  NORTHSTAR EDUCATION FINANCE Asset-backed security 3.13% DUE 01/29/2046   1,322
  NOVASTAR HOME EQUITY LOAN Asset-backed security 3.51% DUE 03/25/2035   173
  ONEMAIN DIRECT AUTO RECEIVAB Asset-backed security 3.95% DUE 11/14/2028   603
  ONEMAIN FINANCIAL ISSUANCE TR Asset-backed security 3.14% DUE 10/14/2036   2,581
  PSMC 2018 1 TRUST Asset-backed security 3.50% DUE 06/25/2048   241
  PIONEER AIRCRAFT FINANCE LIMIT Asset-backed security 3.84% DUE 06/15/2044   484
  SLC STUDENT LOAN TRUST Asset-backed security 2.11% DUE 02/15/2045   124
  SLM STUDENT LOAN TRUST Asset-backed security 2.64% DUE 12/15/2039   100
  SLM STUDENT LOAN TRUST Asset-backed security 2.12% DUE 07/25/2055   339
  SLM STUDENT LOAN TRUST Asset-backed security 2.25% DUE 01/25/2040   832
  SLM STUDENT LOAN TRUST Asset-backed security 2.24% DUE 01/25/2041   195
  SLM STUDENT LOAN TRUST Asset-backed security 2.14% DUE 01/25/2070   183
  SLM STUDENT LOAN TRUST Asset-backed security 2.09% DUE 03/25/2044   1,369
  SLM STUDENT LOAN TRUST Asset-backed security 2.09% DUE 03/25/2044   1,031

 

 

32

 

 

 

                    SLM STUDENT LOAN TRUST Asset-backed security 2.16% DUE 03/25/2044   392
  SLM STUDENT LOAN TRUST Asset-backed security 3.59% DUE 11/25/2070   195
  SLM STUDENT LOAN TRUST Asset-backed security 3.59% DUE 11/25/2070   517
  SLM STUDENT LOAN TRUST Asset-backed security 3.29% DUE 12/28/2070   239
  SLM STUDENT LOAN TRUST Asset-backed security 2.15% DUE 01/25/2070   618
  STORE MASTER FUNDING LLC Asset-backed security 4.29% DUE 10/20/2048   393
  STORE MASTER FUNDING LLC Asset-backed security 3.65% DUE 11/20/2049   954
  HELIOS ISSUER LLC Asset-backed security 4.87% DUE 07/20/2048   191
  SUTTONPARK STRUCTURED SETTLEME Asset-backed security 4.19% DUE 01/15/2071   258
  TACO BELL FUNDING LLC Asset-backed security 4.94% DUE 11/25/2048   160
  TRINITY RAIL LEASING L P Asset-backed security 5.19% DUE 10/16/2040   810
  TRINITY RAIL LEASING L P Asset-backed security 5.19% DUE 10/16/2040   177
  TRITON CONTAINER FINANCE LLC Asset-backed security 3.52% DUE 06/20/2042   75
  WAVE USA Asset-backed security 3.60% DUE 09/15/2044   1,034
  WILLIS ENGINE SECURITIZATION T Asset-backed security 4.69% DUE 08/15/2042   1,625
  WILLIS ENGINE SECURITIZATION Asset-backed security 4.75% DUE 09/15/2043   255
  AVENTURA MALL TRUST Collaterized Mortgage Obligation 4.25% DUE 07/05/2040   823
  AVENTURA MALL TRUST Collaterized Mortgage Obligation 4.25% DUE 07/05/2040   1,056
  BARCLAYS COMMERCIAL MORTGAGE S Collaterized Mortgage Obligation 4.41% DUE 08/05/2038   244
  BARCLAYS COMMERCIAL MORTGAGE S Collaterized Mortgage Obligation 4.41% DUE 08/05/2038   849
  BARCLAYS COMMERCIAL MORTGAGE S Collaterized Mortgage Obligation 4.41% DUE 08/05/2038   127
  BARCLAYS COMMERCIAL MORTGAGE S Collaterized Mortgage Obligation 4.41% DUE 08/05/2038   135
  BANC OF AMERICA MERRILL LYNCH Collaterized Mortgage Obligation 4.23% DUE 08/10/2038   487
  BX TRUST Collaterized Mortgage Obligation 3.65% DUE 10/15/2036   557
  BX TRUST Collaterized Mortgage Obligation 3.86% DUE 10/15/2036   684
  BX TRUST Collaterized Mortgage Obligation 3.44% DUE 11/15/2035   463
  BANK Collaterized Mortgage Obligation 4.75% DUE 09/15/2060   335
  BANK Collaterized Mortgage Obligation 4.13% DUE 04/15/2052   221
  BANK Collaterized Mortgage Obligation 4.27% DUE 02/15/2052   235
  CD COMMERCIAL MORTGAGE TRUST Collaterized Mortgage Obligation 3.37% DUE 08/15/2057   512
  CD COMMERCIAL MORTGAGE TRUST Collaterized Mortgage Obligation 3.72% DUE 08/15/2057   384
  CD COMMERCIAL MORTGAGE TRUST Collaterized Mortgage Obligation 3.72% DUE 08/15/2057   260
  CD COMMERCIAL MORTGAGE TRUST Collaterized Mortgage Obligation 4.71% DUE 02/10/2050   1,752
  CFCRE COMMERCIAL MORTGAGE TRUS Collaterized Mortgage Obligation 3.22% DUE 11/10/2049   415
  COMM 2014 UBS2 Collaterized Mortgage Obligation 4.70% DUE 03/10/2047   530
  COMM MORTGAGE TRUST Collaterized Mortgage Obligation 4.51% DUE 09/10/2047   401
  COMMERCIAL MORTGAGE PASS THROU Collaterized Mortgage Obligation 4.25% DUE 03/10/2048   522
  CPT MORTGAGE TRUST Collaterized Mortgage Obligation 3.10% DUE 11/13/2039   329
  CPT MORTGAGE TRUST Collaterized Mortgage Obligation 3.10% DUE 11/13/2039   462
  CITIGROUP COMMERCIAL MORTGAGE Collaterized Mortgage Obligation 4.34% DUE 10/12/2050   565
  CITIGROUP COMMERCIAL MORTGAGE Collaterized Mortgage Obligation 3.50% DUE 08/10/2056   330

 

 

33

 

 

 

  COMMERICAL SERIES 2015-LC19 Collaterized Mortgage Obligation 3.83% DUE 02/10/2048   728
  DEEPHAVEN RESIDENTIAL MORTGAGE Collaterized Mortgage Obligation 4.28% DUE 10/25/2058   423
  FNMA CONNECTICUT AVENUE SECUR Collaterized Mortgage Obligation 3.09% DUE 04/25/2029   46
  GS MORTGAGE SECURITIES TRUST Collaterized Mortgage Obligation 4.81% DUE 10/10/2048   836
  GS MORTGAGE SECURITIES TRUST Collaterized Mortgage Obligation 4.12% DUE 10/10/2049   671
  GS MORTGAGE SECURITIES TRUST Collaterized Mortgage Obligation 4.30% DUE 03/10/2050   1,765
  JP MORGAN MORTGAGE TRUST Collaterized Mortgage Obligation 3.50% DUE 01/25/2047   230
  JP MORGAN MORTGAGE TRUST Collaterized Mortgage Obligation 3.50% DUE 06/25/2048   280
  JP MORGAN MORTGAGE TRUST Collaterized Mortgage Obligation 3.00% DUE 11/25/2047   192
  JP MORGAN MORTGAGE TRUST Collaterized Mortgage Obligation 3.50% DUE 01/25/2048   401
  JP MORGAN MORTGAGE TRUST Collaterized Mortgage Obligation 3.50% DUE 04/25/2048   430
  JACKSON PARK TRUST Collaterized Mortgage Obligation 3.13% DUE 10/14/2039   742
  KNDL 2019-KNSQ MORTGAGE TRUST Collaterized Mortgage Obligation 3.54% DUE 05/15/2036   451
  MORGAN STANLEY CAPITAL I TRUST Collaterized Mortgage Obligation 4.27% DUE 03/15/2052   718
  SOFI MORTGAGE TRUST Collaterized Mortgage Obligation 3.00% DUE 11/25/2046   391
  SEQUOIA MORTGAGE TRUST Collaterized Mortgage Obligation 4.00% DUE 06/25/2048   423
  SEQUOIA MORTGAGE TRUST Collaterized Mortgage Obligation 4.00% DUE 10/25/2048   264
  SEQUOIA MORTGAGE TRUST Collaterized Mortgage Obligation 4.00% DUE 09/25/2048   204
  VELOCITY COMMERCIAL CAPITAL LO Collaterized Mortgage Obligation 3.00% DUE 10/25/2046   15
  WELLS FARGO COMMERCIAL MORTGAG Collaterized Mortgage Obligation 4.40% DUE 06/15/2051   287
  WELLS FARGO COMMERCIAL MORTGAG Collaterized Mortgage Obligation 4.56% DUE 06/15/2051   65
  AMERICAN ELECTRIC POWER CO Commercial Paper 0.00% DUE 01/27/2020   2,995
  AVANGRID INC Commercial Paper 0.00% DUE 02/06/2020   2,695
  BELL CANADA 4 2 Commercial Paper 0.00% DUE 02/12/2020   2,992
  BOEING COMPANY Commercial Paper 0.00% DUE 03/04/2020   2,988
  CANADIAN NATURAL RESOURCES LTD Commercial Paper 0.00% DUE 01/23/2020   2,996
  FMC TECHNOLOGIES Commercial Paper 0.00% DUE 02/05/2020   2,994
  FORTIVE CORPORATION Commercial Paper 0.00% DUE 01/21/2020   2,996
  GENERAL ELECTRIC CO Commercial Paper 0.00% DUE 03/19/2020   2,986
  MARRIOTT INTERNATION Commercial Paper 0.00% DUE 01/07/2020   2,999
  PUBLIC SERVICE ENTERPRISE GROU Commercial Paper 0.00% DUE 02/20/2020   1,695
  RECKITT BENCKISER TREAS Commercial Paper 0.00% DUE 02/20/2020   1,994
  RECKITT BENCKISER TSY Commercial Paper 0.00% DUE 06/03/2020   990
  SUNCOR ENERGY INC 4 2 Commercial Paper 0.00% DUE 04/03/2020   2,984
  TELUS CORP Commercial Paper 0.00% DUE 01/24/2020   2,996
  VW CR INC Commercial Paper 0.00% DUE 01/13/2020   999
  VW CR INC Commercial Paper 0.00% DUE 02/12/2020   1,995
  WALGREENS BOOTS Commercial Paper 0.00% DUE 02/25/2020   2,989
  ABM AMBRO BANK NV Corporate Bond 3.40% DUE 08/27/2021   1,737
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   71
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   42
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   98
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   42
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   112
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   100

 

 

34

 

 

 

  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   23
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   25
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   56
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   62
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   21
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   25
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   18
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   136
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   26
  ADT CORP Corporate Bond 6.25% DUE 10/15/2021   897
  AT&T INC Corporate Bond 4.75% DUE 05/15/2046   255
  AT&T INC Corporate Bond 4.75% DUE 05/15/2046   340
  AT&T INC Corporate Bond 4.75% DUE 05/15/2046   88
  AT&T INC Corporate Bond 4.75% DUE 05/15/2046   55
  AT&T INC Corporate Bond 4.75% DUE 05/15/2046   396
  AT&T INC Corporate Bond 4.75% DUE 05/15/2046   54
  AT&T INC Corporate Bond 5.25% DUE 03/01/2037   179
  AT&T INC Corporate Bond 5.25% DUE 03/01/2037   119
  ABBVIE INC Corporate Bond 4.70% DUE 05/14/2045   223
  ABBVIE INC Corporate Bond 4.70% DUE 05/14/2045   140
  ABBVIE INC Corporate Bond 4.70% DUE 05/14/2045   251
  ALLERGAN FUNDING SCS Corporate Bond 3.80% DUE 03/15/2025   473
  ADVOCATE HEALTH CORP Corporate Bond 3.83% DUE 08/15/2028   304
  AERCAP IRELAND CAPITAL LTD Corporate Bond 4.50% DUE 05/15/2021   361
  AERCAP IRELAND CAPITAL LTD Corporate Bond 4.50% DUE 05/15/2021   697
  AERCAP IRELAND CAPITAL LTD Corporate Bond 4.50% DUE 05/15/2021   542
  AERCAP IRELAND CAP GLOBA Corporate Bond 3.65% DUE 07/21/2027   258
  AERCAP IRELAND CAP GLOBA Corporate Bond 3.65% DUE 07/21/2027   155
  AIR LEASE CORP Corporate Bond 3.62% DUE 04/01/2027   109
  AIR LEASE CORP Corporate Bond 3.62% DUE 04/01/2027   622
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   535
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   92
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   56
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   57
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   117
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   70
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   51
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   9
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   71
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   94
  AIRCASTLE LTD Corporate Bond 5.00% DUE 04/01/2023   535
  AIRCASTLE LTD Corporate Bond 4.40% DUE 09/25/2023   301
  ALEXANDRIA REAL ESTATE E Corporate Bond 2.75% DUE 12/15/2029   267
  ALLSTATE CORP Corporate Bond 5.75% DUE 08/15/2053   323
  ALLSTATE CORP Corporate Bond 5.75% DUE 08/15/2053   511
  ALLSTATE CORP Corporate Bond 5.75% DUE 08/15/2053   430
  ALLSTATE CORP Corporate Bond 5.75% DUE 08/15/2053   59
  ALLSTATE CORP Corporate Bond 5.75% DUE 08/15/2053   184
  ALLSTATE CORP Corporate Bond 5.75% DUE 08/15/2053   160
  ALLY FINANCIAL INC Corporate Bond 5.12% DUE 09/30/2024   204
  ALLY FINANCIAL INC Corporate Bond 5.12% DUE 09/30/2024   414
  ALLY FINANCIAL INC Corporate Bond 4.12% DUE 03/30/2020   301
  ALLY FINANCIAL INC Corporate Bond 4.12% DUE 03/30/2020   226
  AMAZON.COM INC Corporate Bond 4.05% DUE 08/22/2047   371
  AMCOR FINANCE USA INC Corporate Bond 3.62% DUE 04/28/2026   411
  AMCOR FINANCE USA INC Corporate Bond 3.62% DUE 04/28/2026   249
  AMCOR FINANCE USA INC Corporate Bond 3.62% DUE 04/28/2026   257
  AMERICAN AIRLINES GROUP INC Corporate Bond 5.00% DUE 06/01/2022   942
  AMERICAN INTERNATIONAL GROUP Corporate Bond 4.50% DUE 07/16/2044   110
  AMERICAN INTERNATIONAL GROUP Corporate Bond 4.50% DUE 07/16/2044   115
  AMERICAN INTERNATIONAL GROUP Corporate Bond 4.50% DUE 07/16/2044   231
  AMERICAN INTERNATIONAL GROUP Corporate Bond 4.50% DUE 07/16/2044   231
  AMERICAN INTERNATIONAL GROUP Corporate Bond 3.90% DUE 04/01/2026   376
  AMERICAN INTERNATIONAL GROUP Corporate Bond 4.20% DUE 04/01/2028   314
  AMERICAN INTERNATIONAL GROUP Corporate Bond 4.20% DUE 04/01/2028   55
  AMERICAN INTERNATIONAL GROUP Corporate Bond 5.75% DUE 04/01/2048   242

 

 

35

 

 

 

  AMERICAN INTERNATIONAL GROUP Corporate Bond 5.75% DUE 04/01/2048   96
  AMERICAN INTERNATIONAL GROUP Corporate Bond 5.75% DUE 04/01/2048   165
  AMERICAN INTERNATIONAL GROUP Corporate Bond 5.75% DUE 04/01/2048   14
  AMERICAN INTERNATIONAL GROUP Corporate Bond 5.75% DUE 04/01/2048   59
  AMERICAN INTERNATIONAL GROUP Corporate Bond 5.75% DUE 04/01/2048   161
  AMERICAN INTERNATIONAL GROUP Corporate Bond 5.75% DUE 04/01/2048   247
  AMERICAN TOWER TRUST Corporate Bond 3.65% DUE 03/23/2048   240
  ANHEUSER-BUSCH INBEV WORLD Corporate Bond 8.20% DUE 01/15/2039   134
  ANHEUSER-BUSCH INBEV WORLD Corporate Bond 8.20% DUE 01/15/2039   104
  ANHEUSER-BUSCH INBEV WORLD Corporate Bond 8.20% DUE 01/15/2039   410
  ANHEUSER-BUSCH INBEV WORLD Corporate Bond 8.20% DUE 01/15/2039   356
  ANHEUSER-BUSCH INBEV WORLD Corporate Bond 4.60% DUE 04/15/2048   292
  ANHEUSER-BUSCH INBEV WORLD Corporate Bond 4.60% DUE 04/15/2048   172
  ANTARES HOLDINGS Corporate Bond 6.00% DUE 08/15/2023   579
  ANTARES HOLDINGS Corporate Bond 6.00% DUE 08/15/2023   316
  ANTERO RESOURCES FINANCE CORP Corporate Bond 5.38% DUE 11/01/2021   214
  ANTERO RESOURCES FINANCE CORP Corporate Bond 5.38% DUE 11/01/2021   53
  ANTERO RESOURCES FINANCE CORP Corporate Bond 5.38% DUE 11/01/2021   64
  ANTERO RESOURCES FINANCE CORP Corporate Bond 5.38% DUE 11/01/2021   436
  ANTERO RESOURCES FINANCE CORP Corporate Bond 5.38% DUE 11/01/2021   254
  APOLLO MANAGEMENT HOLDIN Corporate Bond 4.95% DUE 01/14/2050   274
  ARCH CAPITAL GROUP US INC Corporate Bond 5.14% DUE 11/01/2043   248
  ARCH CAPITAL FINANCE LLC Corporate Bond 5.03% DUE 12/15/2046   100
  ARCH CAPITAL FINANCE LLC Corporate Bond 5.03% DUE 12/15/2046   125
  ARES CAPITAL CORP Corporate Bond 3.50% DUE 02/10/2023   1,086
  ARES CAPITAL CORP Corporate Bond 3.50% DUE 02/10/2023   609
  ASSOCIATED BANC CORP Corporate Bond 4.25% DUE 01/15/2025   264
  ASSOCIATED BANC CORP Corporate Bond 4.25% DUE 01/15/2025   159
  ATHENE GLOBAL FUNDING Corporate Bond 2.75% DUE 06/25/2024   765
  ATHENE GLOBAL FUNDING Corporate Bond 2.75% DUE 06/25/2024   57
  ATHENE GLOBAL FUNDING Corporate Bond 2.75% DUE 06/25/2024   113
  ATHENE HOLDING LTD Corporate Bond 4.12% DUE 01/12/2028   368
  ATHENE HOLDING LTD Corporate Bond 4.12% DUE 01/12/2028   223
  ATHENE HOLDING LTD Corporate Bond 4.12% DUE 01/12/2028   89
  ATHENE HOLDING LTD Corporate Bond 4.12% DUE 01/12/2028   144
  ATHENE HOLDING LTD Corporate Bond 4.12% DUE 01/12/2028   72
  ATHENE HOLDING LTD Corporate Bond 4.12% DUE 01/12/2028   83
  ATHENE HOLDING LTD Corporate Bond 4.12% DUE 01/12/2028   1,035
  AVANGRID INC Corporate Bond 3.80% DUE 06/01/2029   535
  AVIATION CAPITAL GROUP Corporate Bond 3.88% DUE 05/01/2023   563
  AVIATION CAPITAL GROUP Corporate Bond 3.88% DUE 05/01/2023   310
  AXIS SPECIALTY FINANCE Corporate Bond 3.90% DUE 07/15/2029   293
  AXIS SPECIALTY FINANCE Corporate Bond 4.90% DUE 01/15/2040   446
  AXIS SPECIALTY FINANCE PLC Corporate Bond 4.00% DUE 12/06/2027   302
  AXIS SPECIALTY FINANCE PLC Corporate Bond 4.00% DUE 12/06/2027   159
  AXIS SPECIALTY FINANCE PLC Corporate Bond 4.00% DUE 12/06/2027   345
  BAT CAPITAL CORP Corporate Bond 3.56% DUE 08/15/2027   357
  BAT CAPITAL CORP Corporate Bond 4.76% DUE 09/06/2049   114
  BPCE SA Corporate Bond 4.62% DUE 07/11/2024   215
  BPCE SA Corporate Bond 4.62% DUE 07/11/2024   93
  BPCE SA Corporate Bond 4.62% DUE 07/11/2024   123
  BPCE SA Corporate Bond 3.50% DUE 10/23/2027   465
  BPCE SA Corporate Bond 3.50% DUE 10/23/2027   362
  BANCO SANTANDER SA Corporate Bond 3.12% DUE 02/23/2023   408
  BANCO SANTANDER SA Corporate Bond 3.12% DUE 02/23/2023   204
  BANK OF AMERICA CORP Corporate Bond 5.00% DUE 01/21/2044   124
  BANK OF AMERICA CORP Corporate Bond 5.00% DUE 01/21/2044   313
  BANK OF AMERICA CORP Corporate Bond 5.00% DUE 01/21/2044   228
  BANK OF AMERICA CORP Corporate Bond 4.00% DUE 01/22/2025   267
  BANK OF AMERICA CORP Corporate Bond 4.00% DUE 01/22/2025   160
  BANK OF AMERICA CORP Corporate Bond 4.18% DUE 11/25/2027   5
  BANK OF AMERICA CORP Corporate Bond 4.18% DUE 11/25/2027   352
  BANK OF AMERICA CORP Corporate Bond 3.12% DUE 01/20/2023   260
  BANK OF AMERICA CORP Corporate Bond 3.12% DUE 01/20/2023   189
  BANK OF AMERICA CORP Corporate Bond 4.24% DUE 04/24/2038   156
  BANK OF AMERICA CORP Corporate Bond 4.24% DUE 04/24/2038   173

 

 

 

36

 

 

 

  BANK OF NOVA SCOTIA Corporate Bond 4.50% DUE 12/16/2025   121
  BANK OF NOVA SCOTIA Corporate Bond 4.50% DUE 12/16/2025   439
  BANK OF NOVA SCOTIA Corporate Bond 4.50% DUE 12/16/2025   549
  BANK OF NOVA SCOTIA Corporate Bond 4.50% DUE 12/16/2025   577
  BANK OF NOVA SCOTIA Corporate Bond 4.65% DUE 01/30/3100   208
  BANK OF NOVA SCOTIA Corporate Bond 4.65% DUE 01/30/3100   112
  BANK OF NOVA SCOTIA Corporate Bond 4.65% DUE 01/30/3100   141
  BANK OF NOVA SCOTIA Corporate Bond 4.65% DUE 01/30/3100   405
  BARCLAYS PLC Corporate Bond 4.38% DUE 09/11/2024   368
  BARCLAYS PLC Corporate Bond 4.34% DUE 01/10/2028   215
  BARCLAYS PLC Corporate Bond 4.34% DUE 01/10/2028   322
  BARCLAYS PLC Corporate Bond 4.34% DUE 01/10/2028   402
  BARCLAYS PLC Corporate Bond 3.31% DUE 05/16/2024   384
  BARCLAYS PLC Corporate Bond 3.31% DUE 05/16/2024   202
  BARCLAYS BANK PLC Corporate Bond 10.18% DUE 06/12/2021   695
  BARCLAYS BANK PLC Corporate Bond 10.18% DUE 06/12/2021   139
  BAXALTA INC Corporate Bond 4.00% DUE 06/23/2025   269
  BECTON DICKINSON & CO Corporate Bond 4.68% DUE 12/15/2044   82
  BECTON DICKINSON & CO Corporate Bond 4.68% DUE 12/15/2044   117
  BLACKROCK TCP CAP CORP Corporate Bond 3.90% DUE 08/23/2024   1,379
  BRISTOL MYERS SQUIBB CO Corporate Bond 4.62% DUE 05/15/2044   485
  BROADRIDGE FINANCIAL SOL Corporate Bond 2.90% DUE 12/01/2029   415
  BROOKFIELD FINANCE INC Corporate Bond 4.85% DUE 03/29/2029   664
  BROWN & BROWN INC Corporate Bond 4.20% DUE 09/15/2024   266
  BROWN & BROWN INC Corporate Bond 4.20% DUE 09/15/2024   277
  BROWN & BROWN INC Corporate Bond 4.20% DUE 09/15/2024   346
  BROWN & BROWN INC Corporate Bond 4.20% DUE 09/15/2024   362
  BUNGE LTD FINANCE CORP Corporate Bond 3.25% DUE 08/15/2026   358
  BUNGE LTD FINANCE CORP Corporate Bond 4.35% DUE 03/15/2024   131
  BURLINGTON NORTH SANTA FE Corporate Bond 4.90% DUE 04/01/2044   162
  BURLINGTON NORTH SANTA FE Corporate Bond 4.90% DUE 04/01/2044   125
  CCO HOLDINGS LLC/CAP CORP Corporate Bond 5.12% DUE 05/01/2027   27
  CCO HOLDINGS LLC/CAP CORP Corporate Bond 5.12% DUE 05/01/2027   7
  CCO HOLDINGS LLC/CAP CORP Corporate Bond 5.12% DUE 05/01/2027   31
  CCO HOLDINGS LLC/CAP CORP Corporate Bond 5.12% DUE 05/01/2027   15
  CCO HOLDINGS LLC/CAP CORP Corporate Bond 5.12% DUE 05/01/2027   146
  CCO HOLDINGS LLC/CAP CORP Corporate Bond 5.12% DUE 05/01/2027   5
  CCO HOLDINGS LLC/CAP CORP Corporate Bond 5.12% DUE 05/01/2027   6
  CCO HOLDINGS LLC/CAP CORP Corporate Bond 5.12% DUE 05/01/2027   132
  CF INDUSTRIES Corporate Bond 3.40% DUE 12/01/2021   282
  CNH INDUSTRIAL CAP LLC Corporate Bond 3.88% DUE 10/15/2021   616
  CNH INDUSTRIAL CAP LLC Corporate Bond 3.88% DUE 10/15/2021   234
  CNH INDUSTRIAL CAP LLC Corporate Bond 3.88% DUE 10/15/2021   426
  CNA FINANCIAL CORP Corporate Bond 7.25% DUE 11/15/2023   427
  CNO FINANCIAL GROUP INC Corporate Bond 5.25% DUE 05/30/2025   277
  CNO FINANCIAL GROUP INC Corporate Bond 5.25% DUE 05/30/2025   11
  CNO FINANCIAL GROUP INC Corporate Bond 5.25% DUE 05/30/2025   443
  CNO FINANCIAL GROUP INC Corporate Bond 5.25% DUE 05/30/2025   107
  CNO FINANCIAL GROUP INC Corporate Bond 5.25% DUE 05/30/2025   114
  CSX CORP Corporate Bond 5.50% DUE 04/15/2041   222
  CSX CORP Corporate Bond 5.50% DUE 04/15/2041   158
  CSX CORP Corporate Bond 4.75% DUE 11/15/2048   42
  CVS CAREMARK CORP Corporate Bond 4.88% DUE 07/20/2035   121
  CVS CAREMARK CORP Corporate Bond 4.88% DUE 07/20/2035   46
  CVS CAREMARK CORP Corporate Bond 4.88% DUE 07/20/2035   69
  CVS HEALTH CORP Corporate Bond 4.30% DUE 03/25/2028   113
  CVS HEALTH CORP Corporate Bond 4.30% DUE 03/25/2028   156
  CVS HEALTH CORP Corporate Bond 4.30% DUE 03/25/2028   114
  CVS HEALTH CORP Corporate Bond 5.05% DUE 03/25/2048   308
  CVS HEALTH CORP Corporate Bond 5.05% DUE 03/25/2048   178
  CARLYLE FINANCE SUB LLC Corporate Bond 3.50% DUE 09/19/2029   354
  CENOVUS ENERGY INC Corporate Bond 6.75% DUE 11/15/2039   127
  CENOVUS ENERGY INC Corporate Bond 6.75% DUE 11/15/2039   255
  CENOVUS ENERGY INC Corporate Bond 3.00% DUE 08/15/2022   228
  CENOVUS ENERGY INC Corporate Bond 3.00% DUE 08/15/2022   659
  CENOVUS ENERGY INC Corporate Bond 4.25% DUE 04/15/2027   146

 

 

37

 

 

 

  CENOVUS ENERGY INC Corporate Bond 4.25% DUE 04/15/2027   198
  CENOVUS ENERGY INC Corporate Bond 4.25% DUE 04/15/2027   185
  CENTERPOINT ENERGY RESOURCES Corporate Bond 5.85% DUE 01/15/2041   223
  CHARTER COMM OPT LLC CAP Corporate Bond 6.48% DUE 10/23/2045   124
  CHARTER COMM OPT LLC CAP Corporate Bond 6.48% DUE 10/23/2045   124
  CHENIERE ENERGY PARTNERS Corporate Bond 4.50% DUE 10/01/2029   181
  CHENIERE CORP CHRISTI HD Corporate Bond 3.70% DUE 11/15/2029   157
  CITIGROUP INC Corporate Bond 5.50% DUE 09/13/2025   543
  CITIGROUP INC Corporate Bond 5.50% DUE 09/13/2025   572
  CITIGROUP INC Corporate Bond 5.50% DUE 09/13/2025   600
  CITIGROUP INC Corporate Bond 4.45% DUE 09/29/2027   198
  CITIGROUP INC Corporate Bond 4.45% DUE 09/29/2027   138
  CITY OF HOPE THE Corporate Bond 4.38% DUE 08/15/2048   405
  CLEVELAND ELECTRIC ILLUM Corporate Bond 3.50% DUE 04/01/2028   172
  CLEVELAND ELECTRIC ILLUM Corporate Bond 3.50% DUE 04/01/2028   104
  COLUMBIA REPUBLIC OF Corporate Bond 6.12% DUE 01/18/2041   291
  COLUMBIA REPUBLIC OF Corporate Bond 6.12% DUE 01/18/2041   324
  COLUMBIA REPUBLIC OF Corporate Bond 6.12% DUE 01/18/2041   388
  COMCAST CORP Corporate Bond 6.95% DUE 08/15/2037   111
  COMCAST CORP Corporate Bond 6.95% DUE 08/15/2037   148
  COMCAST CORP Corporate Bond 4.75% DUE 03/01/2044   310
  COMCAST CORP Corporate Bond 4.75% DUE 03/01/2044   122
  COMCAST CORP Corporate Bond 3.97% DUE 11/01/2047   281
  COMCAST CORP Corporate Bond 3.45% DUE 02/01/2050   190
  COMMONWEALTH EDISON CO Corporate Bond 5.90% DUE 03/15/2036   192
  COMMONWEALTH EDISON CO Corporate Bond 5.90% DUE 03/15/2036   133
  CONOCO PHILLIPS Corporate Bond 6.50% DUE 02/01/2039   160
  CONOCO PHILLIPS Corporate Bond 6.50% DUE 02/01/2039   146
  CREDIT AGRICOLE LONDON Corporate Bond 3.25% DUE 10/04/2024   1,037
  CREDIT SUISSE GROUP AG Corporate Bond 2.59% DUE 09/11/2025   1,504
  CREDIT SUISSE GROUP FUND LTD Corporate Bond 3.80% DUE 09/15/2022   547
  CREDIT SUISSE GROUP AG Corporate Bond 6.50% DUE 08/08/2023   668
  CROWN CASTLE INTERNTL CORP Corporate Bond 5.20% DUE 02/15/2049   236
  DAE FUNDING LLC Corporate Bond 4.00% DUE 08/01/2020   90
  DAE FUNDING LLC Corporate Bond 4.00% DUE 08/01/2020   453
  DELTA AIR LINES INC Corporate Bond 3.62% DUE 03/15/2022   538
  DEUTSCHE BANK NY Corporate Bond 3.15% DUE 01/22/2021   141
  DEUTSCHE BANK NY Corporate Bond 3.15% DUE 01/22/2021   201
  DEUTSCHE BANK NY Corporate Bond 3.15% DUE 01/22/2021   72
  DEUTSCHE BANK NY Corporate Bond 3.15% DUE 01/22/2021   53
  DEUTSCHE BANK NY Corporate Bond 3.15% DUE 01/22/2021   314
  DELL INT LLC EMC CORP Corporate Bond 6.02% DUE 06/15/2026   114
  DELL INT LLC EMC CORP Corporate Bond 6.02% DUE 06/15/2026   443
  DELL INT LLC EMC CORP Corporate Bond 6.02% DUE 06/15/2026   374
  DIAMONDBACK ENERGY INC Corporate Bond 3.25% DUE 12/01/2026   375
  DISCOVER BANK Corporate Bond 3.45% DUE 07/27/2026   286
  DISCOVER BANK Corporate Bond 3.45% DUE 07/27/2026   275
  DISCOVER BANK Corporate Bond 3.45% DUE 07/27/2026   390
  DISCOVER BANK Corporate Bond 4.68% DUE 08/09/2028   878
  DISCOVERY COMMUNICATIONS Corporate Bond 4.88% DUE 04/01/2043   246
  DISCOVERY COMMUNICATIONS Corporate Bond 4.88% DUE 04/01/2043   164
  DISCOVERY COMMUNICATIONS Corporate Bond 3.95% DUE 03/20/2028   368
  DISCOVERY COMMUNICATIONS Corporate Bond 3.95% DUE 03/20/2028   162
  DOMINION RESOURCES INC Corporate Bond 5.25% DUE 08/01/2033   241
  DOMINION RESOURCES INC Corporate Bond 5.25% DUE 08/01/2033   151
  DOW CHEMICAL COMPANY Corporate Bond 4.38% DUE 11/15/2042   80
  DOW CHEMICAL COMPANY Corporate Bond 4.38% DUE 11/15/2042   107
  DUKE ENERGY CORP Corporate Bond 2.65% DUE 09/01/2026   558
  DUKE ENERGY CORP Corporate Bond 2.65% DUE 09/01/2026   211
  DUKE ENERGY CORP Corporate Bond 2.65% DUE 09/01/2026   141
  EQT CORP Corporate Bond 3.00% DUE 10/01/2022   541
  EQT CORP Corporate Bond 3.90% DUE 10/01/2027   233
  EQT CORP Corporate Bond 3.90% DUE 10/01/2027   106
  EQT CORP Corporate Bond 3.90% DUE 10/01/2027   359
  EQT CORP Corporate Bond 3.90% DUE 10/01/2027   372
  EQT CORP Corporate Bond 3.90% DUE 10/01/2027   158

 

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  EQT CORP Corporate Bond 3.90% DUE 10/01/2027   167
  EQM MIDSTREAM PARTNERS LP SERI Corporate Bond 4.75% DUE 07/15/2023   547
  EQM MIDSTREAM PARTNERS LP SERI Corporate Bond 4.75% DUE 07/15/2023   301
  EL PUERTO DE LIVERPOL Corporate Bond 3.95% DUE 10/02/2024   283
  EL PUERTO DE LIVERPOL Corporate Bond 3.95% DUE 10/02/2024   257
  EL PUERTO DE LIVERPOL Corporate Bond 3.95% DUE 10/02/2024   360
  ENCANA CORP Corporate Bond 6.50% DUE 02/01/2038   207
  ENCANA CORP Corporate Bond 6.50% DUE 02/01/2038   148
  ENERGY TRANSFER PARTNERS Corporate Bond 6.50% DUE 02/01/2042   125
  ENERGY TRANSFER PARTNERS Corporate Bond 6.50% DUE 02/01/2042   238
  ENERGY TRANSFER PARTNERS Corporate Bond 6.12% DUE 12/15/2045   203
  ENERGY TRANSFER PARTNERS Corporate Bond 4.20% DUE 04/15/2027   94
  ENERGY TRANSFER PARTNERS Corporate Bond 4.20% DUE 04/15/2027   367
  ENERGY TRANSFER PARTNERS Corporate Bond 4.20% DUE 04/15/2027   314
  ENERGY TRANSFER OPERATNG Corporate Bond 6.25% DUE 01/30/3100   390
  ENERGY TRANSFER OPERATNG Corporate Bond 7.50% DUE 10/15/2020   338
  ENERGY TRANSFER OPERATNG Corporate Bond 5.88% DUE 01/15/2024   415
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.15% DUE 06/01/2025   46
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.15% DUE 06/01/2025   51
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.15% DUE 06/01/2025   376
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.15% DUE 06/01/2025   353
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.15% DUE 06/01/2025   105
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.15% DUE 06/01/2025   284
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.15% DUE 06/01/2025   56
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.15% DUE 06/01/2025   279
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.85% DUE 07/15/2026   42
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.85% DUE 07/15/2026   10
  ENLINK MIDSTREAM PARTNER Corporate Bond 4.85% DUE 07/15/2026   94
  ENSTAR GROUP LTD Corporate Bond 4.50% DUE 03/10/2022   83
  ENSTAR GROUP LTD Corporate Bond 4.50% DUE 03/10/2022   441
  ENSTAR GROUP LTD Corporate Bond 4.50% DUE 03/10/2022   363
  ENSTAR GROUP LTD Corporate Bond 4.95% DUE 06/01/2029   375
  ENSTAR GROUP LTD Corporate Bond 4.95% DUE 06/01/2029   375
  ENTERPRISES PRODUCTS OPER Corporate Bond 5.25% DUE 08/16/2077   36
  ENTERPRISES PRODUCTS OPER Corporate Bond 5.25% DUE 08/16/2077   35
  ENTERPRISES PRODUCTS OPER Corporate Bond 5.25% DUE 08/16/2077   29
  ENTERPRISES PRODUCTS OPER Corporate Bond 5.25% DUE 08/16/2077   101
  ENTERPRISE PRODUCTS OPER Corporate Bond 5.38% DUE 02/15/2078   209
  ENTERPRISE PRODUCTS OPER Corporate Bond 5.38% DUE 02/15/2078   174
  ERICSSON LM Corporate Bond 4.12% DUE 05/15/2022   52
  ERICSSON LM Corporate Bond 4.12% DUE 05/15/2022   494
  ERICSSON LM Corporate Bond 4.12% DUE 05/15/2022   163
  ERICSSON LM Corporate Bond 4.12% DUE 05/15/2022   163
  ERICSSON LM Corporate Bond 4.12% DUE 05/15/2022   61
  ERICSSON LM Corporate Bond 4.12% DUE 05/15/2022   54
  FIRST REPUBLIC BANK Corporate Bond 4.38% DUE 08/01/2046   580
  FIRST REPUBLIC BANK Corporate Bond 4.38% DUE 08/01/2046   276
  FIRST REPUBLIC BANK Corporate Bond 4.38% DUE 08/01/2046   166
  FLORIDA POWER AND LIGHT Corporate Bond 4.12% DUE 02/01/2042   189
  FLORIDA POWER CORP Corporate Bond 6.40% DUE 06/15/2038   195
  FLORIDA POWER CORP Corporate Bond 6.40% DUE 06/15/2038   144
  FLOWSERVE CORP Corporate Bond 4.00% DUE 11/15/2023   75
  FLOWSERVE CORP Corporate Bond 4.00% DUE 11/15/2023   389
  FLOWSERVE CORP Corporate Bond 4.00% DUE 11/15/2023   361
  FORD MOTOR COMPANY Corporate Bond 5.29% DUE 12/08/2046   43
  FORD MOTOR CREDIT CO LLC Corporate Bond 5.88% DUE 08/02/2021   236
  FORD MOTOR CREDIT CO LLC Corporate Bond 5.88% DUE 08/02/2021   262
  FORD MOTOR CREDIT CO LLC Corporate Bond 5.88% DUE 08/02/2021   366
  FORD MOTOR CREDIT CO LLC Corporate Bond 4.38% DUE 08/06/2023   208
  FORD MOTOR CREDIT CO LLC Corporate Bond 4.38% DUE 08/06/2023   208
  FORD MOTOR CREDIT CO LLC Corporate Bond 4.38% DUE 08/06/2023   468
  FORD MOTOR CREDIT CO LLC Corporate Bond 3.34% DUE 03/18/2021   378
  FORD MOTOR CREDIT CO LLC Corporate Bond 4.14% DUE 02/15/2023   520
  FORD MOTOR CREDIT CO LLC Corporate Bond 4.14% DUE 02/15/2023   360
  FORD MOTOR CREDIT CO LLC Corporate Bond 5.08% DUE 01/07/2021   323
  FULTON FINANCIAL CORP Corporate Bond 3.60% DUE 03/16/2022   132

 

 

39

 

 

 

  FULTON FINANCIAL CORP Corporate Bond 3.60% DUE 03/16/2022   523
  GE CAPITAL INTERNATIONAL FUND Corporate Bond 4.42% DUE 11/15/2035   275
  GE CAPITAL INTERNATIONAL FUND Corporate Bond 4.42% DUE 11/15/2035   287
  GE CAPITAL INTERNATIONAL FUND Corporate Bond 4.42% DUE 11/15/2035   401
  GMAC LLC Corporate Bond 8.00% DUE 11/01/2031   243
  GMAC LLC Corporate Bond 8.00% DUE 11/01/2031   174
  GENERAL MOTORS CO Corporate Bond 4.20% DUE 10/01/2027   235
  GENERAL MOTORS CO Corporate Bond 4.20% DUE 10/01/2027   131
  GENERAL MOTORS CO Corporate Bond 5.15% DUE 04/01/2038   143
  GENERAL MOTORS CO Corporate Bond 5.15% DUE 04/01/2038   102
  GENERAL MOTORS FINL CO Corporate Bond 3.50% DUE 11/07/2024   345
  GENERAL MOTORS FINL CO Corporate Bond 3.50% DUE 11/07/2024   107
  GENERAL MOTORS FINL CO Corporate Bond 3.50% DUE 11/07/2024   12
  GENERAL MOTORS FINL CO Corporate Bond 3.50% DUE 11/07/2024   42
  GENERAL MOTORS FINL CO Corporate Bond 3.50% DUE 11/07/2024   70
  GENERAL MOTORS FINL CO Corporate Bond 3.50% DUE 11/07/2024   335
  GENERAL MOTORS FINL CO Corporate Bond 4.15% DUE 06/19/2023   273
  GENERAL MOTORS FINL CO Corporate Bond 4.15% DUE 06/19/2023   158
  GENERAL MOTORS FINL CO Corporate Bond 4.15% DUE 06/19/2023   63
  GENERAL MOTORS FINL CO Corporate Bond 4.15% DUE 06/19/2023   159
  GENERAL MOTORS FINL CO Corporate Bond 4.15% DUE 06/19/2023   188
  GENERAL MOTORS FINL CO Corporate Bond 4.20% DUE 11/06/2021   415
  GENPACT LUXEMBOURG SARL Corporate Bond 3.70% DUE 04/01/2022   330
  GENPACT LUXEMBOURG SARL Corporate Bond 3.70% DUE 04/01/2022   203
  GENPACT LUXEMBOURG SARL Corporate Bond 3.70% DUE 04/01/2022   86
  GENPACT LUXEMBOURG SARL Corporate Bond 3.38% DUE 12/01/2024   1,055
  GLENCORE FUNDING LLC Corporate Bond 4.62% DUE 04/29/2024   106
  GLENCORE FUNDING LLC Corporate Bond 4.62% DUE 04/29/2024   85
  GLENCORE FUNDING LLC Corporate Bond 4.62% DUE 04/29/2024   21
  GLENCORE FUNDING LLC Corporate Bond 4.62% DUE 04/29/2024   212
  GLENCORE FUNDING LLC Corporate Bond 4.62% DUE 04/29/2024   636
  GLENCORE FUNDING LLC Corporate Bond 4.62% DUE 04/29/2024   557
  GLENCORE FUNDING LLC Corporate Bond 3.88% DUE 10/27/2027   176
  GLENCORE FUNDING LLC Corporate Bond 3.88% DUE 10/27/2027   775
  GLOBAL AIR LEASE CO LTD Corporate Bond 6.50% DUE 09/15/2024   470
  GLOBAL AIR LEASE CO LTD Corporate Bond 6.50% DUE 09/15/2024   470
  GOLDMAN SACHS GROUP INC Corporate Bond 5.95% DUE 01/15/2027   286
  GOLDMAN SACHS GROUP INC Corporate Bond 5.95% DUE 01/15/2027   179
  GOLDMAN SACHS GROUP INC Corporate Bond 6.75% DUE 10/01/2037   139
  GOLDMAN SACHS GROUP INC Corporate Bond 6.75% DUE 10/01/2037   313
  GOLDMAN SACHS GROUP INC Corporate Bond 6.75% DUE 10/01/2037   243
  GOLDMAN SACHS GROUP INC Corporate Bond 3.27% DUE 09/29/2025   518
  GRUPO TELEVISA SPON ADR Corporate Bond 6.62% DUE 03/18/2025   233
  GRUPO TELEVISA SPON ADR Corporate Bond 6.62% DUE 03/18/2025   146
  GRUPO TELEVISA SPON ADR Corporate Bond 6.62% DUE 03/18/2025   169
  GRUPO TELEVISA SPON ADR Corporate Bond 6.62% DUE 03/18/2025   117
  GRUPO TELEVISA SPON ADR Corporate Bond 6.62% DUE 03/18/2025   146
  HCA INC Corporate Bond 4.75% DUE 05/01/2023   536
  HSBC HOLDINGS PLC Corporate Bond 6.50% DUE 09/15/2037   173
  HSBC HOLDINGS PLC Corporate Bond 6.50% DUE 09/15/2037   173
  HSBC HOLDINGS PLC Corporate Bond 4.25% DUE 03/14/2024   531
  HSBC HOLDINGS PLC Corporate Bond 4.25% DUE 03/14/2024   345
  HEALTHCARE TRUST OF AMERICA Corporate Bond 3.50% DUE 08/01/2026   261
  HEALTHCARE TRUST OF AMERICA Corporate Bond 3.50% DUE 08/01/2026   261
  HEALTHCARE TRUST OF AMERICA Corporate Bond 3.50% DUE 08/01/2026   313
  HEALTHCARE TRUST OF AMERICA Corporate Bond 3.50% DUE 08/01/2026   52
  HERCULES CAPITAL INC Corporate Bond 4.62% DUE 10/23/2022   514
  SERVICE PROPERTIES TRUST Corporate Bond 4.50% DUE 06/15/2023   257
  HOST HOTELS & RESORTS LP Corporate Bond 3.75% DUE 10/15/2023   78
  HOST HOTELS & RESORTS LP Corporate Bond 3.75% DUE 10/15/2023   105
  HUMANA INC Corporate Bond 4.80% DUE 03/15/2047   82
  HUMANA INC Corporate Bond 4.80% DUE 03/15/2047   234
  HUMANA INC Corporate Bond 4.80% DUE 03/15/2047   176
  HUNTSMAN INTL LLC Corporate Bond 5.12% DUE 11/15/2022   130
  HUNTSMAN INTL LLC Corporate Bond 5.12% DUE 11/15/2022   193
  HYUNDAI CAPITAL AMERICA Corporate Bond 2.85% DUE 11/01/2022   566

 

40

 

 

 

 

  ICAHN ENTERPRISES FIN Corporate Bond 6.25% DUE 02/01/2022   42
  ICAHN ENTERPRISES FIN Corporate Bond 6.25% DUE 02/01/2022   84
  ICAHN ENTERPRISES FIN Corporate Bond 6.25% DUE 02/01/2022   46
  ICAHN ENTERPRISES FIN Corporate Bond 6.25% DUE 02/01/2022   160
  IMPERIAL BRANDS FIN PLC Corporate Bond 3.88% DUE 07/26/2029   489
  ING GROEP NV Corporate Bond 4.10% DUE 10/02/2023   659
  ING GROEP NV Corporate Bond 4.10% DUE 10/02/2023   266
  ING GROUP NV Corporate Bond 3.55% DUE 04/09/2024   419
  INGREDION INC COM Corporate Bond 3.20% DUE 10/01/2026   50
  INGREDION INC COM Corporate Bond 3.20% DUE 10/01/2026   62
  INGREDION INC COM Corporate Bond 3.20% DUE 10/01/2026   93
  IPALCO ENTERPRISES INC Corporate Bond 3.45% DUE 07/15/2020   251
  IPALCO ENTERPRISES INC Corporate Bond 3.45% DUE 07/15/2020   653
  IPALCO ENTERPRISES INC Corporate Bond 3.70% DUE 09/01/2024   191
  IPALCO ENTERPRISES INC Corporate Bond 3.70% DUE 09/01/2024   180
  JBS USA FOOD FINANCE Corporate Bond 5.50% DUE 01/15/2030   262
  JP MORGAN CHASE & CO Corporate Bond 6.40% DUE 05/15/2038   167
  JP MORGAN CHASE & CO Corporate Bond 6.40% DUE 05/15/2038   145
  JP MORGAN CHASE & CO Corporate Bond 5.60% DUE 07/15/2041   171
  JP MORGAN CHASE & CO Corporate Bond 5.60% DUE 07/15/2041   137
  JP MORGAN CHASE & CO Corporate Bond 3.88% DUE 09/10/2024   535
  JP MORGAN CHASE & CO Corporate Bond 3.88% DUE 09/10/2024   321
  JP MORGAN CHASE & CO Corporate Bond 3.78% DUE 02/01/2028   539
  KKR GRP FIN CO VI LLC Corporate Bond 3.75% DUE 07/01/2029   416
  KEURIG DR PEPPER INC Corporate Bond 4.06% DUE 05/25/2023   844
  KINROSS GOLD CORP Corporate Bond 5.12% DUE 09/01/2021   390
  KINROSS GOLD CORP Corporate Bond 5.12% DUE 09/01/2021   115
  KINROSS GOLD CORP Corporate Bond 5.12% DUE 09/01/2021   87
  KINROSS GOLD CORP Corporate Bond 5.12% DUE 09/01/2021   57
  KINROSS GOLD CORP Corporate Bond 5.12% DUE 09/01/2021   676
  KINROSS GOLD CORP Corporate Bond 4.50% DUE 07/15/2027   57
  KINROSS GOLD CORP Corporate Bond 4.50% DUE 07/15/2027   42
  KINROSS GOLD CORP Corporate Bond 4.50% DUE 07/15/2027   57
  KINROSS GOLD CORP Corporate Bond 4.50% DUE 07/15/2027   105
  KRAFT HEINZ FOODS CO Corporate Bond 4.62% DUE 10/01/2039   301
  KRAFT HEINZ FOODS CO Corporate Bond 4.62% DUE 10/01/2039   100
  KRAFT HEINZ FOODS CO Corporate Bond 4.62% DUE 10/01/2039   141
  L3HARRIS TECH INC Corporate Bond 2.90% DUE 12/15/2029   264
  LAZARD GROUP LLC Corporate Bond 3.75% DUE 02/13/2025   486
  LAZARD GROUP LLC Corporate Bond 3.62% DUE 03/01/2027   109
  LAZARD GROUP LLC Corporate Bond 3.62% DUE 03/01/2027   103
  LAZARD GROUP LLC Corporate Bond 4.50% DUE 09/19/2028   319
  LEASEPLAN CORPORATION NV Corporate Bond 2.88% DUE 10/24/2024   500
  LEGG MASON INC Corporate Bond 5.62% DUE 01/15/2044   119
  LEGG MASON INC Corporate Bond 5.62% DUE 01/15/2044   227
  LENNAR CORP Corporate Bond 4.75% DUE 05/30/2025   47
  LENNAR CORP Corporate Bond 4.75% DUE 05/30/2025   195
  MPLX LP Corporate Bond 4.12% DUE 03/01/2027   121
  MPLX LP Corporate Bond 4.12% DUE 03/01/2027   142
  MPLX LP Corporate Bond 4.12% DUE 03/01/2027   158
  MPLX LP Corporate Bond 4.50% DUE 04/15/2038   214
  MPLX LP Corporate Bond 4.50% DUE 04/15/2038   178
  MPLX LP Corporate Bond 6.88% DUE 01/30/3100   327
  MPLX LP Corporate Bond 6.88% DUE 01/30/3100   296
  MPLX LP Corporate Bond 6.25% DUE 10/15/2022   190
  MARATHON PETROLEUM CORP Corporate Bond 6.50% DUE 03/01/2041   117
  MARATHON PETROLEUM CORP Corporate Bond 6.50% DUE 03/01/2041   227
  MARATHON PETROLEUM CORP Corporate Bond 6.50% DUE 03/01/2041   195
  MARATHON PETROLEUM CORP Corporate Bond 4.50% DUE 04/01/2048   96
  MARATHON PETROLEUM CORP Corporate Bond 4.50% DUE 04/01/2048   106
  MARKEL CORP Corporate Bond 3.35% DUE 09/17/2029   195
  MARS INC Corporate Bond 3.95% DUE 04/01/2049   458
  MARS INC Corporate Bond 3.95% DUE 04/01/2049   198
  MCCORMICK & CO Corporate Bond 3.40% DUE 08/15/2027   495
  MCCORMICK & CO Corporate Bond 3.40% DUE 08/15/2027   417
  MCCORMICK & CO Corporate Bond 4.20% DUE 08/15/2047   50

 

 

41

 

 

 

  MCCORMICK & CO Corporate Bond 4.20% DUE 08/15/2047   221
  MCCORMICK & CO Corporate Bond 4.20% DUE 08/15/2047   166
  MCKESSON CORP Corporate Bond 6.00% DUE 03/01/2041   215
  MERRILL LYNCH & CO Corporate Bond 7.75% DUE 05/14/2038   236
  MERRILL LYNCH & CO Corporate Bond 7.75% DUE 05/14/2038   236
  MICROSOFT CORP Corporate Bond 3.50% DUE 02/12/2035   154
  MICROCHIP TECHNOLOGY INC Corporate Bond 3.92% DUE 06/01/2021   562
  MICROCHIP TECHNOLOGY INC Corporate Bond 3.92% DUE 06/01/2021   184
  MICROCHIP TECHNOLOGY INC Corporate Bond 3.92% DUE 06/01/2021   128
  MID AMERICA APARTMENTS Corporate Bond 3.95% DUE 03/15/2029   316
  MIDAMERICAN ENERGY HOLDINGS Corporate Bond 6.12% DUE 04/01/2036   192
  MIDAMERICAN ENERGY HOLDINGS Corporate Bond 6.12% DUE 04/01/2036   275
  MIDAMERICAN ENERGY HOLDINGS Corporate Bond 6.12% DUE 04/01/2036   240
  Molson Coors Beverage Co Corporate Bond 5.00% DUE 05/01/2042   71
  Molson Coors Beverage Co Corporate Bond 5.00% DUE 05/01/2042   219
  Molson Coors Beverage Co Corporate Bond 4.20% DUE 07/15/2046   83
  Molson Coors Beverage Co Corporate Bond 4.20% DUE 07/15/2046   83
  Molson Coors Beverage Co Corporate Bond 4.20% DUE 07/15/2046   63
  Molson Coors Beverage Co Corporate Bond 4.20% DUE 07/15/2046   27
  Molson Coors Beverage Co Corporate Bond 4.20% DUE 07/15/2046   150
  MORGAN STANLEY Corporate Bond 4.35% DUE 09/08/2026   246
  MORGAN STANLEY Corporate Bond 4.35% DUE 09/08/2026   109
  MORGAN STANLEY Corporate Bond 4.35% DUE 09/08/2026   137
  MORGAN STANLEY Corporate Bond 4.35% DUE 09/08/2026   356
  MORGAN STANLEY Corporate Bond 3.62% DUE 01/20/2027   469
  MORGAN STANLEY Corporate Bond 4.88% DUE 11/01/2022   214
  MORGAN STANLEY Corporate Bond 4.88% DUE 11/01/2022   2
  MORGAN STANLEY Corporate Bond 4.88% DUE 11/01/2022   9
  MORGAN STANLEY Corporate Bond 4.88% DUE 11/01/2022   295
  MORGAN STANLEY Corporate Bond 4.88% DUE 11/01/2022   536
  MORGAN STANLEY Corporate Bond 4.88% DUE 11/01/2022   563
  MYLAN NV Corporate Bond 3.95% DUE 06/15/2026   113
  MYLAN NV Corporate Bond 3.95% DUE 06/15/2026   207
  MYLAN NV Corporate Bond 3.95% DUE 06/15/2026   335
  MYLAN NV Corporate Bond 3.95% DUE 06/15/2026   101
  NBK TIER 1 FINANCING 2 Corporate Bond 4.50% DUE 01/30/3100   1,037
  NCR CORP Corporate Bond 5.00% DUE 07/15/2022   404
  NCR CORP Corporate Bond 5.00% DUE 07/15/2022   101
  NABORS INDUSTRIES LTD Corporate Bond 5.00% DUE 09/15/2020   116
  NATIONAL OILWELL VARCO I Corporate Bond 3.95% DUE 12/01/2042   15
  NATIONAL OILWELL VARCO I Corporate Bond 3.95% DUE 12/01/2042   26
  NATIONAL OILWELL VARCO I Corporate Bond 3.95% DUE 12/01/2042   47
  NATIONAL OILWELL VARCO I Corporate Bond 3.95% DUE 12/01/2042   12
  NATIONAL OILWELL VARCO I Corporate Bond 3.95% DUE 12/01/2042   16
  NATIONAL OILWELL VARCO I Corporate Bond 3.95% DUE 12/01/2042   230
  NATIONAL OILWELL VARCO I Corporate Bond 3.95% DUE 12/01/2042   184
  NATIONAL OILWELL VARCO I Corporate Bond 3.60% DUE 12/01/2029   421
  NEWELL BRANDS INC Corporate Bond 3.85% DUE 04/01/2023   15
  NEWELL BRANDS INC Corporate Bond 3.85% DUE 04/01/2023   491
  NEWELL BRANDS INC Corporate Bond 3.85% DUE 04/01/2023   727
  NEWFIELD EXPLORATION Corporate Bond 5.75% DUE 01/30/2022   79
  NEWFIELD EXPLORATION Corporate Bond 5.75% DUE 01/30/2022   28
  NEWFIELD EXPLORATION Corporate Bond 5.75% DUE 01/30/2022   292
  NEWFIELD EXPLORATION Corporate Bond 5.75% DUE 01/30/2022   72
  NEWFIELD EXPLORATION Corporate Bond 5.62% DUE 07/01/2024   134
  NEWFIELD EXPLORATION Corporate Bond 5.62% DUE 07/01/2024   223
  NEWFIELD EXPLORATION Corporate Bond 5.38% DUE 01/01/2026   895
  NEXTERA ENERGY CAPITAL Corporate Bond 2.75% DUE 11/01/2029   467
  NISOURCE FINANCE CORP Corporate Bond 5.80% DUE 02/01/2042   100
  NISOURCE FINANCE CORP Corporate Bond 5.80% DUE 02/01/2042   313
  NISOURCE FINANCE CORP Corporate Bond 3.95% DUE 03/30/2048   438
  NISOURCE FINANCE CORP Corporate Bond 3.95% DUE 03/30/2048   237
  NORDEA BANK ABP Corporate Bond 3.75% DUE 08/30/2023   888
  NORDEA BANK AB Corporate Bond 4.62% DUE 09/13/2033   764
  O REILLY AUTOMOTIVE INC Corporate Bond 3.60% DUE 09/01/2027   918
  O REILLY AUTOMOTIVE INC Corporate Bond 3.60% DUE 09/01/2027   1,014

 

 

42

 

 

 

  OCCIDENTAL PETROLEUM COR Corporate Bond 6.45% DUE 09/15/2036   891
  OHIO EDISON Corporate Bond 8.25% DUE 10/15/2038   156
  OHIO EDISON Corporate Bond 8.25% DUE 10/15/2038   73
  PBF HOLDING CO LLC Corporate Bond 7.00% DUE 11/15/2023   104
  PBF HOLDING CO LLC Corporate Bond 7.00% DUE 11/15/2023   337
  PARK AEROSPACE HOLDINGS Corporate Bond 5.25% DUE 08/15/2022   136
  PARK AEROSPACE HOLDINGS Corporate Bond 5.25% DUE 08/15/2022   130
  PARK AEROSPACE HOLDINGS Corporate Bond 5.25% DUE 08/15/2022   618
  PARK AEROSPACE HOLDINGS Corporate Bond 5.25% DUE 08/15/2022   666
  PARK AEROSPACE HOLDINGS Corporate Bond 5.25% DUE 08/15/2022   107
  PARK AEROSPACE HOLDINGS Corporate Bond 5.25% DUE 08/15/2022   235
  PARK AEROSPACE HOLDINGS Corporate Bond 5.25% DUE 08/15/2022   212
  PARK AEROSPACE HOLDINGS Corporate Bond 4.50% DUE 03/15/2023   57
  PARK AEROSPACE HOLDINGS Corporate Bond 4.50% DUE 03/15/2023   57
  PARK AEROSPACE HOLDINGS Corporate Bond 4.50% DUE 03/15/2023   175
  PATTERSON UTI ENERGY INC Corporate Bond 3.95% DUE 02/01/2028   18
  PATTERSON UTI ENERGY INC Corporate Bond 3.95% DUE 02/01/2028   85
  PATTERSON UTI ENERGY INC Corporate Bond 3.95% DUE 02/01/2028   73
  PATTERSON UTI ENERGY INC Corporate Bond 3.95% DUE 02/01/2028   27
  PATTERSON UTI ENERGY INC Corporate Bond 3.95% DUE 02/01/2028   338
  PENNSYLVANIA ELECTRIC CO Corporate Bond 4.15% DUE 04/15/2025   319
  PENNSYLVANIA ELECTRIC CO Corporate Bond 4.15% DUE 04/15/2025   160
  PETROLEOS MEXICANOS Corporate Bond 6.38% DUE 01/23/2045   96
  PETROLEOS MEXICANOS Corporate Bond 5.35% DUE 02/12/2028   199
  PETROLEOS MEXICANOS Corporate Bond 5.35% DUE 02/12/2028   124
  PITNEY BOWES INC Corporate Bond 3.88% DUE 10/01/2021   400
  PLAINS ALL AMERICAN PIPELINE Corporate Bond 4.70% DUE 06/15/2044   122
  PLAINS ALL AMERICAN PIPELINE Corporate Bond 4.70% DUE 06/15/2044   243
  PLAINS ALL AMERICAN PIPELINE Corporate Bond 4.70% DUE 06/15/2044   7
  PLAINS ALL AMERICAN PIPELINE Corporate Bond 4.70% DUE 06/15/2044   8
  PLAINS ALL AMERICAN PIPELINE Corporate Bond 4.50% DUE 12/15/2026   123
  PLAINS ALL AMERICAN PIPELINE Corporate Bond 4.50% DUE 12/15/2026   650
  PROGRESSIVE CORP OHIO Corporate Bond 5.38% DUE 01/30/3100   578
  PROGRESSIVE CORP OHIO Corporate Bond 5.38% DUE 01/30/3100   315
  PRUDENTIAL FINANCIAL INC Corporate Bond 5.88% DUE 09/15/2042   143
  PRUDENTIAL FINANCIAL INC Corporate Bond 5.88% DUE 09/15/2042   233
  PRUDENTIAL FINANCIAL INC Corporate Bond 5.70% DUE 09/15/2048   817
  PUGET ENERGY INC Corporate Bond 6.50% DUE 12/15/2020   234
  PUGET ENERGY INC Corporate Bond 5.76% DUE 10/01/2039   232
  PUGET ENERGY INC Corporate Bond 5.76% DUE 10/01/2039   166
  QWEST CORP Corporate Bond 6.75% DUE 12/01/2021   368
  QWEST CORP Corporate Bond 6.75% DUE 12/01/2021   112
  QWEST CORP Corporate Bond 6.75% DUE 12/01/2021   220
  RELIANCE STEEL AND ALUMINUM Corporate Bond 4.50% DUE 04/15/2023   529
  REYNOLDS AMERICAN INC Corporate Bond 5.85% DUE 08/15/2045   98
  REYNOLDS AMERICAN INC Corporate Bond 5.85% DUE 08/15/2045   344
  REYNOLDS AMERICAN INC Corporate Bond 4.45% DUE 06/12/2025   372
  LEIDOS HOLDINGS INC Corporate Bond 4.45% DUE 12/01/2020   528
  SVB FINANCIAL GROUP Corporate Bond 3.50% DUE 01/29/2025   288
  SVB FINANCIAL GROUP Corporate Bond 3.50% DUE 01/29/2025   157
  SABINE PASS LIQUEFACTION Corporate Bond 4.20% DUE 03/15/2028   557
  SABINE PASS LIQUEFACTION Corporate Bond 4.20% DUE 03/15/2028   345
  SANDY SPRING BANCORP INC Corporate Bond 4.25% DUE 11/15/2029   1,359
  SAUDI ARABIAN OIL CO Corporate Bond 4.25% DUE 04/16/2039   734
  SHERWIN WILLIAMS Corporate Bond 4.50% DUE 06/01/2047   68
  SHERWIN WILLIAMS Corporate Bond 4.50% DUE 06/01/2047   114
  SOUTHERN COPPER CORP Corporate Bond 6.75% DUE 04/16/2040   100
  SOUTHERN COPPER CORP Corporate Bond 6.75% DUE 04/16/2040   134
  SPIRIT REALTY LP Corporate Bond 4.00% DUE 07/15/2029   269
  SPIRIT REALTY LP Corporate Bond 4.00% DUE 07/15/2029   500
  SPIRIT REALTY LP Corporate Bond 3.20% DUE 01/15/2027   120
  SPIRIT REALTY LP Corporate Bond 3.40% DUE 01/15/2030   40
  SPRINT COMMUNICATIONS Corporate Bond 9.25% DUE 04/15/2022   246
  SPRINT COMMUNICATIONS Corporate Bond 9.25% DUE 04/15/2022   600
  STANDARD INDUSTRIES INC Corporate Bond 5.50% DUE 02/15/2023   24
  STANDARD INDUSTRIES INC Corporate Bond 5.50% DUE 02/15/2023   5

 

 

43

 

 

 

  STANDARD INDUSTRIES INC Corporate Bond 5.50% DUE 02/15/2023   6
  STANDARD INDUSTRIES INC Corporate Bond 5.50% DUE 02/15/2023   11
  STANDARD INDUSTRIES INC Corporate Bond 5.50% DUE 02/15/2023   60
  STORE CAPITAL CORP Corporate Bond 4.62% DUE 03/15/2029   114
  STORE CAPITAL CORP Corporate Bond 4.62% DUE 03/15/2029   211
  STORE CAPITAL CORP Corporate Bond 4.62% DUE 03/15/2029   80
  SYNGENTA FINANCE NV Corporate Bond 3.70% DUE 04/24/2020   341
  SYNGENTA FINANCE NV Corporate Bond 3.70% DUE 04/24/2020   201
  SYNGENTA FINANCE NV Corporate Bond 4.44% DUE 04/24/2023   323
  SYNGENTA FINANCE NV Corporate Bond 4.44% DUE 04/24/2023   147
  SYNGENTA FINANCE NV Corporate Bond 4.44% DUE 04/24/2023   366
  SYNCHRONY FINANCIAL Corporate Bond 3.95% DUE 12/01/2027   578
  BlackRock TCP Capital Corp Corporate Bond 4.12% DUE 08/11/2022   326
  BlackRock TCP Capital Corp Corporate Bond 4.12% DUE 08/11/2022   197
  TPG SPECIALTY LENDING IN Corporate Bond 3.88% DUE 11/01/2024   1,179
  TANGER PROPERTIES LP Corporate Bond 3.75% DUE 12/01/2024   717
  TANGER PROPERTIES LP Corporate Bond 3.12% DUE 09/01/2026   248
  TECK RESOURCES LTD Corporate Bond 6.00% DUE 08/15/2040   307
  TELEFONICA EMISIONES SAU Corporate Bond 4.66% DUE 03/06/2038   218
  TEVA PHARMACEUTICAL FINANCE CO Corporate Bond 2.25% DUE 03/18/2020   225
  TEVA PHARMACEUTICALS NE Corporate Bond 2.20% DUE 07/21/2021   230
  TEVA PHARMACEUTICALS NE Corporate Bond 2.20% DUE 07/21/2021   37
  TEVA PHARMACEUTICALS NE Corporate Bond 2.20% DUE 07/21/2021   166
  TIME WARNER CABLE INC Corporate Bond 6.75% DUE 06/15/2039   221
  TIME WARNER CABLE INC Corporate Bond 6.75% DUE 06/15/2039   158
  TIME WARNER CABLE INC Corporate Bond 5.88% DUE 11/15/2040   115
  TIME WARNER CABLE INC Corporate Bond 5.88% DUE 11/15/2040   115
  UDR INC Corporate Bond 3.20% DUE 01/15/2030   256
  UBS GROUP FUNDING SWITZE Corporate Bond 2.86% DUE 08/15/2023   1,118
  UNITED AIR 2018 1 B PTT Corporate Bond 4.60% DUE 09/01/2027   100
  UNITED MEXICAN STATES Corporate Bond 6.75% DUE 09/27/2034   445
  UNITED MEXICAN STATES Corporate Bond 6.75% DUE 09/27/2034   240
  UNITED MEXICAN STATES Corporate Bond 4.75% DUE 03/08/2044   524
  UNITED MEXICAN STATES Corporate Bond 4.75% DUE 03/08/2044   332
  UNITED TECHNOLOGIES CORP Corporate Bond 4.50% DUE 06/01/2042   114
  UNUM GROUP Corporate Bond 4.00% DUE 06/15/2029   278
  VALE OVERSEAS LTD Corporate Bond 6.88% DUE 11/21/2036   104
  VALE OVERSEAS LTD Corporate Bond 6.88% DUE 11/21/2036   130
  VALE OVERSEAS LTD Corporate Bond 6.25% DUE 08/10/2026   135
  VALE OVERSEAS LTD Corporate Bond 6.25% DUE 08/10/2026   335
  VALLEY NATIONAL BANCORP Corporate Bond 5.12% DUE 09/27/2023   107
  VALLEY NATIONAL BANCORP Corporate Bond 5.12% DUE 09/27/2023   751
  VEREIT OPERATING PARTNERSHIP Corporate Bond 4.62% DUE 11/01/2025   433
  VEREIT OPERATING PARTNERSHIP Corporate Bond 4.62% DUE 11/01/2025   301
  VEREIT OPERATING PARTNERSHIP Corporate Bond 3.10% DUE 12/15/2029   914
  VERIZON COMMUNICATIONS Corporate Bond 6.55% DUE 09/15/2043   275
  VERIZON COMMUNICATIONS Corporate Bond 6.55% DUE 09/15/2043   294
  VIRGINIA ELECTRIC & POWER CO Corporate Bond 8.88% DUE 11/15/2038   186
  VIRGINIA ELECTRIC & POWER CO Corporate Bond 8.88% DUE 11/15/2038   422
  VOYA FINANCIAL INC Corporate Bond 4.70% DUE 01/23/2048   195
  WELLPOINT INC Corporate Bond 4.65% DUE 01/15/2043   102
  WELLPOINT INC Corporate Bond 4.65% DUE 01/15/2043   113
  WELLS FARGO FINANCIAL Corporate Bond 5.61% DUE 01/15/2044   152
  WELLS FARGO CO Corporate Bond 5.38% DUE 11/02/2043   204
  WESTERN GAS PARTNERS LP Corporate Bond 4.00% DUE 07/01/2022   179
  WESTERN GAS PARTNERS LP Corporate Bond 4.00% DUE 07/01/2022   692
  WESTERN GAS PARTNERS LP Corporate Bond 4.00% DUE 07/01/2022   923
  WESTERN GAS PARTNERS LP Corporate Bond 4.50% DUE 03/01/2028   114
  WESTERN GAS PARTNERS LP Corporate Bond 4.50% DUE 03/01/2028   99
  WESTERN UNION CO THE Corporate Bond 2.85% DUE 01/10/2025   497
  WILLIS NORTH AMERICA INC Corporate Bond 4.50% DUE 09/15/2028   805
  WILLIS NORTH AMERICA INC Corporate Bond 2.95% DUE 09/15/2029   253
  XSTRATA FINANCE CANADA Corporate Bond 5.55% DUE 10/25/2042   117
  XSTRATA FINANCE CANADA Corporate Bond 5.55% DUE 10/25/2042   29
  XSTRATA FINANCE CANADA Corporate Bond 5.55% DUE 10/25/2042   33
  XSTRATA FINANCE CANADA Corporate Bond 5.55% DUE 10/25/2042   106

 

 

44

 

 

 

  XLIT LTD Corporate Bond 4.45% DUE 03/31/2025   117
  XLIT LTD Corporate Bond 4.45% DUE 03/31/2025   101
  XLIT LTD Corporate Bond 4.45% DUE 03/31/2025   272
  XLIT LTD Corporate Bond 4.45% DUE 03/31/2025   82
  XLIT LTD Corporate Bond 4.45% DUE 03/31/2025   381
  XLIT LTD Corporate Bond 5.50% DUE 03/31/2045   254
  XLIT LTD Corporate Bond 5.50% DUE 03/31/2045   159
  YARA INTERNATIONAL ASA Corporate Bond 4.75% DUE 06/01/2028   418
  YARA INTERNATIONAL ASA Corporate Bond 4.75% DUE 06/01/2028   217
  YARA INTERNATIONAL ASA Corporate Bond 4.75% DUE 06/01/2028   41
  YARA INTERNATIONAL ASA Corporate Bond 4.75% DUE 06/01/2028   108
  YARA INTERNATIONAL ASA Corporate Bond 4.75% DUE 06/01/2028   114
  YARA INTERNATIONAL ASA Corporate Bond 4.75% DUE 06/01/2028   217
  YARA INTERNATIONAL ASA Corporate Bond 4.75% DUE 06/01/2028   11
  ZIONS BANCORPORATION NA Corporate Bond 3.50% DUE 08/27/2021   1,023
  FNMA Federal Government and Agency Bond 4.50% DUE 01/01/2040   1,711
  GNMA II Federal Government and Agency Bond 3.50% DUE 01/23/2042   22,576
  GNMA II Federal Government and Agency Bond 3.50% DUE 01/23/2042   2,473
  GNMA II Federal Government and Agency Bond 4.00% DUE 01/20/2041   15,577
  GNMA II Federal Government and Agency Bond 4.00% DUE 01/20/2041   1,035
  5 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (2)
  2 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   (36)
  2 YR US TR NOTES Futures Contract 0.00% DUE 04/03/2020   6
  20 YR US TR BONDS Futures Contract 0.00% DUE 03/31/2020   118
  US ULTRA T-BOND Futures Contract 0.00% DUE 03/31/2020   (460)
  US ULTRA T-BOND Futures Contract 0.00% DUE 03/31/2020   (4)
  FHLMC Mortgage-backed security 4.50% DUE 11/01/2048   3,240
  FHLMC Mortgage-backed security 4.50% DUE 02/01/2049   1,278
  FHLMC Mortgage-backed security 2.50% DUE 08/01/2034   305
  FHLMC Mortgage-backed security 2.50% DUE 08/01/2034   2,001
  FHLMC Mortgage-backed security 2.50% DUE 11/01/2034   2,156
  FNMA Mortgage-backed security 3.50% DUE 02/01/2041   267
  FNMA Mortgage-backed security 4.00% DUE 04/01/2048   761
  FNMA Mortgage-backed security 4.00% DUE 03/01/2049   4,308
  FNMA Mortgage-backed security 4.00% DUE 03/01/2049   4,125
  FNMA Mortgage-backed security 4.50% DUE 02/01/2049   6,573
  FNMA Mortgage-backed security 3.50% DUE 01/01/2048   3,407
  FNMA Mortgage-backed security 4.50% DUE 06/01/2048   2,510
  FNMA Mortgage-backed security 4.50% DUE 06/01/2048   475
  FNMA Mortgage-backed security 4.00% DUE 07/01/2048   678
  FNMA Mortgage-backed security 4.00% DUE 07/01/2048   39
  FNMA Mortgage-backed security 3.50% DUE 02/01/2043   6,047
  FNMA Mortgage-backed security 4.50% DUE 11/01/2048   2,034
  FNMA Mortgage-backed security 4.50% DUE 12/01/2048   1,928
  FNMA Mortgage-backed security 4.50% DUE 01/01/2049   1,795
  FNMA Mortgage-backed security 3.00% DUE 06/01/2032   1,257
  FNMA Mortgage-backed security 3.00% DUE 08/01/2032   542
  FNMA Mortgage-backed security 5.00% DUE 06/01/2048   990
  FNMA Mortgage-backed security 4.00% DUE 04/01/2049   2,663
  FNMA Mortgage-backed security 4.50% DUE 04/01/2049   894
  FNMA Mortgage-backed security 4.50% DUE 04/01/2049   1,497
  FNMA Mortgage-backed security 4.50% DUE 04/01/2049   478
  FNMA Mortgage-backed security 4.50% DUE 06/01/2049   2,259
  FNMA Mortgage-backed security 2.50% DUE 10/01/2034   2,506
  FNMA Mortgage-backed security 2.50% DUE 10/01/2034   736
  FNMA Mortgage-backed security 2.50% DUE 10/01/2034   1,081
  BRAZOS TX HGR EDU AUTH Municipal Government Bond 3.02% DUE 06/25/2042   1,176
  NORTHSTAR EDUCATION FINANCE IN Municipal Government Bond 4.98% DUE 04/01/2042   1,616
  BCM SWAPTION Options 2.94% DUE 12/13/2032   431
  BCM SWAPTION Options 2.44% DUE 12/13/2032   182

 

 

45

 

 

 

  BCM SWAPTION Options 2.62% DUE 01/31/2033   225
  BCM SWAPTION Options 3.12% DUE 01/31/2033   418
  STATE STREET STIF Sweep Investment         196
  STATE STREET STIF Sweep Investment         192
  STATE STREET STIF Sweep Investment         29
  STATE STREET STIF Sweep Investment         338
  STATE STREET STIF Sweep Investment         100
  STATE STREET STIF Sweep Investment         3,301
  STATE STREET STIF Sweep Investment         112
  STATE STREET STIF Sweep Investment         4,195
  STATE STREET STIF Sweep Investment         588
  CASH COLLATERAL Sweep Investment         (200)
  CASH COLLATERAL Sweep Investment         (650)
  CASH COLLATERAL Sweep Investment         (920)
  CASH COLLATERAL Sweep Investment         4
  CASH COLLATERAL Sweep Investment         36
  CASH COLLATERAL Sweep Investment         74
  CASH COLLATERAL Sweep Investment         86
  CASH COLLATERAL Sweep Investment         72
  CASH COLLATERAL Sweep Investment         60
  CASH COLLATERAL Sweep Investment         105
  CASH COLLATERAL Sweep Investment         100
  CASH COLLATERAL Sweep Investment         26
  CASH COLLATERAL Sweep Investment         110
  CASH COLLATERAL Sweep Investment         130
  CASH COLLATERAL Sweep Investment         230
  CASH COLLATERAL Sweep Investment         50
  CASH COLLATERAL Sweep Investment         8
  CASH COLLATERAL Sweep Investment         50
  US TREASURY N/B US Government Bond 3.50% DUE 02/15/2039   360
  US TREASURY N/B US Government Bond 3.50% DUE 02/15/2039   192
  US TREASURY N/B US Government Bond 3.50% DUE 02/15/2039   120
  US TREASURY N/B US Government Bond 3.50% DUE 02/15/2039   240
  US TREASURY N/B US Government Bond 3.50% DUE 02/15/2039   1,200
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   328
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   2,850
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   307
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   230
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   409
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   307
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   205
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   179
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   205
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   512
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   307
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   409
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   256
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   256
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   563
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   409
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   256
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   205
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   409
  WI TREASURY SEC. US Government Bond 2.50% DUE 05/15/2046   512
  US TREASURY N B US Government Bond 2.25% DUE 08/15/2049   584
  US TREASURY N B US Government Bond 2.25% DUE 08/15/2049   146
  US TREASURY N B US Government Bond 2.25% DUE 08/15/2049   243
  US TREASURY N B US Government Bond 2.25% DUE 08/15/2049   340
  US TREASURY N B US Government Bond 2.25% DUE 08/15/2049   584
  US TREASURY N B US Government Bond 2.25% DUE 08/15/2049   584
  US TREASURY N B US Government Bond 2.25% DUE 08/15/2049   195
  US TREASURY N B US Government Bond 2.12% DUE 03/31/2024   611
  US TREASURY N B US Government Bond 2.12% DUE 03/31/2024   1,019
  US TREASURY N B US Government Bond 2.12% DUE 03/31/2024   1,324
  US TREASURY N B US Government Bond 2.12% DUE 03/31/2024   917
  US TREASURY N B US Government Bond 2.12% DUE 03/31/2024   6,112

 

 

46

 

 

 

  US TREASURY N B US Government Bond 2.12% DUE 03/31/2024   1,019
  US TREASURY N B US Government Bond 1.50% DUE 08/15/2022   1,597
  US TREASURY N B US Government Bond 1.50% DUE 08/15/2022   1,996
  US TREASURY N B US Government Bond 1.50% DUE 08/15/2022   200
  US TREASURY N B US Government Bond 1.50% DUE 08/15/2022   1,896
  US TREASURY N B US Government Bond 1.62% DUE 08/15/2029   585
  US TREASURY N B US Government Bond 1.62% DUE 08/15/2029   439
  US TREASURY N B US Government Bond 1.62% DUE 08/15/2029   1,755
  OTHER ASSETS           130,939
       TOTAL MASSMUTUAL STABLE VALUE FUND         $ 564,138
               
               
  *NOTES RECEIVABLE FROM PARTICIPANTS Participant Loans 2.36% to 11.00%  2020-2026 $ 150,760
               
  *Indicates party-in-interest to the Plan            
               
 

All investments are participant directed; therefore, cost value has been omitted.

         

 

 

 

 

 

 

47

 

 

Required Information

 

Financial statements and schedules for the Cigna 401(k) Plan, prepared in accordance with the financial reporting requirements of the Employee Retirement Income Security Act of 1974, are contained in this Annual Report on Form 11-K.

 

 

 

Exhibits

 

 

Number Description Method of Filing
     
23 Consent of Independent Registered Public Accounting Firm Filed herewith.  

 

 

 

 
 

 

SIGNATURE

 

Pursuant to the requirements of the Securities Exchange Act of 1934, the trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.

 

 

  Cigna 401(k) PLAN
     
     
     
Date:  June 26, 2020 By: /s/ Jill Vaslow
    Jill Vaslow
    Plan Administrator

 

 

 

 
 

 

Index to Exhibits

 

 

 

Number Description Method of Filing
     
23 Consent of Independent Registered Public Accounting Firm Filed herewith.  

 

 

Exhibit 23

 

CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

We hereby consent to the incorporation by reference in the Registration Statements on Form S-8 (No. 333-236877) of Cigna Corporation of our report dated June 26, 2020 relating to the financial statements and supplemental schedule of Cigna 401(k) Plan, which appears in this Form 11-K.

/s/ PricewaterhouseCoopers LLP

 

Philadelphia, Pennsylvania

June 26, 2020