11-K 1 cvshealth11-k2020.htm 11-K Document



UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549
_________________________________________
FORM 11-K
_________________________________________

(Mark One)
ý                ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the fiscal year ended December 31, 2020

OR

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

For the transition period from______to______

Commission File Number:  001-01011

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

CVS HEALTH FUTURE FUND 401(k) PLAN
(formerly known as the 401(k) Plan and the Employee Stock Ownership Plan of CVS Health Corporation and Affiliated Companies)

________________________________________

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

CVS HEALTH CORPORATION

One CVS Drive
Woonsocket, RI 02895







REQUIRED INFORMATION
CVS HEALTH FUTURE FUND 401(k) PLAN
YEARS ENDED DECEMBER 31, 2020 AND 2019


TABLE OF CONTENTS
  Page
   
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 
   
FINANCIAL STATEMENTS:  
   
Statements of Net Assets Available for Benefits 
   
Statements of Changes in Net Assets Available for Benefits 
   
Notes to Financial Statements 
   
SUPPLEMENTAL SCHEDULE:  
   
Schedule H, Line 4i - Schedule of Assets (Held at End of Year) 
   
INDEX TO EXHIBITS 
   
SIGNATURES 
   







Report of Independent Registered Public Accounting Firm
 
To the Plan Participants and the Plan Administrator of
CVS Health Future Fund 401(k) Plan
 
Opinion on the Financial Statements

We have audited the accompanying statements of net assets available for benefits of the CVS Health Future Fund 401(k) Plan (the Plan) as of December 31, 2020 and 2019, and the related statements of changes in net assets available for benefits for the years then ended, and 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 at December 31, 2020 and 2019, and the changes in its net assets available for benefits for the years then ended, in conformity with U.S. generally accepted accounting principles.

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 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. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting. Accordingly, we express no such opinion.

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 Schedule

The accompanying supplemental schedule of assets (held at end of year) as of December 31, 2020, has been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The information in the supplemental schedule is the responsibility of the Plan’s management. Our audit procedures included determining whether the information 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 information, we evaluated whether such information, 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 information is fairly stated, in all material respects, in relation to the financial statements as a whole.

/s/ Ernst & Young LLP
We have served as the Plan’s auditor since 2008.
Boston, Massachusetts 
June 24, 2021


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CVS HEALTH FUTURE FUND 401(k) PLAN

Statements of Net Assets Available for Benefits
December 31, 2020 and 2019
20202019
Assets:  
Investments at fair value:  
Cash$165 $39,956 
Mutual funds (Note 2 (b))8,766,302,034 5,153,541,092 
Common stock (Note 2 (b))2,862,966,978 2,242,470,849 
Corporate bonds (Note 2 (b))545,382,430 — 
U.S. Government securities (Note 2 (b))623,000,895 — 
Other securities (Note 2 (b))41,058,186 — 
Common collective trust funds (Note 2 (b))8,793,173,189 4,040,055,975 
Total investments at fair value21,631,883,877 11,436,107,872 
Fully benefit responsive investments at contract value: 
Synthetic guaranteed investment contracts (Note 2 (b))2,954,581,257 733,913,470 
Security-backed investment contracts (Note 2 (b))— 255,140,860 
Total fully benefit responsive investments at contract value2,954,581,257 989,054,330 
Total investments24,586,465,134 12,425,162,202 
Receivables: 
Interest and dividends (Note 2 (g))7,543,858 1,029,693 
Notes receivable from participants (Note 4)363,506,833 230,672,338 
Pending securities settlements (Note 2 (f))— 5,378,836 
Total receivables371,050,691 237,080,867 
Total assets24,957,515,825 12,662,243,069 
Liabilities: 
Accrued expenses and other liabilities(15,951,127)(5,284,850)
Pending securities settlements (Note 2 (f))(62,607,756)— 
Total liabilities(78,558,883)(5,284,850)
Net assets available for benefits$24,878,956,942 $12,656,958,219 

See accompanying notes to financial statements.

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CVS HEALTH FUTURE FUND 401(k) PLAN

Statements of Changes in Net Assets Available for Benefits
Years Ended December 31, 2020 and 2019
20202019
Investment activity:  
Interest and dividend income (Note 2 (g))$289,155,902 $171,746,303 
Realized and unrealized gains (losses) (Note 2 (g))2,731,673,228 2,063,468,055 
Total investment activity3,020,829,130 2,235,214,358 
Participant loan interest (Note 4)19,274,835 11,630,000 
Contributions: 
Employer contributions (Note 1 (c))511,021,063 310,545,982 
Employee contributions (Note 1 (c))892,865,915 549,703,560 
Rollovers90,614,571 63,454,449 
Total contributions1,494,501,549 923,703,991 
Deductions: 
Benefits paid to participants (Notes 1 (f) and 2 (c))1,655,168,832 783,341,166 
Administrative expenses (Note 1 (g))30,758,930 17,587,788 
Total deductions1,685,927,762 800,928,954 
Net increase in net assets for the year before transfers2,848,677,752 2,369,619,395 
Aetna assets transferred in (Note 1(a))9,373,320,971 — 
Net increase in net assets for the year12,221,998,723 2,369,619,395 
Net assets beginning of the year12,656,958,219 10,287,338,824 
Net assets end of the year$24,878,956,942 $12,656,958,219 

See accompanying notes to financial statements.

3


CVS HEALTH FUTURE FUND 401(k) PLAN

Notes to Financial Statements
Years Ended December 31, 2020 and 2019

1.Plan Description

The following description of the CVS Health Future Fund 401(k) Plan (the “Plan” or “Future Fund”), formerly the 401(k) Plan and the Employee Stock Ownership Plan of CVS Health Corporation and Affiliated Companies, provides only general information. Participants should refer to the Plan documents for a more complete description of the Plan’s provisions.

(a)Background
The Plan was established as of January 1, 1989. The Plan is a defined contribution plan subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”), as amended. The general administration of the Plan and the responsibility for carrying out the provisions of the Plan are maintained by a committee (the “Benefit Plans Committee”) of not less than three persons appointed by the Board of Directors of CVS Health Corporation (the “Company”) , the sponsor of the Plan. In accordance with the provisions of the Plan, the Benefit Plans Committee has appointed an Administrative Subcommittee (the “Plan Administrator”) and an Investment Subcommittee and delegated certain fiduciary duties and responsibilities to each of the Subcommittees. The Benefit Plans Committee also appointed the Vanguard Group, Inc. as the recordkeeper to assist with administering the Plan (the “Recordkeeper”), effective January 1, 2019, and the Bank of New York Mellon as the trustee (the “Trustee”). The Recordkeeper maintains participant account records and works with the Trustee to execute transactions such as benefit payments to participants. The Trustee holds the assets of the Plan and executes transactions at the direction of the Plan Administrator.

On November 28, 2018, CVS Health acquired Aetna Inc. On January 1, 2020, the Company merged the Aetna 401(k) Plan into the Future Fund. The Aetna 401(k) Plan was a participant-directed defined contribution plan covering eligible employees of Aetna Inc., and its subsidiaries. The merger resulted in a transfer of assets of approximately $9.4 billion into the Future Fund effective January 1, 2020, which are included in the statements of net assets available for benefits as of December 31, 2020 and the statements of changes in net assets available for benefits for the year then ended.

(b)Eligibility
Employees are eligible to participate in the Plan upon attainment of age 18, effective January 1, 2019 (previously age 21), with the first payroll following 90 days of service as an employee.

Employees referred to above are defined as regular employees of the Company other than:
A nonresident alien receiving no United States (“U.S.”) earned income from the Company;
A resident of Puerto Rico;
An individual covered under a collective bargaining agreement (unless the agreement provides for membership);
A leased employee (as defined in the Internal Revenue Code (the “Code”);
A temporary employee (as determined by the Company); or
An independent contractor or consultant (as defined by the Company).

(c)Contributions
Participants may direct the Company to contribute to their accounts a percentage of the eligible compensation that would otherwise be due to them. Percentages can be elected in multiples of 1%, with a minimum participant contribution percentage of 1%, pursuant to a salary reduction agreement. Each participant’s total elective deferrals for any calendar year may not exceed 75% in 2020 or 60% in 2019 of eligible compensation or the maximum elective deferral allowed by the Code, whichever is less, as specified in the Plan document. The maximum elective deferral allowed by the Code was $19,500 for 2020 and $19,000 for 2019. All employees that are age 50 or over, before December 31 of the calendar year and who contribute the maximum amount to the Plan (as dollar limit or percentage) are permitted to make additional catch-up contributions. Catch-up contributions may be made up to an additional $6,500 for 2020 and $6,000 for 2019.


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Plan participants are eligible to receive Company matching contributions with the first payroll following the completion of one year of service with the Company. One year of service is defined as either:

12 months of service, beginning on the participant's employment date, during which the participant completed at least 1,000 hours of service, or
1,000 hours of service in the course of any calendar year after the calendar year in which the participant was hired.

The Plan provides a match of 100% up to 5% of an employee’s eligible compensation contributed to the Plan. The maximum annual match per participant was $14,250 for 2020 and $14,000 for 2019.

(d)Participant’s Account
Each participant’s account is credited with an allocable share of the participant’s selected Plan investments and any unrealized appreciation or depreciation and interest and dividends of those investments, net of administrative expenses.

(e)Vesting
Participants are 100% vested in participant and Company matching contributions.

Participants whose account balances have been transferred into the Plan from other defined contribution plans maintain at least the degree of vesting in the account that they had at the time of the transfer. Participants are always fully vested in and have a non-forfeitable right to (1) their accounts upon retirement, death or disability and (2) any elective deferrals described in Note 1(c) and any rollover amounts they make to the Plan.

(f)Payment of Benefits
Upon termination of service by a participant, the Recordkeeper pays the participant his or her benefit under one or more options, such as a single lump sum (including a rollover) or in equal annual installments over a period not to exceed the participant’s expected lifetime.

(g)Administrative Expenses
Administrative expenses specifically attributable to the Plan and not covered by forfeitures were funded by the Plan for 2020 and 2019. Recordkeeping and Trustee’s fees were paid by the Plan for 2020 and 2019.

(h)Forfeitures
On a participant’s termination date, any unvested portion of the participant’s account is forfeited at the earlier of distribution or five years from the date of termination. The Plan contains certain vesting schedules for Company matching contributions which could lead to forfeited matching contributions if a participant does not satisfy the criteria to vest the contributions on the termination date. If a former participant resumes employment and eligibility in the Plan within five years of termination, any amounts previously forfeited are restored to the participant’s account, but remain subject to the vesting provisions of the Plan. Forfeitures during any plan year are applied as follows: (i) to restore amounts previously forfeited by participants but required to be reinstated upon resumption of employment; (ii) to pay administrative expenses of the Plan; or (iii) to the extent allowed by law, to reduce future CVS Health contributions. If forfeitures for any plan year are insufficient to restore the required forfeitures, CVS Health shall contribute the balance required for that purpose.

There were no cash forfeitures restored to participants upon resumption of employment in 2020 or 2019. The forfeitures for each year were applied to the administrative expenses of the Plan and in 2019 were also used to reduce CVS Health contributions to the Plan.

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(i)Investment Options
Upon enrollment in the Plan, a participant elects to direct contributions or investment balances to the investment fund options offered by and subject to the restrictions under the Plan. Participants may modify investment elections daily thereafter, subject to certain trading restrictions. The Plan’s investments are composed of guaranteed insurance contracts, securities of CVS Health, marketable mutual funds, security-backed investment contracts, common collective trusts, U.S government securities, corporate bonds, other securities and separately managed funds (composed of marketable securities). The following is a brief explanation of each fund’s investment objectives:

Core Equity Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of large capitalization stocks. The fund employs an indexing investment approach designed to track the performance of the Standard & Poor’s 500 Index, a widely recognized benchmark of U.S. stock market performance that is dominated by the stocks of large U.S. companies. The advisor attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.

CVS Health Stock Fund
The fund invests in CVS Health common stock to provide participants the possibility of long-term growth through increases in the value of the stock and the reinvestment of its dividends. Contributions to the CVS Health Stock Fund are limited to 20% of eligible compensation.

Diversified Bond Fund
This fund seeks a stable rate of return and capital appreciation through investment in high quality bonds and other debt instruments. Co-managed by Loomis Sayles (50%) and Dodge & Cox (50%) for Future Fund colleagues. Intermediate-term bond portfolios invest primarily in corporate and other investment-grade U.S. fixed-income issues and typically have durations of 3.5 to 6.0 years. These portfolios are less sensitive to interest rates, and therefore less volatile, than portfolios that have longer durations.

Emerging Markets Index Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of stocks issued by companies located in emerging market countries. The fund employs an indexing investment approach designed to track the performance of the FTSE Emerging Markets All Cap China A Inclusion Index, a market-capitalization-weighted index that is made up of approximately 3,500 common stocks of large, mid, and small cap companies located in emerging markets around the world. The fund invests by sampling the index, meaning that it holds a broadly diversified collection of securities that, in the aggregate, approximates the index in terms of key characteristics.

Global Equity Fund
The investment seeks long-term growth of capital; future income is a secondary objective. The fund normally invests in stocks of companies located around the world to take advantage of investment opportunities generated by changes in international trade patterns and economic and political relationships. In pursuing its primary investment objective, it invests primarily in common stocks that the investment adviser believes have the potential for growth. In pursuing its secondary objective, the fund invests in common stocks of companies with the potential to pay dividends in the future.

Growth & Income Fund
This fund seeks stocks that reflect value characteristics such as price/earnings and price/book ratios below the market through investment in high dividend yield stocks at discounted valuations. Co-Managed by Columbia Threadneedle (50%), Barrow Hanley (25%), and Mellon Capital (25%) for Future Fund participants. Large value portfolios invest primarily in big U.S. companies that are less expensive or growing more slowly than other large cap stocks. Stocks in the top 70% of the capitalization of the U.S. equity market are defined as large cap. Value is defined based on low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow).

Inflation-Protected Fund
The investment seeks to provide inflation protection and income consistent with investment in inflation-indexed securities. The fund invests at least 80% of its assets in inflation-indexed bonds issued by the U.S. government, its agencies and instrumentalities, and corporations. It may invest in bonds of any maturity; however, its dollar-weighted average maturity is expected to be in the range of 7 to 20 years. At a minimum, all bonds purchased by the fund will be
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rated “investment-grade” or, if unrated, will be considered by the advisor to be investment-grade. This investment was removed as a stand-alone investment option in the Plan effective January 1, 2020.

International Equity Fund
This fund seeks long-term growth of capital through investment in foreign (non-U.S.) equity securities. It also invests in depository receipts and companies located in emerging market countries. Co-Managed by First Eagle (30%), American Funds (30%), Vanguard (30%), and Wells Fargo (10%) for Future Fund participants. Foreign large blend portfolios invest in a variety of large cap international stocks. Most of these portfolios divide their assets among a dozen or more developed markets, including Japan, Britain, France, and Germany. These portfolios primarily invest in stocks that have market caps in the top 70% of each economically integrated market (such as Europe or Asia ex-Japan). The blend style is assigned to portfolios where neither growth nor value characteristics predominate. These portfolios typically will have less than 20% of assets invested in U.S. stocks.

International Equity Index Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of stocks issued by companies located in the major markets of Europe, the Pacific Region, and Canada. The fund employs a “passive management” or indexing-investment approach designed to track the performance of the Financial Times Stock Exchange Group Developed All Cap ex US Index, which includes approximately 3,800 common stocks of companies located in Europe, Australia, Asia, Canada, and the Far East. It attempts to replicate the target index by investing in all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.

Large Cap Growth Fund
This fund seeks stocks that reflect growth characteristics such as sales and earnings growth above the market through investment in positive momentum stocks and that will continue to beat investor expectations. Co-managed by Columbus Circle (one-third), T. Rowe Price (one-third), and Mellon Capital (one-third) for Future Fund colleagues. Large growth portfolios invest primarily in big U.S. companies that are projected to grow faster than other large cap stocks. Stocks in the top 70% of the capitalization of the U.S. equity market are defined as large cap. Growth is defined based on fast growth (high growth rates for earnings, sales, book value, and cash flow) and high valuations (high price ratios and low dividend yields). Most of these portfolios focus on companies in rapidly expanding industries.

Mid Cap Index Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of mid capitalization stocks. The fund employs an indexing investment approach designed to track the performance of the Center for Research in Security Prices US Mid Cap Index, a broadly diversified index of stocks of midsize U.S. companies. It attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.

Real Asset Index Fund
The fund seeks to offer broad, cost-effective exposure to commodities, global natural resource equities, global infrastructure equities, U.S. commercial real estate securities, and U.S. inflation linked bonds. The fund employs an indexing investment approach designed to track the performance of a custom index, which is made up of: 25% Bloomberg Roll Select Commodity Index, 25% S&P Global Large Midcap Commodity and Resources Index, 15% Dow Jones U.S. Select REIT Index, 25% Bloomberg Barclays U.S. TIPS Index, and 10% S&P Global Infrastructure Index. The allocation across the five broad asset classes seeks to provide a long-term return while targeting a level of risk relative to longer-dated U.S. TIPS.

Small Cap Growth Fund
The investment seeks to provide long-term capital appreciation. The fund invests mainly in the stocks of small companies. These companies are considered by the fund's advisors to have superior growth potential. Also, these companies often provide little or no dividend income.

Small Cap Index Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of small-capitalization stocks. The fund employs an indexing investment approach designed to track the performance of the CRSP US Small Cap Index, a broadly diversified index of stocks of small U.S. companies. It attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index, holding each stock in approximately the same proportion as its weighting in the index.
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Small Cap Value Fund
The fund seeks long-term growth by investing primarily in stocks of small- to medium-sized companies, which either are believed to offer superior earnings growth or appear to be undervalued. This fund may experience above-average share price volatility. Co-managed by Dimensional Fund Advisors (50%), Sapience Investments (25%), and Vanguard (25%) for Future Fund colleagues. Small-blend portfolios favor U.S. firms at the smaller end of the market-capitalization range. Some aim to own an array of value and growth stocks while others employ a discipline that leads to holdings with valuations and growth rates close to the small-cap averages. Stocks in the bottom 10% of the capitalization of the U.S. equity market are defined as small cap. The blend style is assigned to portfolios where neither growth nor value characteristics predominate.

Stable Value Fund
The fund’s investment objectives are preservation of principal, consistent returns and a stable credited rate of interest. Managed by Invesco, the fund is primarily comprised of highly rated (AA or higher) insurance company and bank investment contracts issued by financial institutions and other eligible stable value investments that seek to provide participants with safety of principal and accrued interest as well as a stable crediting rate. All contract issuers and securities utilized in the portfolio are rated investment grade at time of purchase.

Target Date Funds
The Target Date Funds seek to provide both income and capital appreciation by investing in multiple asset classes, including stocks, bonds, and cash investments. Target Date Funds provide a diversified exposure to stocks, bonds, and cash for those investors who have a specific date in mind for retirement. These funds aim to provide investors with an optimal level of return and risk, based solely on the target date. These funds invest in other Future Fund investment options and management adjusts the allocation among asset classes to more conservative mixes as the target date approaches, following a preset glide path. A Target Date Fund is part of a suite of funds offering multiple retirement dates to investors. The Plan’s ten Target Date Funds include a Target Date Retirement Fund as well as Target Date Funds in five-year increments (2020-2060).

U.S. Bond Index Fund
The investment seeks to track the performance of a broad, market-weighted bond index. The fund employs an indexing investment approach designed to track the performance of Bloomberg Barclays U.S. Aggregate Bond Index. It invests by sampling the index, meaning that it holds a broadly diversified collection of securities that, in the aggregate, approximates the full index in terms of key risk factors and other characteristics. The fund invests at least 80% of assets in bonds held in the index. It maintains a dollar-weighted average maturity consistent with that of the index, ranging between 5 and 10 years.

Socially Responsible Fund
The investment seeks to track the performance of a benchmark index that measures the investment return of large and mid capitalization stocks and invests primarily in securities of companies that meet the fund's environmental, social and governance criteria. The fund employs a passive management or indexing investment approach designed to track the performance of the S&P 500 Index. The index is composed primarily of large and mid cap stocks that have been screened for certain social and environmental criteria. The fund attempts to replicate the index by investing all, or substantially all, of its assets in the stocks that make up the index.

2.    Summary of Significant Accounting Policies

(a)Basis of Presentation
The Plan prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”), which include the application of accrual accounting.
(b)Investment Valuation
The value of the investments held at December 31, 2020 and 2019 are stated at fair value with the exception of the fully benefit responsive investment contracts. Shares of mutual funds are valued at quoted market prices, which represent the net asset values of shares held by the Plan at year-end. CVS Health common stock and common stock owned directly in the Small Cap Value Fund, the Growth and Income Fund and the Large Cap Growth Fund separately managed funds, are valued based upon quoted market prices.

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Corporate bonds are valued at fair value using quoted prices for similar assets and liabilities in active markets, quoted prices for identical assets and liabilities in markets that are not active, inputs that are observable for the asset or liability that are not prices (such as interest rates and credit risks), or unobservable inputs based upon management’s best estimate of inputs market participants could use in pricing the asset or liability.

Government securities, U.S. and non U.S., are valued at fair value using quoted prices for identical assets and liabilities in active markets, quoted prices for similar assets and liabilities in active markets, quoted prices for identical assets and liabilities in markets that are not active, or inputs that are observable for the asset or liability that are not prices (such as interest rates and credit risks).

The Plan invests in fully benefit responsive Synthetic Guaranteed Investment Contracts (“Synthetic GICs”) and fully benefit responsive security-backed investment contracts. Synthetic GICs are investment contracts issued by an insurance company, or other financial institution, backed by a portfolio of bonds that are owned by the Plan. Security-backed investment contracts are investment contracts issued by an insurance company backed by a portfolio underlying the contract that is maintained separately from the contract issuer’s general assets. Contract value is the relevant measurement attributable to fully benefit responsive investment contracts because contract value is the amount participants would receive if they were to initiate permitted transactions under the terms of the Plan. The contract value of the fully benefit responsive investment contracts represents contributions plus earnings, less participant withdrawals and administrative expenses.

Common Collective Trust (“CCT”) funds are valued at the net asset value (“NAV”) and reported by the respective funds at each valuation date.

Refer to Note 3 for further information related to the valuation of investments.

(c)Benefits Paid
Distributions of benefits are recorded when paid. The Plan has made available to participants certain relief under the Coronavirus Aid, Relief, and Economic Security Act (the “CARES Act”).

(d)Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of changes in net assets available for benefits during the reporting period. Actual results could differ from those estimates.

(e)Accrual Basis of Accounting
The Plan utilizes the accrual basis of accounting.

(f)Purchases and Sales of Securities
Purchases and sales of securities are made on a trade-date basis. Due to timing of settlements, there may be pending transactions as of the financial statement date that result in a receivable or payable to the Plan.

(g)Investment Income
Dividend and interest income is recorded when earned. Net appreciation and depreciation include the Plan’s gains and losses on investments bought and sold as well as held during the year.

(h)Notes Receivable from Participants
Notes receivable from participants represent participant loans that are recorded at their unpaid principal balance plus any accrued but unpaid interest. Notes receivable are collateralized by the participant’s account balance and bear interest at a market rate (Prime + 1%). If a participant ceases to make loan repayments, the outstanding loan balance will be deemed defaulted and result in a taxable event to the participant.


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3.    Fair Value Measurements

The Plan uses the three-level hierarchy for the recognition and disclosure of fair value measurements. The categorization of assets and liabilities within this hierarchy is based upon the lowest level of input that is significant to the measurement of fair value. The three levels of the fair value hierarchy consist of the following:

Level 1 - Inputs to the valuation methodology are unadjusted quoted prices in active markets for identical assets or liabilities that the Plan has the ability to access at the measurement date.
Level 2 - Inputs to the valuation methodology are quoted prices for similar assets and liabilities in active markets, quoted prices in markets that are not active, or inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the instrument.
Level 3 - Inputs to the valuation methodology are unobservable inputs based upon management’s best estimate of inputs market participants could use in pricing the asset or liability at the measurement date, including assumptions about risk.

Following is a description of the valuation methodologies used for assets measured at fair value. There have been no changes in the methodologies used at December 31, 2020 and 2019.

Mutual funds: Valued at the NAV of shares held by the Plan at year-end which are reported on an active market (level 1).

Common stock: Valued at the closing price reported on the active market on which the individual securities are traded (level 1).

Corporate bonds: Valued at observable quoted prices and inputs (level 2) or investment manager pricing at measurement date (level 3).

U.S. Government securities: Valued at unadjusted closing prices reported on active markets (level 1) or observable quoted prices and inputs (level 2).

Other securities: Valued at observable quoted prices and inputs (level 2).

CCT funds: Valued at the NAV and reported by the respective funds at each valuation date (level 1).

Security-backed investment contracts and synthetic GICs: These contracts meet the fully benefit responsive investment contract criteria, and the underlying securities, collective funds, and wrapper contracts are reported at contract value.
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The market value of CVS Health Common Stock was $68.30 and $74.29 per share at December 31, 2020 and 2019, respectively. The following tables set forth by level, within the fair value hierarchy, the Plan’s assets at fair value as of December 31, 2020 and 2019:
 December 31, 2020
 
Level 1
Level 2
Level 3
Total
Cash$165 $— $— $165 
Mutual funds8,766,302,034 — — 8,766,302,034 
Common stock2,862,966,978 — — 2,862,966,978 
Corporate bonds— 531,614,111 13,768,319 545,382,430 
U.S. Government securities236,474,999 386,525,896 — 623,000,895 
Other securities— 41,058,186 — 41,058,186 
CCT funds8,793,173,189 — — 8,793,173,189 
Total investments at fair value$20,658,917,365 $959,198,193 $13,768,319 21,631,883,877 
Synthetic GICs   2,954,581,257 
Total investments at contract value   2,954,581,257 
Total investments   $24,586,465,134 
 December 31, 2019
 
Level 1
Level 2
Level 3
Total
Cash$39,956 $— $— $39,956 
Mutual funds5,153,541,092 — — 5,153,541,092 
Common stock2,242,470,849 — — 2,242,470,849 
CCT funds4,040,055,975 — — 4,040,055,975 
Total investments at fair value$11,436,107,872 $— $— 11,436,107,872 
Synthetic GICs   733,913,470 
Security-backed investment contracts   255,140,860 
Total investments at contract value   989,054,330 
Total investments   $12,425,162,202 


4.     Notes Receivable from Participants

Participants may obtain loans from the Plan utilizing funds accumulated in their accounts. The minimum amount that may be borrowed is $1,000. Participants can borrow up to 50% of their vested account balance but not more than $50,000, less their highest outstanding loan balance during the previous twelve months. The loans are repaid to the Plan through after-tax payroll deductions and direct repayments to the Recordkeeper. The term of the loan is selected at the discretion of the participant, but may not exceed five years for a general loan and twenty-five years for a primary residence loan, except that primary residence loans initiated under the former CareSave plan, which merged into the Plan as of December 31, 2012, were permitted to have a maximum loan repayment period of up to ten years only. Participants may have two loans outstanding at any time, but no more than one primary residence loan. Interest on loans is equal to the Prime Rate as of the prior month-end plus 1%.

5.    Investment Policy

At December 31, 2020 and 2019, most of the Plan’s 401(k)-related assets were allocated among the investment options discussed in Note 1(i) based on employees’ elections. The investment options are recommended by an independent investment consultant and approved by the Investment Subcommittee. Notes Receivable repayments and interest earned are allocated to each of the investment funds based upon the participants’ contribution election percentages.


11


6.    Plan Termination and Related Commitments

Although it has not expressed any intention to do so, the Company has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions of ERISA. If the Company terminates the Plan, all participants in the Plan become fully vested.

7.    Federal Income Taxes

The Plan was amended and restated as of January 1, 2016. The Plan has received a determination letter from the Internal Revenue Service (“IRS”) dated February 16, 2017, stating that the Plan as amended and restated as of January 1, 2016, is qualified under Section 401(a) of the Code and, therefore, the related trust is exempt from taxation. Once qualified, the Plan is required to operate in conformity with the Code to maintain its qualification. Subsequent to this determination by the IRS, the Plan has been further amended. The Plan Administrator believes the Plan is being operated in compliance with the applicable requirements of the Code and, therefore, believes the Plan, as amended, is qualified and the related trust is tax exempt.

GAAP requires plan management to evaluate uncertain tax positions taken by the Plan and recognize a tax liability if the organization has taken an uncertain position that more likely than not would not be sustained upon examination by the IRS. The Plan Administrator has analyzed the tax positions taken by the Plan and has concluded that, as of December 31, 2020, there are no uncertain tax positions taken or expected to be taken. The Plan has recognized no interest related to uncertain tax positions. The Plan is subject to routine audits by taxing jurisdictions; in January 2021 the U.S. Department of Labor completed a routine audit for Plan years 2017 through 2019.

8.    Transactions with Parties-In-Interest

As of December 31, 2020 and 2019, certain Plan investments are investment funds managed by the Plan’s Trustee, The Bank of New York Mellon. The Plan also invests in shares of CVS Health’s common stock and records associated dividend income. Although these transactions qualify as party-in-interest transactions, they are exempt from the prohibited transaction rule under ERISA.

9.    Reconciliation of Financial Statements to Form 5500

The following is a reconciliation of the net assets available for benefits per the financial statements to the Form 5500 as of December 31, 2020 and 2019:
20202019
Net assets available for benefits per the financial statements$24,878,956,942 $12,656,958,219 
Adjustment from contract value to fair value for certain fully benefit responsive
investment contracts
130,756,873 6,995,271 
Net assets available for benefits per the Form 5500$25,009,713,815 $12,663,953,490 

The following is a reconciliation of total additions per the financial statements to total income per the Form 5500 for the year ended December 31, 2020 and 2019:
 20202019
Total additions per the financial statements$13,907,926,485 $3,170,548,349 
Net change on adjustment from contract value to fair value for certain fully benefit responsive investment contracts123,761,602 18,118,232 
Total income per the Form 5500$14,031,688,087 $3,188,666,581 


12


10.    Investment Contracts with Insurance Companies

The Plan holds a portfolio of investment contracts which could include separate account guaranteed investment contracts and synthetic guaranteed investment contracts. These contracts meet the fully benefit‐responsive investment contract criteria and, therefore, are reported at contract value. Contract value is the relevant measure for fully benefit‐responsive investment contracts because this is the amount received by participants when they initiate permitted transactions under the terms of the Plan. Contract value represents contributions made under each contract, plus earnings, less withdrawals.

Separate account guaranteed investment contracts and synthetic guaranteed investment contracts are issued by insurance companies or other financial institutions, backed by a portfolio of bonds. The bond portfolio may be structured as a fixed income separate account or collective fund. The bond portfolio is either owned by the contract issuer and segregated in a separate account for the benefit of the Plan (separate account guaranteed investment contract) or owned directly by the Plan (synthetic guaranteed investment contract). The issuer guarantees that all qualified participant withdrawals will be at contract value and that the crediting rate applied will not be less than 0%. Crediting rates are typically reset quarterly to account for the difference between the contract value and the fair value of the underlying portfolio.

If the Plan defaults in its obligations under the contract (including the issuer’s determination that the agreement constitutes a nonexempt prohibited transaction as defined under ERISA), and such default is not corrected within the time permitted by the contract, then the contract may be terminated by the issuer and the Plan will receive the fair value as of the date of termination. Each contract recognizes certain “events of default” which can invalidate the contracts’ coverage. Among these are investments outside of the range of instruments which are permitted under the investment guidelines contained in the investment contract, fraudulent or other material misrepresentations made to the issuer, changes of control of the investment adviser not approved by the contract issuer, changes in certain key regulatory requirements, or failure of the Plan to be tax qualified.

The contracts also generally provide for withdrawals associated with certain events which are not in the ordinary course of Plan operations. These withdrawals are paid with a market value adjustment applied to the withdrawal as defined in the investment contract. Each contract issuer specifies the events which may trigger a market value adjustment; however, such events may include, but not be limited to, the following:

Material amendments to the Plan’s structure or administration;
Complete or partial termination of the Plan, including a merger with another plan;
The failure of the Plan to qualify for exemption from federal income taxes or any required prohibited transaction exemption under ERISA;
The redemption of all or a portion of the interests in the Plan at the direction of the plan sponsor, including withdrawals due to the removal of a specifically identifiable group of employees from coverage under the plan (such as a group layoff or early retirement incentive program), the closing or sale of a subsidiary, employing unit, or affiliate, the bankruptcy or insolvency of the plan sponsor, the merger of the plan with another plan, or the plan sponsor’s establishment of another tax qualified defined contribution plan;
Any change in law, regulation, ruling, administrative or judicial position, or accounting requirement, applicable to the Plan;
Changes to competing investment options; and
The delivery of any communication to plan participants to influence a participant not to invest in the stable value option.

At this time, the occurrence of any such market value adjustment event is not probable.

Note 11 - 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. Due to the level of risk associated with certain investment securities, it is at least reasonably possible that changes in the 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.

The coronavirus disease 2019 (“COVID-19”) pandemic continues to impact the economies of the U.S. and other countries around the world, as well as the values of investment securities. As of June 24, 2021, the impact of COVID-19 on the Plan’s net assets, including with respect to certain COVID-19 related relief that was allowable and offered under the Plan, has not been material. The impact of COVID-19 on companies and the U.S. and global economies continues to evolve and the potential future effects of COVID-19 on the Plan’s net assets are uncertain.
13




CVS HEALTH FUTURE FUND 401(k) PLAN

SUPPLEMENTAL SCHEDULE
Schedule H, Line 4i - Schedule of Assets (Held at End of Year)
December 31, 2020
Plan Number: 017 EIN 05-0494040
FundPar value /number of sharesIdentity of issueDescriptionCurrent Value**
Small Cap Growth Fund22,687,096 Vanguard Explorer FundMutual Fund$391,951,066 
Small Cap Index Fund51,191,607 Vanguard Small Cap Index FundMutual Fund776,985,129 
Mid Cap Index Fund 143,332,038 Vanguard Mid Cap Index FundMutual Fund2,221,652,462 
International Equity Index Fund185,666,539 Vanguard Developed Markets Index Fund Institutional SharesMutual Fund2,498,073,847 
Inflation-Protected Bond Fund6,429,862 Vanguard Inflation-Protected Securities Admiral FundMutual Fund77,205,428 
Socially Responsible Fund3,302,420 Large Cap Equity Neuberger BermanMutual Fund54,263,969 
Global Equity Fund45,867,288 American Funds-New Perspective FundMutual Fund800,812,951 
Real Asset Index Fund10,885,939 Real Asset Index FundMutual Fund112,562,006 
Emerging Markets Index Fund46,033,938 Emerging Markets Index FundMutual Fund521,682,920 
Core Equity Fund320,343,700 Vanguard Institutional 500 Index Trust FundCommon Collective Trust Fund4,987,711,046 
U.S. Bond Index Fund198,332,900 Vanguard Total Bond Market Index Trust FundCommon Collective Trust Fund2,323,901,293 
CVS Health Common Stock Fund15,665,803 CVS Health Common StockCVS Health Corporation Common Stock1,069,974,345 
14,436,572 EB Temporary Investment Fund IICommon Collective Trust Fund14,436,572 
CVS Health Common Stock Fund Subtotal1,084,410,917 
2,439,805 EB Temporary Investment Fund II*Common Collective Trust Fund2,439,805 
Stable Value FundInvesco Voya Core, Invesco Floating PortfolioSeparately Managed Fund
82,000 AEP TEXAS INCSynthetic$84,583 
185,000 AEP TRANSMISSION CO LLCSynthetic224,293 
1,000,000 AGL ENERGY LTD SER C GTD SR NTSynthetic1,152,622 
215,000 AES CORP/THE 144ASynthetic243,038 
85,000 AES CORP/THE 144ASynthetic85,730 
258,000 AT&T INCSynthetic313,066 
315,000 AT&T INCSynthetic336,616 
155,000 AT&T INCSynthetic167,105 
504,000 AT&T INCSynthetic511,544 
275,000 AT&T INCSynthetic280,581 
453,000 AT&T INC 144ASynthetic464,388 
121,000 AT&T INC 144ASynthetic126,437 
375,000 ABBVIE INCSynthetic470,909 
438,000 ABBVIE INCSynthetic550,161 
365,000 ABBVIE INCSynthetic449,160 
374,000 ABBVIE INCSynthetic407,808 
274,000 ABBVIE INCSynthetic303,003 
263,000 ABBVIE INCSynthetic281,882 
140,000 ABBVIE INCSynthetic169,431 
129,000 ABBVIE INCSynthetic163,800 
1,000,000 ABERDEEN ASIA-PACIFICSynthetic1,092,297 
87,000 ACTIVISION BLIZZARD INCSynthetic85,033 
1,000,000 AGNICO EAGLE MINES LIMITEDSynthetic1,085,820 
108,000 AIR CANADA 2020-2 CLASS A 144ASynthetic115,398 
95,000 ALABAMA POWER COSynthetic111,459 
235,000 ALASKA AIRLINES 2020-1 CL 144ASynthetic258,812 
492,000 ALIBABA GROUP HOLDING LTDSynthetic541,872 
520,000 ALLEGANY PARK CLO LT 1A A 144ASynthetic520,803 
87,000 ALLIANT ENERGY FINANCE LL 144ASynthetic93,214 
303,000 ALPHABET INCSynthetic297,383 
71,000 ALTRIA GROUP INCSynthetic85,065 
14


55,000 ALTRIA GROUP INCSynthetic72,467 
255,000 ALTRIA GROUP INCSynthetic357,245 
297,000 ALTRIA GROUP INCSynthetic351,122 
600,000 AMAZON.COM INCSynthetic622,542 
89,045 AMERICAN AIRLINES 2016-2 CLASSSynthetic86,827 
143,000 AMERICAN EXPRESS COSynthetic166,032 
54,000 AMERICAN INTERNATIONAL GROUP ISynthetic64,794 
159,000 AMERICAN INTERNATIONAL GROUP ISynthetic181,306 
30,000 AMERICAN INTERNATIONAL GROUP ISynthetic40,026 
81,000 AMERICAN INTERNATIONAL GROUP ISynthetic92,593 
200,000 AMERICAN TRANSMISSION SYS 144ASynthetic244,563 
1,000,000 AMERICAN TRANSMISSION CO LLCSynthetic1,131,586 
500,000 AMERICREDIT AUTOMOBILE REC 2 BSynthetic505,640 
750,000 AMERICREDIT AUTOMOBILE REC 1 BSynthetic776,271 
400,000 AMERICREDIT AUTOMOBILE REC 2 BSynthetic411,278 
650,000 AMERICREDIT AUTOMOBILE RE 1 A3Synthetic655,983 
52,000 AMPHENOL CORPSynthetic63,656 
32,000 ANALOG DEVICES INCSynthetic36,376 
70,000 ANGLO AMERICAN CAPITAL PL 144ASynthetic76,151 
240,000 ANHEUSER-BUSCH COS LLC / ANHEUSynthetic271,289 
323,000 ANHEUSER-BUSCH COS LLC / ANHEUSynthetic410,303 
36,000 ANHEUSER-BUSCH COS LLC / ANHEUSynthetic46,808 
95,000 ANHEUSER-BUSCH INBEV WORLDWIDESynthetic129,062 
69,000 ANHEUSER-BUSCH INBEV WORLDWIDESynthetic78,570 
509,000 ANHEUSER-BUSCH INBEV WORLDWIDESynthetic624,519 
710,000 APIDOS CLO XXV 25A A1R 144ASynthetic710,003 
176,000 APPALACHIAN POWER COSynthetic211,239 
136,000 APPLE INCSynthetic171,822 
185,000 APPLE INCSynthetic231,903 
255,000 APPLE INCSynthetic321,646 
550,000 APPLE INCSynthetic583,740 
134,000 ARCH CAPITAL GROUP LTDSynthetic155,945 
1,000,000 ARCTIC SLOPE REGIONAL CORPSynthetic1,039,866 
190,000 ARIZONA PUBLIC SERVICE COSynthetic208,805 
1,000,000 ARTHUR J GALLAGHER &CO SR NT QSynthetic1,090,134 
183,000 ASSURANT INCSynthetic210,206 
200,000 ASSURANT INCSynthetic222,544 
264,000 ATHENE GLOBAL FUNDING 144ASynthetic283,155 
694,000 ATHENE GLOBAL FUNDING 144ASynthetic694,522 
127,000 AVALONBAY COMMUNITIES INCSynthetic136,588 
81,000 AVANGRID INCSynthetic88,674 
61,000 AVIATION CAPITAL GROUP LL 144ASynthetic63,561 
109,000 AVIATION CAPITAL GROUP LL 144ASynthetic115,019 
273,000 AVIATION CAPITAL GROUP LL 144ASynthetic302,229 
270,000 BAT CAPITAL CORPSynthetic297,371 
246,000 BAT CAPITAL CORPSynthetic255,359 
119,000 BAT CAPITAL CORPSynthetic123,253 
119,000 BAT CAPITAL CORPSynthetic124,122 
132,000 TRUIST FINANCIAL CORPSynthetic142,842 
117,000 TRUIST FINANCIAL CORPSynthetic121,435 
350,000 BHMS 2018-ATLS ATLS A 144ASynthetic340,348 
136,000 BMW US CAPITAL LLC 144ASynthetic146,645 
497,000 BPCE SA 144ASynthetic562,524 
200,000 BANCO SANTANDER SASynthetic210,579 
200,000 BANCO SANTANDER SASynthetic214,824 
200,000 BANCO SANTANDER SASynthetic213,505 
236,000 BANK OF AMERICA CORPSynthetic261,974 
330,000 BANK OF AMERICA CORPSynthetic387,079 
160,000 BANK OF AMERICA CORPSynthetic180,366 
239,000 BANK OF AMERICA CORPSynthetic277,261 
274,000 BANK OF AMERICA CORPSynthetic311,938 
300,000 BANK OF AMERICA CORPSynthetic357,224 
15


195,000 BANK OF AMERICA CORPSynthetic212,314 
400,000 BANK OF AMERICA CORPSynthetic524,790 
35,000 BANK OF AMERICA CORPSynthetic36,681 
673,000 BANK OF AMERICA CORPSynthetic701,196 
261,000 BANK OF AMERICA CORPSynthetic263,699 
461,000 BANK OF AMERICA CORPSynthetic466,015 
267,000 BANK OF AMERICA CORPSynthetic270,555 
259,000 BANK OF MONTREAL 144ASynthetic260,733 
122,000 BANK OF NOVA SCOTIA/THESynthetic142,245 
98,000 BANK OF NOVA SCOTIA/THESynthetic108,050 
530,000 BANC OF AMERICA COMMERC BNK3 BSynthetic584,911 
1,100,000 BANK 2020-BNK25 BN25 A5Synthetic1,200,433 
430,000 BANK 2019-BNK21 BN21 A5Synthetic476,033 
700,000 BANK 2017-BNK8 BNK8 A4Synthetic798,767 
259,000 BANQUE FEDERATIVE DU CRED 144ASynthetic259,729 
200,000 BARCLAYS PLCSynthetic216,708 
123,000 BARCLAYS BANK PLC 144ASynthetic127,926 
1,555,556 BASIN ELEC PWR COOPSynthetic1,774,443 
250,000 BEECHWOOD PARK CLO 1A A1 144ASynthetic250,384 
349,000 BECTON DICKINSON AND COSynthetic379,389 
126,000 BECTON DICKINSON AND COSynthetic149,671 
320,000 BENCHMARK 2019-B10 MORT B10 A4Synthetic373,886 
1,500,000 BENEFIT STREET PAR 12A A1 144ASynthetic1,500,014 
600,000 BENEFIT STREET PART 19A A 144ASynthetic601,181 
208,000 BERKSHIRE HATHAWAY ENERGY 144ASynthetic207,971 
100,000 BERKSHIRE HATHAWAY FINANCE CORSynthetic132,840 
208,000 BLACK HILLS CORPSynthetic227,981 
148,000 BLACK HILLS CORPSynthetic160,997 
80,000 BLACK HILLS CORPSynthetic87,231 
193,000 BLACK HILLS CORPSynthetic202,703 
233,000 BNP PARIBAS SA 144ASynthetic238,202 
233,000 BNP PARIBAS SA 144ASynthetic254,983 
320,000 BNP PARIBAS SA 144ASynthetic341,095 
484,000 BOEING CO/THESynthetic499,227 
178,000 BOEING CO/THESynthetic185,146 
134,000 BOEING CO/THESynthetic152,748 
348,000 BOEING CO/THESynthetic380,845 
302,000 BOSTON PROPERTIES LPSynthetic303,249 
126,000 BOSTON PROPERTIES LPSynthetic137,300 
168,000 BOSTON PROPERTIES LPSynthetic185,223 
156,000 BP CAPITAL MARKETS AMERICA INCSynthetic176,897 
120,000 BP CAPITAL MARKETS AMERICA INCSynthetic131,141 
250,000 BP CAPITAL MARKETS AMERICA INCSynthetic298,769 
494,000 BRISTOL-MYERS SQUIBB COSynthetic629,434 
117,000 BRISTOL-MYERS SQUIBB COSynthetic117,577 
117,000 BRISTOL-MYERS SQUIBB COSynthetic119,451 
121,000 BRITISH AIRWAYS 2020-1 CL 144ASynthetic129,451 
356,000 BROADRIDGE FINANCIAL SOLUTIONSSynthetic389,955 
272,000 BROOKFIELD FINANCE INCSynthetic316,396 
57,000 BROOKFIELD FINANCE INCSynthetic68,261 
345,000 BROOKFIELD FINANCE LLCSynthetic366,235 
149,000 BURLINGTON NORTHERN SANTA FE LSynthetic215,245 
195,000 BURLINGTON NORTHERN SANTA FE LSynthetic249,182 
284,000 CCL INDUSTRIES INC 144ASynthetic309,714 
1,863,978 CD 2016-CD1 MORTGAGE TR CD1 XASynthetic107,901 
1,200,000 CIFC FUNDING 2020-I 2A A1 144ASynthetic1,205,302 
58,000 CIGNA CORPSynthetic62,702 
77,000 CIGNA CORPSynthetic100,319 
90,000 CIGNA CORPSynthetic123,762 
400,000 CIGNA CORPSynthetic527,234 
380,000 CIFC FUNDING 2019-V 6A A1 144ASynthetic380,707 
438,237 COMM 2014-UBS5 MORTGA UBS5 ASBSynthetic458,216 
16


3,767,912 COMM 2016-COR1 MORTGAG COR1 XASynthetic211,444 
1,320,000 CSAIL 2017-CX9 COMMERCI CX9 A5Synthetic1,478,768 
4,915,845 COMM 2012-CCRE5 MORTGAG CR5 XASynthetic119,516 
1,845,812 COMM 2012-CCRE2 MORTGAG CR2 XASynthetic33,133 
568,148 COMM 2012-CCRE3 MORTGAG CR3 A3Synthetic582,487 
2,561,887 COMM 2012-CCRE4 MORTGAG CR4 XASynthetic62,097 
237,608 COMM 2013-CCRE7 MORTGAG CR7 A4Synthetic250,034 
340,000 COMM 2013-CCRE11 MORTGA CR11 BSynthetic369,447 
172,000 COMM 2013-CCRE13 MORTG CR13 A4Synthetic188,546 
130,000 CSX CORPSynthetic182,281 
12,000 CVS HEALTH CORPSynthetic13,589 
91,000 CVS HEALTH CORPSynthetic108,286 
57,000 CVS HEALTH CORPSynthetic63,071 
680,812 CRG ISSUER 2017Synthetic698,973 
122,000 CAMDEN PROPERTY TRUSTSynthetic135,488 
255,000 CANADIAN NATURAL RESOURCES LTDSynthetic335,075 
60,000 CANADIAN NATURAL RESOURCES LTDSynthetic83,158 
299,000 CANADIAN PACIFIC RAILWAY COSynthetic323,696 
166,000 CAPITAL ONE FINANCIAL CORPSynthetic182,357 
90,000 CARGILL INC 144ASynthetic95,444 
105,000 CARGILL INC 144ASynthetic128,441 
1,000,000 CARMAX AUTO SUPERSTORES INCSynthetic1,067,846 
328,648 CARMAX AUTO OWNER TRUST 2 4 A3Synthetic335,573 
600,000 CARMAX AUTO OWNER TRUST 20 4 BSynthetic628,142 
850,000 CARMAX AUTO OWNER TRUST 20 2 BSynthetic894,280 
315,000 DUKE ENERGY PROGRESS LLCSynthetic389,706 
261,000 CARRIER GLOBAL CORPSynthetic281,629 
2,000,000 CASEYS GEN STORES INCSynthetic2,166,070 
1,000,000 CASEYS GEN STORES INCSynthetic1,103,784 
625,000 CELULOSA ARAUCO Y CONSTIT 144ASynthetic703,131 
77,000 CENTERPOINT ENERGY HOUSTON ELESynthetic83,543 
7,219 CHASE FUNDING LOAN ACQUI C2 1ASynthetic6,981 
1,433 CHASE FUNDING TRUST SERI 5 2A2Synthetic1,374 
335,000 CHENIERE CORPUS CHRISTI HOLDINSynthetic389,865 
115,000 CHENIERE CORPUS CHRISTI HOLDINSynthetic128,025 
46,000 CHEVRON CORPSynthetic48,313 
650,000 CITIGROUP COMMERCIAL MOR C2 A4Synthetic709,209 
133,000 CITIGROUP INCSynthetic187,651 
100,000 CITIGROUP INCSynthetic113,636 
232,000 CITIGROUP INCSynthetic261,134 
150,000 CITIGROUP INCSynthetic170,056 
84,000 CITIGROUP INCSynthetic94,967 
113,000 CITIGROUP INCSynthetic122,851 
113,000 CITIGROUP INCSynthetic120,442 
363,000 CITIGROUP COMMERCIAL M GC21 A5Synthetic396,732 
370,000 CITIGROUP COMMERCIAL MORT P8 BSynthetic412,888 
207,000 CLEVELAND ELECTRIC ILLUMI 144ASynthetic220,163 
435,000 COCA-COLA CO/THESynthetic463,338 
550,000 COLOMBIA GOVERNMENT INTERNATIOSynthetic612,150 
23,000 COLUMBIA PROPERTY TRUST OPERATSynthetic24,257 
42,000 COLUMBIA PROPERTY TRUST OPERATSynthetic43,902 
173,000 COMCAST CORPSynthetic218,394 
180,000 COMCAST CORPSynthetic196,917 
200,000 COMCAST CORPSynthetic231,271 
595,000 COMCAST CORPSynthetic590,974 
255,000 COMMONWEALTH BANK OF AUST 144ASynthetic280,146 
300,000 COMMONWEALTH EDISON COSynthetic361,171 
180,000 BURLINGTON RESOURCES LLCSynthetic254,393 
35,000 CONSOLIDATED EDISON CO OF NEWSynthetic46,085 
88,000 CONSOLIDATED EDISON CO OF NEWSynthetic108,112 
650,000 COOPERATIEVE RABOBANK UASynthetic724,459 
510,000 COOPERATIEVE RABOBANK UASynthetic582,051 
17


135,000 CORNING INCSynthetic185,325 
700,000 CORPORATE OFFICE PROPERTIES LPSynthetic729,739 
259,000 CREDIT AGRICOLE SA/LONDON 144ASynthetic268,637 
84,000 CREDIT SUISSE GROUP AG 144ASynthetic98,866 
524,000 CREDIT SUISSE GROUP FUNDING GUSynthetic553,444 
423,000 CREDIT SUISSE AG 144ASynthetic475,784 
82,000 CROWN CASTLE INTERNATIONAL CORSynthetic99,670 
150,000 CUMMINS INCSynthetic153,080 
428,108 DBUBS 2011-LC2 MO LC2A A4 144ASynthetic430,275 
800,000 DBJPM 20-C9 MORTGAGE TRUS C9 CSynthetic846,054 
540,000 DBWF MORTGAGE TRUST LCM D 144ASynthetic445,177 
320,000 DBJPM 16-C3 MORTGAGE C3 D 144ASynthetic244,379 
37,000 DTE ELECTRIC COSynthetic40,293 
190,000 DTE ELECTRIC COSynthetic211,706 
199,000 DAIMLER FINANCE NORTH AME 144ASynthetic201,776 
187,000 DAIMLER FINANCE NORTH AME 144ASynthetic200,212 
235,000 DAIMLER FINANCE NORTH AME 144ASynthetic246,791 
400,000 DANSKE BANK A/S 144ASynthetic417,583 
2,000,000 DELOITTE LLPSynthetic2,112,897 
53,470 DELTA AIR LINES 2020-1 CLASS ASynthetic50,789 
89,751 DELTA AIR LINES 2002-1 CLASS GSynthetic92,229 
234,000 DEUTSCHE BANK AG/NEW YORK NYSynthetic253,595 
455,000 DIAMONDBACK ENERGY INCSynthetic478,273 
190,000 DIAMONDBACK ENERGY INCSynthetic202,861 
45,000 DIAMONDBACK ENERGY INCSynthetic48,074 
174,000 DIGITAL REALTY TRUST LPSynthetic203,691 
275,000 DISCOVER BANKSynthetic292,325 
583,000 DISCOVER CARD EXECUTION A5 A5Synthetic595,768 
42,000 WALT DISNEY CO/THESynthetic43,897 
354,000 WALT DISNEY CO/THESynthetic416,124 
420,000 DISCOVERY COMMUNICATIONS LLCSynthetic545,514 
39,000 DOLLAR GENERAL CORPSynthetic44,771 
200,000 DOMINION ENERGY INCSynthetic207,037 
165,000 DOMINION ENERGY INCSynthetic168,575 
170,000 DOMINION ENERGY INCSynthetic179,271 
250,000 DOW CHEMICAL CO/THESynthetic301,860 
258,000 DOW CHEMICAL CO/THESynthetic264,767 
250,000 DRYDEN 49 SENIOR LO 49A A 144ASynthetic250,005 
400,000 DRYDEN SENIOR LOAN 47A A2 144ASynthetic399,151 
225,000 DUKE ENERGY CORPSynthetic243,637 
148,000 DUKE REALTY LPSynthetic165,783 
63,000 DUKE REALTY LPSynthetic74,250 
575,000 DUKE ENERGY CAROLINAS LLCSynthetic710,347 
373,000 DUKE ENERGY CAROLINAS LLCSynthetic418,029 
120,000 DUKE ENERGY CAROLINAS LLCSynthetic144,908 
202,000 DUKE ENERGY PROGRESS LLCSynthetic256,494 
188,000 DUKE ENERGY PROGRESS LLCSynthetic227,041 
176,000 DUKE ENERGY PROGRESS LLCSynthetic204,438 
115,000 DUKE ENERGY INDIANA LLCSynthetic130,243 
119,000 DUQUESNE LIGHT HOLDINGS I 144ASynthetic123,091 
400,080 ELFI GRADUATE LOAN PR A A 144ASynthetic411,331 
450,000 ECOPETROL SASynthetic580,950 
348,000 EMERSON ELECTRIC COSynthetic350,276 
650,000 ABU DHABI GOVERNMENT INTE 144ASynthetic733,980 
33,000 ENABLE MIDSTREAM PARTNERS LPSynthetic32,743 
83,000 EMPOWER FINANCE 2020 LP 144ASynthetic83,623 
95,000 ENERGY TRANSFER LPSynthetic104,591 
214,000 ENTERGY CORPSynthetic235,873 
101,000 ENTERGY CORPSynthetic109,078 
112,000 ENTERGY LOUISIANA LLCSynthetic145,856 
360,000 ENTERGY LOUISIANA LLCSynthetic464,358 
93,000 ENTERGY TEXAS INCSynthetic108,609 
18


109,000 EQUINOR ASASynthetic123,566 
25,000 ESSENTIAL UTILITIES INCSynthetic27,102 
100,000 ESSEX PORTFOLIO LPSynthetic109,706 
238,000 EVERSOURCE ENERGYSynthetic256,849 
176,000 EXELON GENERATION CO LLCSynthetic191,913 
75,000 EXELON CORPSynthetic88,746 
110,000 EXELON CORPSynthetic146,271 
95,000 EXXON MOBIL CORPSynthetic118,308 
125,000 FMC CORPSynthetic142,304 
250,000 FMC CORPSynthetic324,119 
162,000 FAIRFAX FINANCIAL HOLDINGS LTDSynthetic181,313 
109,000 FAIRFAX US INC 144ASynthetic119,464 
591,429 FANNIE MAE CONNECTICUT C04 1M2Synthetic615,587 
669,821 FANNIE MAE CONNECTICUT C06 1M2Synthetic701,268 
2,766 FHLMC POOL #G0-3073Synthetic3,198 
243,818 FHLMC POOL #G0-4540Synthetic288,788 
109,357 FHLMC POOL #G0-5816Synthetic126,219 
1,854,776 FHLMC POOL #G0-7921Synthetic2,010,683 
108,387 FHLMC POOL #G0-8655Synthetic117,876 
413,381 FHLMC POOL #G0-8693Synthetic442,286 
134,338 FHLMC POOL #G0-8707Synthetic145,613 
100,586 FHLMC POOL #C9-1403Synthetic107,247 
8,720 FHLMC POOL #1H-2548Synthetic9,173 
14,303 FHLMC POOL #1H-2601Synthetic15,114 
141,131 FHLMC POOL #A9-6423Synthetic164,143 
108,222 FHLMC POOL #2B-6384Synthetic112,836 
152,536 FHLMC POOL #2B-6451Synthetic159,057 
913,444 FHLMC POOL #ZA-6681Synthetic989,427 
82,598 FHLMC POOL #Z4-0007Synthetic97,865 
100,623 FHLMC POOL #U8-0035Synthetic109,138 
112,716 FHLMC POOL #Q0-2669Synthetic128,550 
31,465 FHLMC POOL #Q0-4674Synthetic34,311 
79,203 FHLMC POOL #Q0-4636Synthetic86,503 
70,181 FHLMC POOL #Q0-5292Synthetic77,373 
151,723 FHLMC POOL #Q0-5793Synthetic165,986 
896,999 FHLMC POOL #U9-9115Synthetic980,384 
1,754,638 FHLMC POOL #U9-9163Synthetic1,903,765 
1,301,030 FHLMC MULTICLASS STRIP 326 350Synthetic1,416,622 
687,912 FHLMC POOL #V8-3907Synthetic736,147 
182,397 FHLMC POOL #Q3-2638Synthetic199,463 
276,797 FHLMC POOL #Q3-3095Synthetic302,698 
184,391 FHLMC POOL #Q3-6181Synthetic201,142 
108,663 FHLMC POOL #Q3-6283Synthetic119,675 
316,050 FHLMC POOL #Q3-6103Synthetic345,469 
103,255 FHLMC POOL #Q3-6104Synthetic112,859 
79,943 FHLMC POOL #Q3-6126Synthetic86,736 
220,354 FHLMC POOL #Q3-7437Synthetic241,543 
229,592 FHLMC POOL #Q3-7876Synthetic252,241 
196,448 FHLMC POOL #Q3-8474Synthetic213,528 
168,757 FHLMC POOL #Q4-0496Synthetic183,541 
336,348 FHLMC POOL #Q4-1744Synthetic363,196 
260,539 FHLMC POOL #Q4-1085Synthetic282,633 
141,358 FHLMC POOL #Q4-1930Synthetic153,298 
175,462 FHLMC POOL #Q4-1931Synthetic189,533 
92,456 FHLMC POOL #Q4-4624Synthetic101,074 
94,588 FHLMC POOL #Q4-4658Synthetic103,995 
659,278 FHLMC POOL #Q4-6277Synthetic715,634 
486,546 FHLMC POOL #Q4-9490Synthetic516,529 
454,437 FHLMC POOL #G6-7706Synthetic496,682 
330,027 FHLMC POOL #G6-7707Synthetic363,658 
1,331,551 FHLMC POOL #G6-7709Synthetic1,455,035 
727,979 FHLMC POOL #G6-7710Synthetic783,276 
19


733,129 FHLMC POOL #G6-7712Synthetic820,636 
130,694 FHLMC POOL #G6-7700Synthetic142,769 
228,379 FHLMC POOL #G6-7702Synthetic251,934 
942,734 FHLMC POOL #G6-7713Synthetic1,028,824 
332,467 FHLMC POOL #Q5-0695Synthetic363,802 
215,885 FHLMC POOL #Q5-4870Synthetic230,880 
323,210 FHLMC POOL #Q5-9717Synthetic355,024 
588,518 FHLMC POOL #Q5-9721Synthetic641,932 
1,071,306 FHLMC POOL #G6-0250Synthetic1,171,546 
154,659 FHLMC POOL #G6-0238Synthetic169,130 
691,126 FHLMC POOL #G6-1748Synthetic755,221 
571,846 FHLMC POOL #G6-1573Synthetic616,897 
654,301 FHLMC POOL #G6-1594Synthetic699,251 
1,562,601 FHLMC POOL #RA-1375Synthetic1,654,239 
1,325,000 FEDERAL HOME LN BK CONS BDSynthetic1,444,910 
1,412,917 FHLMC POOL #QA-4675Synthetic1,509,854 
1,239,994 FHLMC POOL #QA-5182Synthetic1,324,918 
23,384 FNMA GTD REMIC P/T 99-33 ZSynthetic26,282 
846,932 FNMA GTD REMIC P/T 11-99 CZSynthetic1,012,785 
470,163 FNMA GTD REMIC P/T 11-122 TLSynthetic506,053 
1,141,000 FNMA GTD REMIC P/T 12-30 MESynthetic1,270,201 
252,070 FNMA GTD REMIC P/T 12-110 CASynthetic269,153 
437,525 FNMA GTD REMIC P/T 13-20 HZSynthetic530,444 
650,000 FNMA GTD REMIC P/T 14-61 PYSynthetic742,551 
108,295 FNMA GTD REMIC P/T 16-M11 ALSynthetic112,567 
464,681 FNMA GTD REMIC P/T 18-27 EASynthetic495,989 
7,658,045 FNMA GTD REMIC P/T 19-M21 X2Synthetic818,026 
34,255 FNMA POOL #0251366Synthetic38,581 
111,000 FEDERAL REALTY INVESTMENT TRUSSynthetic116,019 
71,966 FNMA POOL #0310015Synthetic83,344 
120,475 FNMA POOL #0357342Synthetic140,365 
10,658 FNMA POOL #0372188Synthetic11,542 
98,452 FHLMC MULTICLASS MTG 3724 CMSynthetic112,284 
1,661,782 FHLMC MULTICLASS MTG 3751 MESynthetic1,852,088 
786,435 FHLMC MULTICLASS MTG 3753 KZSynthetic897,920 
490,653 FHLMC MULTICLASS MTG 3843 JZSynthetic619,062 
530,000 FHLMC MULTICLASS MTG 3867 PLSynthetic625,463 
1,728,000 FHLMC MULTICLASS MTG 3898 KDSynthetic1,982,354 
280,000 FHLMC MULTICLASS MTG 3934 KBSynthetic332,722 
1,741,584 FHLMC MULTICLASS MTG 4000 ZTSynthetic1,972,096 
1,838,906 FHLMC MULTICLASS MTG 4048 CESynthetic2,152,597 
210,000 FHLMC MULTICLASS MTG 4235 QDSynthetic231,733 
1,313,741 FHLMC MULTICLASS MTG 4310 BZSynthetic1,479,354 
2,600,000 FHLMC MULTICLASS MTG 4427 LBSynthetic2,964,973 
433,909 FHLMC MULTICLASS MTG 4468 EVSynthetic443,933 
349,000 FHLMC MULTICLASS MTG K052 A2Synthetic388,901 
735,589 FHLMC MULTICLASS MTG 4634 ZMSynthetic997,248 
166,094 FHLMC MULTICLASS MTG 4678 ABSynthetic169,722 
771,394 FHLMC MULTICLASS MTG 4791 MTSynthetic773,402 
25,314 FHLMC MULTICLASS MTG 4754 QASynthetic27,154 
910,341 FHLMC MULTICLASS MTG 4793 CDSynthetic954,986 
926,000 FHLMC MULTICLASS MTG K735 A2Synthetic1,020,859 
499,000 FHLMC MULTICLASS MTG K736 A2Synthetic537,289 
411,382 FREDDIE MAC STRUCTURED DN3 M3Synthetic419,658 
559,742 FREDDIE MAC STRUCTURED DNA3 M3Synthetic582,712 
1,031,482 FREDDIE MAC STRUCTURED HQA2 M3Synthetic1,069,160 
1,400,000 FREDDIE MAC STRUCTURED DNA2 M2Synthetic1,445,901 
5,066 FNMA POOL #0535575Synthetic5,130 
2,500 FNMA POOL #0545349Synthetic2,525 
315,881 FNMA POOL #0633699Synthetic361,068 
85,401 FNMA POOL #0AH0575Synthetic95,893 
144,448 FNMA POOL #0AH1141Synthetic162,192 
20


193,265 FNMA POOL #0AH1161Synthetic217,169 
114,848 FNMA POOL #0AH4772Synthetic128,510 
187,029 FNMA POOL #0AJ8122Synthetic206,145 
86,858 FNMA POOL #0AJ9198Synthetic93,542 
208,739 FNMA POOL #0AJ9611Synthetic227,591 
103,118 FNMA POOL #0AL0998Synthetic116,044 
239,776 FNMA POOL #0AL2528Synthetic261,863 
342,751 FNMA POOL #0AL3414Synthetic384,736 
70,390 FNMA POOL #0AL6134Synthetic74,827 
141,020 FNMA POOL #0AL9424Synthetic153,334 
223,234 FNMA POOL #0AP9631Synthetic240,592 
84,375 FNMA POOL #0AQ4651Synthetic92,693 
113,348 FNMA POOL #0AQ4697Synthetic123,274 
92,164 FNMA POOL #0AS4227Synthetic101,120 
103,289 FNMA POOL #0AS5322Synthetic108,974 
554,306 FNMA POOL #0AS5018Synthetic603,341 
204,044 FNMA POOL #0AS5082Synthetic222,103 
172,783 FNMA POOL #0AS5091Synthetic182,284 
242,352 FNMA POOL #0AS5144Synthetic255,675 
315,747 FNMA POOL #0AS6187Synthetic342,976 
170,963 FNMA POOL #0AS6477Synthetic185,335 
251,327 FNMA POOL #0AS6542Synthetic274,771 
394,149 FNMA POOL #0AS6612Synthetic430,916 
173,588 FNMA POOL #0AS6611Synthetic189,780 
87,565 FNMA POOL #0AS6937Synthetic95,078 
133,986 FNMA POOL #0AS7321Synthetic142,495 
153,520 FNMA POOL #0AS7440Synthetic163,407 
132,256 FNMA POOL #0AS7441Synthetic140,659 
123,802 FNMA POOL #0AS7444Synthetic132,060 
119,083 FNMA POOL #0AS7469Synthetic129,482 
328,841 FNMA POOL #0AS7613Synthetic356,517 
1,076,628 FNMA POOL #0AS7742Synthetic1,177,063 
467,482 FNMA POOL #0AU1292Synthetic498,387 
87,923 FNMA POOL #0AW0797Synthetic97,671 
182,277 FNMA POOL #0AW3059Synthetic204,586 
280,346 FNMA POOL #0AZ1730Synthetic308,734 
229,605 FNMA POOL #0AZ4420Synthetic250,975 
26,783 FNMA GTD REMIC P/T 01-52 YZSynthetic31,616 
22,578 FHLMC MULTICLASS MTG 2519 ZDSynthetic25,776 
69,935 FHLMC MULTICLASS MTG 2541 NESynthetic80,843 
26,929 FNMA GTD REMIC P/T 04-56 FESynthetic27,044 
30,673 FHLMC MULTICLASS MTG 2861 ZSynthetic36,206 
271,811 FHLMC MULTICLASS MTG R003 ZASynthetic316,367 
414,188 FNMA GTD REMIC P/T 09-50 HZSynthetic473,973 
101,444 FHLMC MULTICLASS MTG 3351 ZCSynthetic118,623 
76,340 FHLMC MULTICLASS MTG 3394 ZYSynthetic88,861 
136,771 FNMA GTD REMIC P/T 11-10 ZCSynthetic155,189 
535,425 FNMA GTD REMIC P/T 11-30 ZASynthetic578,843 
1,662,951 FNMA GTD REMIC P/T 10-59 PCSynthetic1,890,427 
675,000 FNMA GTD REMIC P/T 10-139 NBSynthetic810,417 
153,957 FHLMC MULTICLASS MTG 3662 ZBSynthetic180,741 
144,483 FNMA POOL #0682088Synthetic166,058 
77,665 FNMA POOL #0725423Synthetic90,585 
142,451 FNMA POOL #0735925Synthetic165,412 
4,186 FNMA POOL #0745275Synthetic4,864 
127,878 FNMA POOL #0759850Synthetic150,261 
5,129 FNMA POOL #0826398Synthetic5,194 
255,430 FNMA POOL #0AZ7351Synthetic280,816 
79,727 FNMA POOL #0BE7488Synthetic86,429 
404,364 FNMA POOL #0BF0078Synthetic451,337 
107,387 FNMA POOL #0BF0125Synthetic119,714 
358,072 FNMA POOL #0BF0108Synthetic409,689 
21


302,897 FNMA POOL #0BF0118Synthetic346,561 
549,530 FNMA POOL #0BF0157Synthetic606,463 
312,168 FNMA POOL #0BF0130Synthetic343,139 
1,245,234 FNMA POOL #0BF0132Synthetic1,394,229 
201,015 FNMA POOL #0BF0201Synthetic223,945 
1,088,998 FNMA POOL #0BF0202Synthetic1,221,675 
501,844 FNMA POOL #0BH5155Synthetic533,057 
132,550 FNMA POOL #0BK3209Synthetic141,842 
878,315 FNMA POOL #0BK7939Synthetic963,679 
1,970,000 FNMA POOL #0BL0752Synthetic2,274,815 
402,000 FNMA POOL #0BL4480Synthetic430,531 
776,000 FNMA POOL #0BL3670Synthetic825,863 
583,515 FNMA POOL #0BL4112Synthetic622,872 
442,282 FNMA POOL #0BM4984Synthetic479,963 
684,352 FNMA POOL #0BN5324Synthetic745,592 
358,399 FNMA POOL #0BO5023Synthetic381,279 
565,956 FNMA POOL #0CA4446Synthetic604,727 
449,060 FNMA POOL #0FM1000Synthetic471,055 
23,284 FNMA POOL #0889139Synthetic26,914 
32,265 FNMA POOL #0909169Synthetic37,306 
81,017 FNMA POOL #0909178Synthetic103,364 
12,247 FNMA POOL #0914081Synthetic13,721 
106,582 FNMA POOL #0952602Synthetic126,716 
107,956 FNMA POOL #0968340Synthetic116,933 
229,361 FNMA POOL #0AB6609Synthetic246,723 
183,542 FNMA POOL #0AB7342Synthetic194,622 
87,337 FNMA POOL #0AC9295Synthetic101,548 
99,035 FNMA POOL #0MA1058Synthetic104,110 
194,945 FNMA POOL #0MA1332Synthetic210,769 
146,443 FNMA POOL #0MA1366Synthetic154,126 
670,900 FNMA POOL #0MA2895Synthetic705,605 
79,990 FNMA POOL #0AD0826Synthetic94,026 
24,155 FNMA POOL #0AD0847Synthetic28,393 
287,394 FNMA POOL #0AD0732Synthetic339,551 
24,989 FNMA POOL #0AE0689Synthetic29,277 
122,268 FNMA POOL #0AE3691Synthetic137,288 
123,485 FNMA POOL #0AE3695Synthetic138,654 
81,235 FNMA POOL #0AE4342Synthetic90,100 
80,969 FNMA POOL #0AE8259Synthetic94,155 
136,000 FEDEX CORPSynthetic162,395 
148,000 FEDEX CORPSynthetic187,001 
195,000 FEDEX CORPSynthetic235,705 
234,000 FEDEX CORPSynthetic277,932 
240,000 FEDERATION DES CAISSES DE 144ASynthetic252,306 
154,000 FIRSTENERGY CORPSynthetic156,523 
265,000 FLORIDA GAS TRANSMISSION 144ASynthetic300,943 
2,000,000 FOOTBALL CLUB TERM NTSSynthetic2,161,317 
750,000 FORD CREDIT AUTO OWNER TR A A4Synthetic770,486 
373,000 FORD CREDIT AUTO OWNE 2 A 144ASynthetic385,802 
359,000 FORD CREDIT AUTO OWNE 1 A 144ASynthetic368,086 
2,000,000 FOUR CORNERS OPER PARTNER 144ASynthetic1,986,396 
187,000 FOX CORPSynthetic205,951 
152,000 GATX CORPSynthetic179,634 
179,000 GE CAPITAL FUNDING LLC 144ASynthetic211,010 
336,797 GNMA II POOL #0MA6476Synthetic359,674 
430,375 GS MORTGAGE SECURITIES GC6 A3Synthetic437,118 
315,841 GS MORTGAGE SECURITIES GCJ7 A4Synthetic319,717 
520,000 GS MORTGAGE SECURITIES GCJ7 ASSynthetic536,269 
270,000 GS MORTGAGE SECURITIES GCJ7 BSynthetic277,450 
78,545 GNMA II POOL #0AR4868Synthetic86,043 
144,226 GNMA II POOL #0004853Synthetic159,522 
136,611 GNMA II POOL #0005140Synthetic152,196 
22


46,427 GNMA II POOL #0005116Synthetic53,216 
69,533 GNMA II POOL #0005175Synthetic77,466 
34,383 GNMA POOL #0723362Synthetic38,926 
21,333 GNMA POOL #0726918Synthetic23,953 
69,836 GNMA II POOL #0741136Synthetic76,914 
65,097 GNMA II POOL #0741137Synthetic71,296 
15,691 GSR MORTGAGE LOAN TRUST 5F 8A1Synthetic14,665 
461,000 GS MORTGAGE SECURITIES GC26 A5Synthetic507,379 
700,000 GM FINANCIAL CONSUMER AUTO 3 CSynthetic723,564 
350,000 GM FINANCIAL CONSUMER AUTO 3 BSynthetic362,058 
670,000 GS MORTGAGE SECURITIES GC42 A4Synthetic748,175 
255,000 GENERAL DYNAMICS CORPSynthetic293,351 
12,000 GENERAL ELECTRIC COSynthetic14,067 
32,000 GENERAL ELECTRIC COSynthetic36,572 
100,000 GENERAL MOTORS COSynthetic125,933 
127,000 GENERAL MOTORS COSynthetic154,047 
110,000 GENERAL MOTORS FINANCIAL CO INSynthetic119,813 
176,000 GENERAL MOTORS FINANCIAL CO INSynthetic192,982 
520,000 GEORGIA-PACIFIC LLC 144ASynthetic522,562 
91,000 GEORGIA POWER COSynthetic100,734 
120,000 GEORGIA POWER COSynthetic126,421 
172,000 GILEAD SCIENCES INCSynthetic190,004 
268,000 GILEAD SCIENCES INCSynthetic265,970 
347,000 GILEAD SCIENCES INCSynthetic348,055 
1,000,000 GILDAN ACTIVEWEAR INC A 144ASynthetic1,050,313 
15,000 GLOBAL PAYMENTS INCSynthetic16,063 
145,000 GLOBAL PAYMENTS INCSynthetic160,448 
200,000 GOLDMAN SACHS GROUP INC/THESynthetic306,032 
50,000 GOLDMAN SACHS GROUP INC/THESynthetic52,850 
187,000 GOLDMAN SACHS GROUP INC/THESynthetic213,403 
134,000 GOLDMAN SACHS GROUP INC/THESynthetic135,087 
113,000 GOLDMAN SACHS GROUP INC/THESynthetic119,398 
5,000 GOLDMAN SACHS GROUP INC/THESynthetic6,392 
126,000 GOLDMAN SACHS GROUP INC/THESynthetic137,128 
183,469 GNMA GTD REMIC P/T 09-29 PBSynthetic207,859 
516,096 GNMA GTD REMIC P/T 11-38 DSynthetic531,873 
10,783 GNMA GTD REMIC P/T 10-123 IASynthetic367 
18,249 GNMA GTD REMIC P/T 11-169 BCSynthetic20,185 
315,880 GNMA GTD REMIC P/T 12-31 MJSynthetic322,474 
63,351 GNMA GTD REMIC P/T 13-8 BESynthetic64,880 
457,498 GNMA GTD REMIC P/T 13-97 ATSynthetic482,370 
2,000,000 GNMA GTD REMIC P/T 15-143 BSynthetic2,250,825 
3,000,000 GNMA GTD REMIC P/T 17-180 QBSynthetic3,180,390 
617,555 GNMA GTD REMIC P/T 18-112 ALSynthetic658,170 
617,197 GNMA GTD REMIC P/T 19-H06 FDSynthetic627,129 
140,000 WW GRAINGER INCSynthetic147,451 
58,000 HCA INCSynthetic67,726 
121,000 HCA INCSynthetic140,747 
200,000 HSBC HOLDINGS PLCSynthetic230,431 
200,000 HSBC HOLDINGS PLCSynthetic217,750 
215,000 HSBC HOLDINGS PLCSynthetic248,271 
523,000 HSBC HOLDINGS PLCSynthetic556,953 
335,000 HSBC HOLDINGS PLCSynthetic419,955 
403,000 HSBC HOLDINGS PLCSynthetic416,226 
200,000 HSBC HOLDINGS PLCSynthetic204,745 
218,000 HSBC HOLDINGS PLCSynthetic221,688 
14,000 HALLIBURTON COSynthetic15,701 
180,000 HALLIBURTON COSynthetic210,064 
1,000,000 HARDWOOD FDG LLCSynthetic1,057,472 
1,000,000 HARDWOOD FDG LLCSynthetic1,077,458 
249,000 HARLEY-DAVIDSON FINANCIAL 144ASynthetic269,715 
433,000 HARTFORD FINANCIAL SERVICES GRSynthetic606,683 
23


2,000,000 HAWAIIAN ELEC CO INCSynthetic2,237,934 
245,000 HEALTH CARE SERVICE CORP 144ASynthetic265,014 
70,000 HEALTHCARE TRUST OF AMERICA HOSynthetic79,271 
106,000 HEINEKEN NV 144ASynthetic120,631 
205,000 HESS CORPSynthetic250,173 
109,000 HEWLETT PACKARD ENTERPRISE COSynthetic112,972 
315,000 HOME DEPOT INC/THESynthetic363,422 
160,000 HOME DEPOT INC/THESynthetic188,576 
660,000 HUMANA INCSynthetic728,718 
360,000 CENOVUS ENERGY INCSynthetic370,940 
1,000,000 ITR CONCESSION CO LLCSynthetic1,148,031 
115,000 IDAHO POWER COSynthetic149,007 
400,000 INDONESIA GOVERNMENT INTERNATISynthetic431,556 
262,000 ING GROEP NVSynthetic286,253 
500,000 INTEL CORPSynthetic559,628 
45,000 INTERCONTINENTAL EXCHANGE INCSynthetic50,930 
265,000 INTERCONTINENTAL EXCHANGE INCSynthetic329,883 
89,000 INTERCONTINENTAL EXCHANGE INCSynthetic92,744 
178,000 INTERCONTINENTAL EXCHANGE INCSynthetic180,758 
175,000 INTERNATIONAL BUSINESS MACHINESynthetic186,517 
90,000 INTERNATIONAL PAPER COSynthetic117,748 
204,000 INTERNATIONAL PAPER COSynthetic267,173 
245,000 INTERPUBLIC GROUP OF COS INC/TSynthetic303,850 
155,000 INTERSTATE POWER AND LIGHT COSynthetic163,906 
147,000 IPALCO ENTERPRISES INC 144ASynthetic169,702 
200,000 JPMORGAN CHASE & COSynthetic223,963 
74,000 JPMORGAN CHASE & COSynthetic85,053 
309,115 JP MORGAN CHASE COMMERCI C6 A3Synthetic318,579 
380,000 JP MORGAN CHASE COMM C5 C 144ASynthetic364,336 
202,705 JP MORGAN CHASE COMMERC CBX A4Synthetic205,900 
7,076,892 JP MORGAN CHASE COMMERC CBX XASynthetic52,963 
392,814 JP MORGAN CHASE COMMERC C10 A5Synthetic410,283 
1,300,000 JPMBB COMMERCIAL MORTGAG C19 CSynthetic1,273,789 
240,000 JPMBB COMMERCIAL MORTGA C26 A4Synthetic263,866 
360,000 JPMORGAN CHASE & COSynthetic385,854 
190,000 JPMORGAN CHASE & COSynthetic206,104 
130,000 JPMORGAN CHASE & COSynthetic149,381 
431,000 JPMORGAN CHASE & COSynthetic446,651 
166,000 JPMORGAN CHASE & COSynthetic192,566 
123,000 JPMORGAN CHASE & COSynthetic