11-K 1 cigna11k.htm CIGNA CORPORATION FORM 11-K

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, 2020

 

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, 2020 and 2019

 

 

 

 

 

 

CIGNA 401(k) PLAN

 

TABLE OF CONTENTS

 

 

 

 

 

     

 

 

  Page
Report of Independent Auditors 4
     
Financial Statements  
  Statements of Net Assets Available for Benefits as of December 31, 2020 and 2019 6
  Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2020 7
     
     
     
Supplemental Schedule*

 

 

  Form 5500 Schedule H, Line 4i - Schedule of Assets (Held at End of Year) as of December 31, 2020 18
     
     
*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

 

 

 

 

 

 
 

 

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, 2020 and December 31, 2019 and the related statement of changes in net assets available for benefits for the year ended December 31, 2020, 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, 2020 and December 31, 2019, and the changes in net assets available for benefits for the year ended December 31, 2020 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 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 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 24, 2021

 

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,

   2020  2019
  (In thousands)
Assets      
       
Investments, at fair value (See Note 4)  $7,544,239   $6,655,971 
           
Investments, at contract value (See Note 5)   3,488,571    3,091,873 
           
Notes receivable   145,293    150,760 
           
Employer contributions receivable   19,470    27,603 
           
Cash in transit related to merger (See Note 3)   214,132    —   
           
Net assets available for benefits  $11,411,705   $9,926,207 

 

 

 

 

The accompanying Notes to the Financial Statements are an integral part of these statements.

 

 

6 
 
CIGNA 401(k) PLAN
   
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
   

 

  For the Year Ended
  December 31, 2020
  (In thousands)
Investment Income   
Net appreciation in fair value of investments  $1,090,772 
Other investment income   178 
Interest   93,772 
Dividends   170 
Net investment income   1,184,892 
Interest income on notes receivable from participants   7,523 
Contributions     
Employee contributions   435,553 
Employer contributions   246,554 
Rollover contributions   46,472 
Total contributions   728,579 
Deductions     
Benefits paid to participants   (646,818)
Plan expenses   (2,810)
Total deductions   (649,628)
Net increase   1,271,366 
Transfers from other plans (See Note 3)   214,132 
Net assets available for benefits     
Beginning of year   9,926,207 
End of year  $11,411,705 

 

   
The accompanying Notes to the Financial Statements are an integral part of these statements.

 

7 

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 affiliates of Cigna Holding Company (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, 2020 and 2019 and for the year ended December 31, 2020, Prudential Bank & Trust, FSB, was the Trustee for the Plan.

The Company is a subsidiary of Cigna Corporation ("Cigna"). The Cigna Stock Fund refers to shares of 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.

Employee Contributions

The Plan permits employees to make pre-tax and Roth contributions (regular and catch-up). A Roth 401(k) is an employer-sponsored investment savings account that is funded with after-tax contributions up to the plan's limit and future withdrawals are tax-free. 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.

 

8 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

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 9%, 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. As of 01/01/2020, the maximum effective regular matching contribution increased from 4.5% to 5% of a participant's first 6% of eligible pay. The new match formula is equal to 100% on the first 4% of eligible pay contributed (a 4% of pay match) plus 50% on the next 2% of pay contributed (a 1% 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. New employees are automatically enrolled in the Plan after 30 days from date of hire and are eligible to receive the maximum regular matching contribution. These new employees can opt out of auto enrollment as well as the contribution accelerator. 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."

In addition to providing regular matching contributions and true-up contributions, the Plan also provides for discretionary matching contributions. The Company did not make a discretionary matching contribution to the Plan for the 2020 Plan Year.  With respect to the 2019 Plan Year, the Company made a discretionary matching contribution equal to $17.1 million in the first quarter of 2020. This discretionary matching contribution was reflected as a receivable in the 2019 financials.

 

 

9 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

 

Service Contract Act Contributions

 

Certain former participants of the Express Scripts, Inc. 401(k) Plan are eligible for additional contributions (“SCA Contributions”) to comply with the Service Contract Act (“SCA”) of 1965. SCA Contributions are determined by multiplying the contractually required hourly rate by the hours worked by such participant during the period from which such contribution is made (but not in excess of the hours required by the SCA to be credited for such purposes). This amount is then reduced by the cost of fringe benefits otherwise credited to such participant outside of the Plan for such period. For the 2020 plan year, the total SCA contributions were $2.6 million. This amount is included in the employer contributions receivable as of December 31, 2020.

 

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. A participant is entitled to their 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.

In 2020, the Plan was amended to provide for full vesting of any employer contributions for Plan participants employed in Cigna's group life and disability insurance business (the “CGI business”) in connection with the sale of the CGI business to New York Life. This vesting treatment was effective upon the closing of the sale transaction on December 31, 2020.

 

10 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

 

Forfeitures

 

During the year ended December 31, 2020, employer contributions were reduced by approximately $3.2 million. No forfeiture amounts were used to offset Plan expenses.

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. Effective April 1, 2021, the maintenance fee for loans will decrease to $20 annually. There is no change to the $50 processing fee. At December 31, 2020, loan interest rates ranged from 2.36% to 11.00%.

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. As a result of the Setting Every Community Up for Retirement Enhancement ("SECURE") Act, the required minimum distribution age was increased to age 72 effective January 2020 and as a result, terminated participants must begin taking minimum distributions in April of the year following the year they turn age 72. However, for terminated participants who were age 70 ½ in 2019 or earlier, the required minimum distribution age of 70 ½ is unchanged. Additionally, the CARES Act suspended RMDs for the 2020 Plan Year. To the extent a participant’s account is invested in Cigna common stock, the participant may elect to receive such amounts in shares.

 

 

11 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

 

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 January 1, 2020, the annual administrative fee was 0.0175% of the participant’s account up to a maximum of $100. Additionally, effective January 1, 2021, the annual administrative fee will further reduce to 0.0140% of the participant’s account up to a maximum of $93.

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.

CARES Act Provisions

 

The Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act"), adopted on March 27, 2020, contained optional changes for defined contribution plans including 401(k) plans. Generally, these provisions only apply to transactions entered into between January 1, 2020 and December 30, 2020 and expire thereafter. The Plan implemented the following optional features of the CARES Act: 1) suspended required minimum distributions; 2) increased the loan limit to $100,000 and delayed loan repayments for up to one year; and 3) allowed "Coronavirus-Related Distributions ("CRDs") of up to $100,000 for individuals who satisfied the eligibility requirements for CRDs. The 10% penalty typically applicable to distributions before age 59 1/2 does not apply to CRDs. In addition, the taxes on a CRD may be paid over a three year period and participants are permitted to repay the CRD to their account over three years to avoid a taxable distribution.

 

Written amendments to the Plan reflecting the CARES Act and SECURE Act changes were adopted in 2020.

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.

 

12 

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.

Note 3 – Plan Mergers

On December 31, 2020, the eviCore Inc. 401(k) Plan ("eviCore Plan") was merged into the Plan. In connection with this merger, approximately $214 million in assets were transferred from the eviCore Plan into the Plan. The assets transferred consist of cash. This amount is reflected as a cash in transit as of December 31, 2020. These assets were deposited into individual accounts in January 2021 according to the participant investment allocations and participants were eligible to make contributions and receive matching contributions beginning on January 1, 2021.

In addition, $28,320 of outstanding loans taken by eviCore Plan participants were transferred into the Plan on December 31, 2020. These loans were not required to be re-amortized at the time of the plan merger.

 

The Plan retained the vesting schedule of the participants of the eviCore Plan and preserved all of their vested employer contributions from the eviCore Plan. No benefit payments were made by the Plan to the participants of the eviCore Plan during 2020.

 

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.

 

13 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

Financial Assets Carried at Fair Value

The following table provides information as of December 31, 2020 and 2019 about the Plan’s financial assets carried at fair value on a recurring basis.

          
2020  Quoted Prices in Active Markets for Identical Assets  Significant Other Observable Inputs   
(In thousands)  (Level 1)  (Level 2)  Total
Assets at fair value:               
Common stock  $827,257   $—     $827,257 
Pooled separate accounts:               
     Fixed maturities        241,446    241,446 
     Equity securities        6,475,536    6,475,536 
     Total assets at fair value  $827,257   $6,716,982   $7,544,239 

 

2019  Quoted Prices in Active Markets for Identical Assets  Significant Other Observable 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 

 

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 functions as 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.

 

14 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

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)  2020  2019
Financial assets at contract value:          
Traditional investment contract  $644,420   $783,714 
Synthetic investment contracts   2,844,151    2,308,159 
Total assets at contract value  $3,488,571   $3,091,873 

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.

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.

 

15 

CIGNA 401(k) PLAN

NOTES TO THE FINANCIAL STATEMENTS

 

 

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. Additionally, as a result of the Plan merger with Express Scripts, Inc. 401(k) Plan, the Plan did file an application for a new determination letter on December 29, 2020. The determination letter application is currently pending with the IRS. 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. However, the federal tax years that remain open and subject to an audit based on IRS general procedures are 2017 to 2019. Tax years 2015 and 2016 are under review due to amended return filings and the claim of right doctrine.

 

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, 2020 and 2019, there were no uncertain positions taken that had an effect on the Plan financial statements or that required disclosure.

 

16 

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, 2020, the Plan purchased shares of Cigna common stock for $53,172,566 (291,342 shares) and sold shares of Cigna common stock for $132,250,871 (679,091 shares). The Cigna Stock Fund experienced net appreciation of $14,454,371 for the year ended December 31, 2020.

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 $2.7 million in 2020. These have been paid directly to PRIAC.

eviCore became a wholly-owned subsidiary of Cigna on December 20, 2018 and sponsored a separate 401(k) plan for their eligible employees until that plan was merged into the Plan on December 31,2020. 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, 2020.

  As of December 31,
(In thousands) 2020 2019
Net Assets available for benefits per the Statements of Net Assets Available for Benefits $ 11,411,705    $ 9,926,207   
     
Difference between contract value and current value on fully benefit-responsive contracts (a) 175,964    (3,949)  
Net Assets available for benefits per the Form 5500 $ 11,587,669    $ 9,922,258   
(a)Fully benefit-responsive contracts are required to be carried at contract value in the Statements of Net Assets Available for Benefits.

Note 10 – Subsequent Events

No subsequent events were identified through June 24, 2021, the date these financial statements were issued.

 

17 

 

 

 

 

 

 

 

SUPPLEMENTAL SCHEDULE

 

 

 

 

 

 

18 

 

CIGNA 401(k) PLAN
             
FORM 5500 SCHEDULE H, LINE 4i - SCHEDULE OF ASSETS
(HELD AT END OF YEAR)
             
As of December 31, 2020
(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       $ 827,258   
             
*PRIAC DRYDEN S&P 500 INDEX Pooled Separate Account       $ 2,236,103   
             
*PRIAC LARGE CAP BLEND FUND Pooled Separate Account       $ 670,614   
             
*PRIAC MID CAP BLEND FUND Pooled Separate Account       $ 429,901   
             
*PRIAC SMALL CAP BLEND FUND Pooled Separate Account       $ 378,918   
             
*PRIAC INTERNATIONAL STOCK FUND Pooled Separate Account       $ 183,013   
             
*PRIAC BLACKROCK EQUITY MARKET INDEX FUND Separate Account       $ 1,141,838   
             
*PRIAC ALL WORLD EX-US STOCK INDEX FUND Separate Account       $ 1,292,345   
             
*PRIAC US TOTAL STOCK MARKET INDEX FUND Separate Account       $ 142,802   
             
*PRIAC

PRUDENTIAL INVESTMENT MANAGEMENT, INC.

HIGH YIELD BOND FUND

Pooled Separate Account       $ 241,446   
             
*PRIAC GUARANTEED LONG TERM FUND (CONTRACT INTEREST RATE: 3.20%) General Account Contract       $ 644,420   
             
VRIAC CIGNA STABLE VALUE FUND (CONTRACT INTEREST RATE: 1/1-6/30 2.97%, 7/1-12/31 2.49%) Synthetic Contract       $ 1,543,384   
             
*PICA PRUDENTIAL STABLE VALUE FUND (CONTRACT INTEREST RATE: 2.91%): Synthetic Contract        
  COMMERCIAL MORTGAGE SEPARATE ACCOUNT Separate Account       $ 89,801   
  PRIVEST SEPARATE ACCOUNT Separate Account       $ 93,682   
  AMERICREDIT AUTOMOBILE RECEI Asset Backed 3.13% DUE 02/18/2025 $ 207   
  AMERICREDIT AUTOMOBILE RECEI Asset Backed 3.36% DUE 02/18/2025 $ 316   

 

 

19 

 

 

  AMERICREDIT AUTOMOBILE RECEIV Asset Backed 2.74% DUE 04/18/2025 $ 521   
  AMERICREDIT AUTOMOBILE RECEIV Asset Backed 2.32% DUE 07/18/2025 $ 932   
  AMERICREDIT AUTOMOBILE RECEIV Asset Backed 1.06% DUE 08/18/2026 $ 402   
  AVIS BUDGET RENTAL CAR FUNDIN Asset Backed 3.70% DUE 09/20/2024 $ 527   
  AVIS BUDGET RENTAL CAR FUNDIN Asset Backed 4.00% DUE 03/20/2025 $ 433   
  AVIS BUDGET RENTAL CAR FUNDIN Asset Backed 3.35% DUE 09/22/2025 $ 854   
  AVIS BUDGET RENTAL CAR FUNDIN Asset Backed 2.36% DUE 03/20/2026 $ 1,147   
  AVIS BUDGET RENTAL CAR FUNDIN Asset Backed 2.33% DUE 08/20/2026 $ 722   
  CITIBANK CREDIT CARD ISSUANCE Asset Backed 3.96% DUE 10/15/2030 $ 2,053   
  COMMONBOND STUDENT LOAN T Asset Backed 3.21% DUE 02/25/2044 $ 224   
  DISCOVER CARD MASTER TRUST Asset Backed 2.53% DUE 10/15/2026 $ 321   
  DRIVE AUTO RECEIVABLES TRUST Asset Backed 2.65% DUE 02/15/2024 $ 404   
  FORD CREDIT AUTO OWNER TRUST Asset Backed 1.03% DUE 10/15/2022 $ 967   
  FORD CREDIT FLOORPLAN MASTER Asset Backed 2.48% DUE 09/15/2024 $ 415   
  FORD CREDIT FLOORPLAN MASTER Asset Backed 3.06% DUE 04/15/2026 $ 433   
  FORD CREDIT AUTO LEASE TRUST Asset Backed 0.42% DUE 12/15/2022 $ 7,708   
  FORD CREDIT AUTO OWNER TRUST F Asset Backed 3.19% DUE 07/15/2031 $ 330   
  FORD CREDIT AUTO OWNER TRUST F Asset Backed 3.19% DUE 07/15/2031 $ 440   
  GM FINANCIAL CONSUMER AUTOMO Asset Backed 1.50% DUE 03/16/2023 $ 1,048   
  GM FINANCIAL SECURITIZED TERM Asset Backed 3.62% DUE 06/17/2024 $ 105   
  DRB PRIME STUDENT LOAN TRUST Asset Backed 2.81% DUE 11/25/2042 $ 127   
  LAUREL ROAD PRIME STUDENT LOA Asset Backed 3.54% DUE 05/26/2043 $ 297   
  MMAF EQUIPMENT FINANCE LLC Asset Backed 2.41% DUE 08/16/2024 $ 140   
  MMAF EQUIPMENT FINANCE LLC Asset Backed 2.72% DUE 06/15/2040 $ 515   
  MMAF EQUIPMENT FINANCE LLC Asset Backed 2.29% DUE 11/12/2041 $ 743   
  MMAF EQUIPMENT FINANCE LLC Asset Backed 3.20% DUE 09/12/2022 $ 1,356   
  NAVIENT STUDENT LOAN TRUST Asset Backed 4.00% DUE 12/15/2059 $ 483   
  NAVIENT STUDENT LOAN TRUST Asset Backed 3.19% DUE 02/18/2042 $ 594   
  NAVIENT STUDENT LOAN TRUST Asset Backed 3.13% DUE 02/15/2068 $ 618   

 

 

20 

 

 

  NISSAN AUTO RECEIVABLES OWNER Asset Backed 0.47% DUE 10/17/2022 $ 2,280   
  NORTH CAROLINA STATE EDUCATION Asset Backed 1.01% DUE 07/25/2036 $ 499   
  ONEMAIN DIRECT AUTO RECEIVAB Asset Backed 3.63% DUE 09/14/2027 $ 1,647   
  ONEMAIN FINANCIAL ISSUANCE TR Asset Backed 0.98% DUE 09/14/2032 $ 94   
  ONEMAIN FINANCIAL ISSUANCE TR Asset Backed 0.98% DUE 09/14/2032 $ 19   
  ONEMAIN DIRECT AUTO RECEIVAB Asset Backed 3.43% DUE 12/16/2024 $ 601   
  ONEMAIN DIRECT AUTO RECEIVAB Asset Backed 3.43% DUE 12/16/2024 $ 591   
  SANTANDER DRIVE AUTO RECEIVABL Asset Backed 2.49% DUE 10/15/2025 $ 510   
  SANTANDER DRIVE AUTO RECEIVAB Asset Backed 1.01% DUE 01/15/2026 $ 603   
  SOCIAL PROFESSIONAL LOAN PROG Asset Backed 3.60% DUE 02/25/2048 $ 2,219   
  SOCIAL PROFESSIONAL LOAN PROGR Asset Backed 2.84% DUE 01/25/2041 $ 655   
  SOCIAL PROFESSIONAL LOAN PROGR Asset Backed 2.37% DUE 11/16/2048 $ 697   
  SOCIAL PROFESSIONAL LOAN PROGR Asset Backed 2.54% DUE 05/15/2046 $ 930   
  SPRINGFIELD FUNDING TRUST Asset Backed 2.68% DUE 07/15/2030 $ 122   
  TOWD POINT MORTGAGE TRUST Asset Backed 1.15% DUE 12/25/2048 $ 215   
  WORLD OMNI SELECT AUTO TRUST Asset Backed 3.68% DUE 07/15/2023 $ 535   
  WORLD OMNI SELECT AUTO TRUST Asset Backed 3.86% DUE 01/15/2025 $ 756   
  BBCCRE TRUST CMO 3.97% DUE 08/10/2033 $ 1,088   
  BARCLAYS COMMERCIAL MORTGAGE S CMO 2.94% DUE 08/14/2036 $ 867   
  BANK 2017 BNK6 ASB CMO 3.29% DUE 07/15/2060 $ 153   
  BANK 2020 BN25 A3 CMO 2.39% DUE 01/15/2063 $ 5,292   
  BANK 2020 BN26 A3 CMO 2.15% DUE 03/15/2063 $ 2,815   
  BANK 2017 BNK9 A2 CMO 2.77% DUE 11/15/2054 $ 722   
  BANK 2017 BNK7 A3 CMO 3.09% DUE 09/15/2060 $ 1,279   
  BANK 2017 BNK7 A3 CMO 3.09% DUE 09/15/2060 $ 586   
  BENCHMARK MORTGAGE TRUST CMO 2.67% DUE 12/15/2072 $ 2,153   
  BENCHMARK MORTGAGE TRUST CMO 3.75% DUE 04/10/2051 $ 1,476   
  BENCHMARK MORTGAGE TRUST CMO 2.48% DUE 12/15/2057 $ 5,352   
  BENCHMARK MORTGAGE TRUST CMO 2.04% DUE 03/15/2053 $ 941   
  BENCHMARK MORTGAGE TRUST CMO 1.68% DUE 01/15/2054 $ 4,861   
  CD COMMERCIAL MORTGAGE TRUST CMO 3.49% DUE 08/15/2051 $ 1,271   
  CD COMMERCIAL MORTGAGE TRUST CMO 2.46% DUE 08/10/2049 $ 1,267   
  CFK TRUST CMO 2.39% DUE 03/15/2039 $ 5,731   
  CANTOR COMMERCIAL REAL ESTATE CMO 3.66% DUE 05/15/2052 $ 485   
  CFCRE COMMERCIAL MORTGAGE TRUS CMO 3.59% DUE 12/10/2054 $ 669   
  COMM MORTGAGE TRUST CMO 4.05% DUE 10/10/2046 $ 271   
  COMM MORTGAGE TRUST CMO 4.05% DUE 10/10/2046 $ 487   
  COMM MORTGAGE TRUST CMO 3.69% DUE 03/10/2047 $ 1,617   

 

 

21 

 

 

  COMMERICAL MORTGAGE TRUST CMO 3.43% DUE 08/10/2048 $ 2,667   
  COMMERICAL MORTGAGE TRUST CMO 2.83% DUE 10/10/2049 $ 1,177   
  CSAIL COMMERCIAL MORTGAGE CMO 4.16% DUE 08/15/2051 $ 1,969   
  CSAIL COMMERCIAL MORTGAGE CMO 2.72% DUE 12/15/2052 $ 2,182   
  COMM MORTGAGE TRUST CMO 3.35% DUE 02/10/2048 $ 1,315   
  COMM MORTGAGE TRUST CMO 3.35% DUE 02/10/2048 $ 3,039   
  CSMC 18 RPL9 CMO 3.85% DUE 09/25/2057 $ 945   
  COMM MORTGAGE TRUST CMO 2.69% DUE 08/15/2057 $ 2,323   
  CITIGROUP COMMERCIAL MORTGAGE CMO 2.58% DUE 08/10/2049 $ 1,273   
  CITIGROUP COMMERCIAL MORTGAGE CMO 2.58% DUE 08/10/2049 $ 1,273   
  CITIGROUP COMMERCIAL MORTGAGE CMO 3.46% DUE 12/10/2049 $ 679   
  CGCMT CMO 3.11% DUE 09/15/2050 $ 1,262   
  CITIGROUP COMMERCIAL MORTGAGE CMO 3.96% DUE 03/10/2051 $ 1,368   
  CITIGROUP COMMERCIAL MORTGAG CMO 2.48% DUE 01/15/2053 $ 1,294   
  CBSLT 17 BGS CMO 2.68% DUE 09/25/2042 $ 248   
  DEUTSCHE BANK COMMERCIAL MO CMO 1.64% DUE 09/15/2053 $ 5,067   
  DEUTSCHE BANK COMMERCIAL MTG CMO 2.63% DUE 09/10/2049 $ 1,993   
  CITIGROUP COMMERCIAL MORTGAGE CMO 3.52% DUE 09/10/2058 $ 1,593   
  FNMA CMO 2.48% DUE 03/25/2026 $ 291   
  FNMA CMO 2.25% DUE 07/25/2026 $ 668   
  FNMA ACES CMO 2.36% DUE 09/25/2026 $ 425   
  FNMA ACES CMO 2.36% DUE 09/25/2026 $ 468   
  FNMA CMO 2.96% DUE 02/25/2027 $ 3,231   
  FNMA ACES CMO 2.74% DUE 04/25/2029 $ 2,329   
  FNMA ACES CMO 2.80% DUE 01/25/2028 $ 943   
  FNMA ACES CMO 2.90% DUE 01/25/2028 $ 1,514   
  FNMA ACES CMO 2.90% DUE 01/25/2028 $ 5,607   
  FNMA ACES CMO 2.94% DUE 11/25/2027 $ 504   
  FNMA CMO 3.32% DUE 09/25/2027 $ 1,109   
  FNMA CMO 3.37% DUE 07/25/2028 $ 260   
  FNMA CMO 3.70% DUE 03/25/2030 $ 1,252   
  FNMA ACES CMO 3.01% DUE 06/25/2028 $ 3,073   
  FNMA CMO 2.14% DUE 09/25/2029 $ 2,232   
  FNMA CMO 1.78% DUE 02/25/2028 $ 5,491   
  FHLMC MULTIFAMILY STRUCTURED P CMO 3.60% DUE 01/25/2028 $ 2,931   
  FHLMC MULTIFAMILY STRUCTURED P CMO 3.25% DUE 09/25/2027 $ 2,679   
  FHLMC MULTIFAMILY STRUCTURED P CMO 3.25% DUE 09/25/2027 $ 57   
  FHLMC MULTIFAMILY STRUCTURED P CMO 3.29% DUE 11/25/2027 $ 2,710   
  FHLMC CMO 3.50% DUE 12/25/2027 $ 2,036   
  FHLMC MULTIFAMILY STRUCTURED P CMO 3.21% DUE 04/25/2028 $ 1,345   
  FHLMC CMO 3.75% DUE 11/25/2032 $ 969   
  FHLMC CMO 3.85% DUE 05/25/2028 $ 214   
  FHLMC CMO 3.92% DUE 06/25/2028 $ 685   

 

 

22 

 

 

  FHLMC MULTIFAMILY STRUCTURED P CMO 3.93% DUE 06/25/2028 $ 1,343   
  FHLMC MULTIFAMILY STRUCTURED P CMO 3.99% DUE 07/25/2028 $ 2,576   
  FHLMC MULTIFAMILY STRUCTURED P CMO 3.99% DUE 05/25/2033 $ 3,198   
  FHLMC  MULTIFAMILY STRUCTURED CMO 3.90% DUE 08/25/2028 $ 2,876   
  FHLMC  MULTIFAMILY STRUCTURED CMO 3.92% DUE 09/25/2028 $ 1,560   
  FHLMC  MULTIFAMILY STRUCTURED CMO 3.88% DUE 10/25/2028 $ 2,609   
  FHLMC MULTIFAMILY STRUCTURED P CMO 3.49% DUE 02/25/2052 $ 1,704   
  FHLMC MULTIFAMILY STRUCTURED P CMO 1.96% DUE 01/25/2030 $ 4,575   
  FREDDIE MAC  SCRT CMO 3.50% DUE 08/25/2058 $ 1,392   
  GS MORTGAGE SECURITIES TRUST CMO 3.52% DUE 06/10/2047 $ 1,073   
  GS MORTGAGE SECURITIES TRUST CMO 3.20% DUE 08/10/2050 $ 1,096   
  GS MORTGAGE SECURITIES TRUST CMO 2.64% DUE 02/13/2053 $ 3,502   
  GS MORTGAGE SECURITIES TRUST CMO 1.56% DUE 12/10/2053 $ 3,285   
  JP MORGAN CHASE COMMERCIAL MTG CMO 2.63% DUE 08/15/2049 $ 1,489   
  JPMBB COMMERCIAL MORTGAGE SEC CMO 3.23% DUE 01/15/2048 $ 1,786   
  JPMBB COMMERCIAL MORTGAGE SEC CMO 3.55% DUE 07/15/2048 $ 1,259   
  LADDER CAPITAL COMMERCIAL MOR CMO 3.36% DUE 07/12/2050 $ 4,710   
  MILL CITY MORTGAGE TRUST CMO 2.75% DUE 01/25/2061 $ 316   
  MORGAN STANLEY BAML TRUST CMO 3.46% DUE 12/15/2049 $ 678   
  MORGAN STANLEY BAML TRUST CMO 3.08% DUE 03/15/2048 $ 648   
  MORGAN STANLEY BAML TRUST CMO 3.08% DUE 03/15/2048 $ 466   
  MORGAN STANLEY BAML TRUST CMO 2.73% DUE 11/15/2049 $ 620   
  MORGAN STANLEY CAPITAL I TRUST CMO 2.53% DUE 08/15/2049 $ 637   
  MORGAN STANLEY CAPITAL I TRUST CMO 2.45% DUE 02/15/2030 $ 3,221   
  NEW RESIDENTIAL MORTGAGE LOA CMO 0.90% DUE 01/25/2048 $ 380   
  ONE NEW YORK PLAZA TRUST 202 CMO 1.11% DUE 01/15/2026 $ 1,501   
  TOWD POINT MORTGAGE TRUST CMO 0.75% DUE 02/25/2057 $ 353   
  TOWD POINT MORTGAGE TRUST CMO 3.00% DUE 01/28/2058 $ 449   
  UBS COMMERCIAL MORTGAGE TRUST CMO 3.90% DUE 02/15/2051 $ 1,357   
  UBS COMMERCIAL MORTGAGE TRUST CMO 4.31% DUE 06/15/2051 $ 2,805   
  UBS COMMERCIAL MORTGAGE TRUST CMO 3.87% DUE 07/15/2051 $ 1,325   
  WF RBS COMMERCIAL MORTGAGE T CMO 2.88% DUE 03/15/2048 $ 1,529   
  WELLS FARGO COMMERCIAL MORTGAG CMO 3.19% DUE 02/15/2048 $ 2,016   
  WELLS FARGO COMMERCIAL MTG CMO 2.67% DUE 07/15/2048 $ 1,385   
  WELLS FARGO COMMERCIAL MORTGAG CMO 2.40% DUE 08/15/2049 $ 1,262   
  WELLS FARGO COMMERCIAL MORTGAG CMO 2.40% DUE 08/15/2049 $ 131   
  WELLS FARGO COMMERCIAL MORTGAG CMO 2.68% DUE 10/15/2049 $ 1,299   
  WELLS FARGO COMMERCIAL MORTGAG CMO 2.81% DUE 11/15/2059 $ 634   
  WELLS FARGO COMMERCIAL MORTGAG CMO 3.52% DUE 12/15/2049 $ 672   
  WELLS FARGO COMMERCIAL MTG CMO 3.39% DUE 11/15/2050 $ 1,320   
  WELLS FARGO COMMERCIAL MORTGAG CMO 3.89% DUE 08/15/2051 $ 1,914   
  WELLS FARGO COMMERCIAL MTG CMO 2.46% DUE 02/15/2053 $ 5,657   
  COMM 2014 UBS2 CMO-CMBS 3.96% DUE 03/10/2047 $ 1,027   

 

 

23 

 

 

  COMM 2014 UBS2 CMO-CMBS 3.96% DUE 03/10/2047 $ 1,519   
  AEP TEXAS INC Corporate 3.95% DUE 06/01/2028 $ 672   
  AEP TRANSMISSION CO LLC Corporate 3.10% DUE 12/01/2026 $ 62   
  AT&T INC Corporate 4.35% DUE 03/01/2029 $ 2,684   
  AT&T INC Corporate 4.35% DUE 03/01/2029 $ 1,372   
  AT&T INC Corporate 2.30% DUE 06/01/2027 $ 650   
  AT&T INC Corporate 2.55% DUE 12/01/2033 $ 140   
  ABBOTT LABORATORIES Corporate 1.15% DUE 01/30/2028 $ 1,090   
  ABBVIE INC Corporate 3.60% DUE 05/14/2025 $ 613   
  ABBVIE INC Corporate 3.60% DUE 05/14/2025 $ 223   
  ABBVIE INC Corporate 3.60% DUE 05/14/2025 $ 491   
  ABBVIE INC Corporate 3.60% DUE 05/14/2025 $ 1,115   
  ABBVIE INC Corporate 3.20% DUE 11/21/2029 $ 2,281   
  ABBVIE INC Corporate 3.20% DUE 11/21/2029 $ 698   
  ABBVIE INC Corporate 3.20% DUE 11/21/2029 $ 1,408   
  AKER BP ASA Corporate 3.00% DUE 01/15/2025 $ 470   
  AKER BP ASA Corporate 3.00% DUE 01/15/2025 $ 627   
  AKER BP ASA Corporate 3.00% DUE 01/15/2025 $ 523   
  ALIMENTATION COUCHE TARD Corporate 3.55% DUE 07/26/2027 $ 529   
  ALLIANT ENERGY FINANCE Corporate 3.75% DUE 06/15/2023 $ 643   
  AMEREN ILLINOIS Corporate 3.80% DUE 05/15/2028 $ 736   
  AMERICAN EXPRESS CO Corporate 3.40% DUE 02/27/2023 $ 1,000   
  AMERICAN EXPRESS CO Corporate 3.38% DUE 05/17/2021 $ 15   
  AMERICAN EXPRESS CO Corporate 3.38% DUE 05/17/2021 $ 923   
  AMERICAN INTERNATIONAL GROUP Corporate 4.12% DUE 02/15/2024 $ 996   
  AMERIPRISE FINANCIAL INC Corporate 3.00% DUE 04/02/2025 $ 616   
  ANALOG DEVICES INC Corporate 2.95% DUE 04/01/2025 $ 786   
  ARCH CAPITAL FINANCE LLC Corporate 4.01% DUE 12/15/2026 $ 58   
  ARCH CAPITAL FINANCE LLC Corporate 4.01% DUE 12/15/2026 $ 1,161   
  AVANGRID INC Corporate 3.20% DUE 04/15/2025 $ 921   
  BAE SYSTEMS PLC Corporate 3.40% DUE 04/15/2030 $ 226   
  BB&T CORPORATION Corporate 3.20% DUE 09/03/2021 $ 804   
  BMW US CAPITAL LLC Corporate 2.25% DUE 09/15/2023 $ 569   
  BMW US CAPITAL LLC Corporate 3.80% DUE 04/06/2023 $ 1,460   
  BNP PARIBAS Corporate 4.38% DUE 09/28/2025 $ 228   
  BPCE SA Corporate 2.38% DUE 01/14/2025 $ 1,796   
  BANCO SANTANDER SA Corporate 3.85% DUE 04/12/2023 $ 215   
  BANK OF AMERICA CORP Corporate 4.12% DUE 01/22/2024 $ 1,303   
  BANK OF AMERICA CORP Corporate 4.00% DUE 01/22/2025 $ 405   
  BANK OF AMERICA CORP Corporate 4.45% DUE 03/03/2026 $ 641   
  BANK OF AMERICA CORP Corporate 4.45% DUE 03/03/2026 $ 729   
  BANK OF AMERICA CORP Corporate 4.45% DUE 03/03/2026 $ 2,040   
  BANK OF AMERICA CORP Corporate 2.62% DUE 04/19/2021 $ 1,384   

 

 

24 

 

 

  BANK OF AMERICA CORP Corporate 3.82% DUE 01/20/2028 $ 1,033   
  BANK OF AMERICA CORP Corporate 3.82% DUE 01/20/2028 $ 1,378   
  BANK OF AMERICA CORP Corporate 3.59% DUE 07/21/2028 $ 80   
  BANK OF AMERICA CORP Corporate 3.50% DUE 05/17/2022 $ 410   
  BANK OF AMERICA CORP Corporate 3.19% DUE 07/23/2030 $ 716   
  BANK OF AMERICA CORP Corporate 1.32% DUE 06/19/2026 $ 290   
  BANK OF MONTREAL Corporate 3.30% DUE 02/05/2024 $ 353   
  BANK OF NY MELLON CORP Corporate 2.20% DUE 08/16/2023 $ 675   
  BANK OF NY MELLON CORP Corporate 2.95% DUE 01/29/2023 $ 216   
  BANQUE FED CRED MUTUEL Corporate 3.75% DUE 07/20/2023 $ 994   
  BARCLAYS PLC Corporate 3.65% DUE 03/16/2025 $ 469   
  BARCLAYS PLC Corporate 3.65% DUE 03/16/2025 $ 315   
  BARCLAYS PLC Corporate 3.68% DUE 01/10/2023 $ 340   
  BAYER US FINANCE II LLC Corporate 3.50% DUE 06/25/2021 $ 202   
  BAYER US FINANCE II LLC Corporate 3.50% DUE 06/25/2021 $ 440   
  BAYER US FINANCE II LLC Corporate 0.88% DUE 06/25/2021 $ 295   
  BAYER US FINANCE II LLC Corporate 2.20% DUE 07/15/2022 $ 634   
  BNP PARIBAS Corporate 2.95% DUE 05/23/2022 $ 207   
  BNP PARIBAS Corporate 4.40% DUE 08/14/2028 $ 308   
  BNP PARIBAS Corporate 3.05% DUE 01/13/2031 $ 1,146   
  BNP PARIBAS Corporate 3.05% DUE 01/13/2031 $ 1,200   
  BOEING CO Corporate 3.20% DUE 03/01/2029 $ 442   
  BOEING CO Corporate 5.15% DUE 05/01/2030 $ 799   
  BOEING CO Corporate 3.62% DUE 02/01/2031 $ 822   
  BORGWARNER INC Corporate 5.00% DUE 10/01/2025 $ 1,529   
  BRISTOL MYERS SQUIBB CO Corporate 3.40% DUE 07/26/2029 $ 936   
  BRISTOL MYERS SQUIBB CO Corporate 2.25% DUE 08/15/2021 $ 972   
  BRISTOL MYERS SQUIBB CO Corporate 3.45% DUE 11/15/2027 $ 979   
  BRIXMOR OPERATING PARTNERSHIP Corporate 3.65% DUE 06/15/2024 $ 1,301   
  BRIXMOR OPERATING PARTNERSHIP Corporate 4.05% DUE 07/01/2030 $ 322   
  BROADCOM INC Corporate 4.11% DUE 09/15/2028 $ 674   
  BROADCOM INC Corporate 3.46% DUE 09/15/2026 $ 215   
  BROADCOM INC Corporate 3.46% DUE 09/15/2026 $ 1,098   
  BROADCOM INC Corporate 4.70% DUE 04/15/2025 $ 1,279   
  BURLINGTON NORTH SANTA FE Corporate 7.00% DUE 12/15/2025 $ 1,294   
  CBOE GLOBAL MARKETS INC Corporate 1.62% DUE 12/15/2030 $ 1,354   
  CNA FINANCIAL CORP Corporate 3.95% DUE 05/15/2024 $ 885   
  CNA FINANCIAL CORP Corporate 3.95% DUE 05/15/2024 $ 520   
  CNA FINANCIAL CORP Corporate 3.95% DUE 05/15/2024 $ 802   
  CVS CAREMARK CORP Corporate 5.00% DUE 12/01/2024 $ 861   
  CVS HEALTH CORP Corporate 4.30% DUE 03/25/2028 $ 646   
  CANADIAN NATURAL RESOURCES LTD Corporate 2.95% DUE 01/15/2023 $ 931   
  CATERPILLAR INC Corporate 2.60% DUE 04/09/2030 $ 341   

 

 

25 

 

 

  CATERPILLAR FINANCIAL SERVICE Corporate 1.70% DUE 08/09/2021 $ 444   
  CENTERPOINT ENERGY HOUSTON Corporate 2.40% DUE 09/01/2026 $ 183   
  CENTERPOINT ENERGY HOUSTON Corporate 3.00% DUE 02/01/2027 $ 1,027   
  CHARTER COMM OPT LLC CAP Corporate 4.91% DUE 07/23/2025 $ 580   
  CHARTER COMM OPT LLC CAP Corporate 4.91% DUE 07/23/2025 $ 197   
  CHARTER COMM OPT LLC CAP Corporate 4.91% DUE 07/23/2025 $ 464   
  CHARTER COMM OPT LLC CAP Corporate 4.91% DUE 07/23/2025 $ 522   
  CHARTER COMM OPT LLC CAP Corporate 2.80% DUE 04/01/2031 $ 1,640   
  CHARTER COMM OPT LLC CAP Corporate 2.30% DUE 02/01/2032 $ 1,114   
  CITIGROUP INC Corporate 3.88% DUE 03/26/2025 $ 392   
  CITIGROUP INC Corporate 4.45% DUE 09/29/2027 $ 413   
  CITIGROUP INC Corporate 4.45% DUE 09/29/2027 $ 797   
  CITIGROUP INC Corporate 4.45% DUE 09/29/2027 $ 2,067   
  CITIGROUP INC Corporate 3.70% DUE 01/12/2026 $ 3,412   
  CITIGROUP INC Corporate 2.70% DUE 03/30/2021 $ 1,202   
  COLORADO INTERSTATE GAS CO LLC Corporate 4.15% DUE 08/15/2026 $ 193   
  COMCAST CORP Corporate 3.10% DUE 04/01/2025 $ 1,155   
  COMMONWEALTH EDISON CO Corporate 2.95% DUE 08/15/2027 $ 434   
  COMMONWEALTH EDISON CO Corporate 3.70% DUE 08/15/2028 $ 804   
  CONCHO RESOURCES INC Corporate 3.75% DUE 10/01/2027 $ 212   
  CONCHO RESOURCES INC Corporate 3.75% DUE 10/01/2027 $ 801   
  CONCHO RESOURCES INC Corporate 4.30% DUE 08/15/2028 $ 166   
  COX COMMUNICATIONS INC Corporate 3.50% DUE 08/15/2027 $ 2,827   
  CREDIT SUISSE GROUP-SPON ADR Corporate 3.00% DUE 12/14/2023 $ 1,024   
  CROWN CASTLE INTL CORP Corporate 1.35% DUE 07/15/2025 $ 1,169   
  CYRUSONE LP CYRUSONE FIN Corporate 2.90% DUE 11/15/2024 $ 620   
  DTE ENERGY COMPANY Corporate 3.70% DUE 08/01/2023 $ 1,026   
  DAIMLER FINANCE NA LLC Corporate 3.35% DUE 05/04/2021 $ 363   
  DANSKE BANK A S Corporate 1.23% DUE 06/22/2024 $ 2,840   
  DELTA AIR LINES 2020 AA Corporate 3.62% DUE 03/15/2022 $ 350   
  DELTA AIR LINES 2020 AA Corporate 3.62% DUE 03/15/2022 $ 602   
  DELTA AIR LINES 2020 AA Corporate 3.40% DUE 04/19/2021 $ 558   
  DEUTSCHE BANK NY Corporate 2.13% DUE 11/24/2026 $ 215   
  DEUTSCHE BANK NY Corporate 4.25% DUE 02/04/2021 $ 175   
  DEUTSCHE BANK NY Corporate 4.25% DUE 02/04/2021 $ 1,504   
  DIAMONDBACK ENERGY INC Corporate 2.88% DUE 12/01/2024 $ 840   
  DIAMONDBACK ENERGY INC Corporate 3.25% DUE 12/01/2026 $ 534   
  DIGITAL REALTY TRUST LP Corporate 3.70% DUE 08/15/2027 $ 916   
  DISCOVER BANK Corporate 3.45% DUE 07/27/2026 $ 364   
  DOLLAR TREE INC Corporate 4.00% DUE 05/15/2025 $ 1,168   
  DOMINION ENERGY INC Corporate 2.85% DUE 08/15/2026 $ 50   
  DOMINION ENERGY INC Corporate 3.60% DUE 03/15/2027 $ 3,308   
  DUKE ENERGY CORP Corporate 2.65% DUE 09/01/2026 $ 147   

 

 

26 

 

 

  DUKE ENERGY CORP Corporate 3.15% DUE 08/15/2027 $ 1,158   
  DUKE ENERGY PROGRESS INC Corporate 3.70% DUE 09/01/2028 $ 537   
  DUKE ENERGY FLORIDA LLC Corporate 3.80% DUE 07/15/2028 $ 646   
  DUKE ENERGY FLORIDA LLC Corporate 3.80% DUE 07/15/2028 $ 1,175   
  ERAC USA FINANCE COMPANY Corporate 3.30% DUE 12/01/2026 $ 583   
  ERAC USA FINANCE COMPANY Corporate 3.30% DUE 12/01/2026 $ 278   
  ERAC USA FINANCE COMPANY Corporate 3.30% DUE 12/01/2026 $ 361   
  ELECTRONIC ARTS Corporate 3.70% DUE 03/01/2021 $ 200   
  EMERSON ELECTRIC CO Corporate 0.88% DUE 10/15/2026 $ 1,294   
  EMERA US FINANCE LP Corporate 2.70% DUE 06/15/2021 $ 333   
  EMERA US FINANCE LP Corporate 3.55% DUE 06/15/2026 $ 561   
  ENERGY TRANSFER PARTNERS Corporate 4.05% DUE 03/15/2025 $ 862   
  ENERGY TRANSFER PARTNERS Corporate 4.75% DUE 01/15/2026 $ 1,132   
  ENEL FINANCE INTERNATIONAL NV Corporate 3.62% DUE 05/25/2027 $ 199   
  ENEL FINANCE INTERNATIONAL NV Corporate 3.50% DUE 04/06/2028 $ 330   
  ENEL FINANCE INTERNATIONAL NV Corporate 4.88% DUE 06/14/2029 $ 394   
  ENERGY TRANSFER PARTNERS Corporate 4.95% DUE 06/15/2028 $ 178   
  ENERGY TRANSFER OPERATNG Corporate 2.90% DUE 05/15/2025 $ 1,021   
  ENLINK MIDSTREAM PARTNER Corporate 4.40% DUE 04/01/2024 $ 99   
  ENTERGY CORP Corporate 2.95% DUE 09/01/2026 $ 474   
  ENTERPRISE PRODUCTS OPER Corporate 2.80% DUE 01/31/2030 $ 2,735   
  EQUIFAX INC Corporate 3.95% DUE 06/15/2023 $ 324   
  ESSENTIAL UTLITIES INC Corporate 2.70% DUE 04/15/2030 $ 754   
  EXXON MOBIL CORPORATION Corporate 2.61% DUE 10/15/2030 $ 2,277   
  FMC CORP Corporate 3.45% DUE 10/01/2029 $ 741   
  FIFTH THIRD BANK Corporate 3.95% DUE 07/28/2025 $ 926   
  FLORIDA GAS TRANSMISSION Corporate 2.55% DUE 07/01/2030 $ 506   
  FORD MOTOR CREDIT CO LLC Corporate 3.20% DUE 01/15/2021 $ 714   
  FORD MOTOR CREDIT CO LLC Corporate 2.98% DUE 08/03/2022 $ 610   
  FORD MOTOR CREDIT CO LLC Corporate 3.81% DUE 10/12/2021 $ 577   
  FORD MOTOR CREDIT CO LLC Corporate 3.81% DUE 10/12/2021 $ 810   
  FORTIS INC Corporate 3.06% DUE 10/04/2026 $ 444   
  FOX CORP Corporate 3.05% DUE 04/07/2025 $ 1,866   
  GENERAL MOTORS CO Corporate 6.80% DUE 10/01/2027 $ 360   
  GENERAL MOTORS FINL CO Corporate 5.25% DUE 03/01/2026 $ 435   
  GENERAL MOTORS FINL CO Corporate 4.35% DUE 01/17/2027 $ 1,173   
  GENERAL MOTORS FINL CO Corporate 3.15% DUE 06/30/2022 $ 517   
  GENERAL MOTORS FINL CO Corporate 3.85% DUE 01/05/2028 $ 344   
  GENPACT LUXEMBOURG SARL Corporate 3.38% DUE 12/01/2024 $ 2,395   
  GILEAD SCIENCES Corporate 2.50% DUE 09/01/2023 $ 132   
  GOLDMAN SACHS GROUP INC Corporate 3.85% DUE 07/08/2024 $ 1,600   
  GOLDMAN SACHS GROUP INC Corporate 4.25% DUE 10/21/2025 $ 601   
  GOLDMAN SACHS GROUP INC Corporate 4.25% DUE 10/21/2025 $ 172   

 

 

27 

 

 

  GOLDMAN SACHS GROUP INC Corporate 3.85% DUE 01/26/2027 $ 11   
  GOLDMAN SACHS GROUP INC Corporate 3.85% DUE 01/26/2027 $ 29   
  GOLDMAN SACHS GROUP INC Corporate 3.69% DUE 06/05/2028 $ 864   
  GOLDMAN SACHS GROUP INC Corporate 3.80% DUE 03/15/2030 $ 1,176   
  GOLDMAN SACHS GROUP INC Corporate 3.75% DUE 02/25/2026 $ 710   
  HSBC HOLDINGS PLC Corporate 4.58% DUE 06/19/2029 $ 237   
  HEALTH CARE SERVICE CORP Corporate 1.50% DUE 06/01/2025 $ 800   
  HEALTHPEAK PROPERTIES Corporate 2.88% DUE 01/15/2031 $ 409   
  HUNTINGTON NATIONAL BANK Corporate 2.50% DUE 08/07/2022 $ 723   
  HUNTINGTON NATIONAL BANK Corporate 3.55% DUE 10/06/2023 $ 341   
  HUSKY ENERGY INC Corporate 4.00% DUE 04/15/2024 $ 375   
  HUSKY ENERGY INC Corporate 4.00% DUE 04/15/2024 $ 1,180   
  IHS MARKIT LTD Corporate 4.12% DUE 08/01/2023 $ 272   
  IHS MARKIT LTD Corporate 4.12% DUE 08/01/2023 $ 174   
  INTUIT INC Corporate 0.95% DUE 07/15/2025 $ 577   
  IPALCO ENTERPRISES INC Corporate 4.25% DUE 05/01/2030 $ 145   
  JP MORGAN CHASE & CO Corporate 3.88% DUE 09/10/2024 $ 756   
  JP MORGAN CHASE & CO Corporate 3.88% DUE 09/10/2024 $ 392   
  JP MORGAN CHASE & CO Corporate 3.90% DUE 07/15/2025 $ 1,249   
  JP MORGAN CHASE & CO Corporate 2.95% DUE 10/01/2026 $ 805   
  JP MORGAN CHASE & CO Corporate 2.95% DUE 10/01/2026 $ 2,776   
  JPMORGAN CHASE & CO Corporate 3.51% DUE 01/23/2029 $ 570   
  JPMORGAN CHASE & CO Corporate 3.51% DUE 01/23/2029 $ 2,279   
  JPMORGAN CHASE & CO Corporate 3.51% DUE 01/23/2029 $ 2,849   
  JEFFERIES GROUP INC Corporate 6.45% DUE 06/08/2027 $ 127   
  JOHNSON & JOHNSON Corporate 1.30% DUE 09/01/2030 $ 1,096   
  KENTUCKY UTILITIES CO Corporate 3.30% DUE 10/01/2025 $ 1,107   
  KEURIG DR PEPPER INC Corporate 3.55% DUE 05/25/2021 $ 218   
  KEYBANK NA CLEVELAND OH Corporate 3.35% DUE 06/15/2021 $ 760   
  KRAFT HEINZ FOODS CO Corporate 3.75% DUE 04/01/2030 $ 733   
  LYB INTERNATIONAL FINANCE BV Corporate 4.00% DUE 07/15/2023 $ 815   
  LEVEL 3 FINANCING INC Corporate 3.40% DUE 03/01/2027 $ 87   
  LEVEL 3 FINANCING INC Corporate 3.40% DUE 03/01/2027 $ 543   
  LEVEL 3 FINANCING INC Corporate 3.40% DUE 03/01/2027 $ 456   
  LEVEL 3 FINANCING INC Corporate 3.40% DUE 03/01/2027 $ 1,043   
  LIBERTY MUTUAL GROUP INC Corporate 4.57% DUE 02/01/2029 $ 2,445   
  LINCOLN NATIONAL CORP Corporate 3.80% DUE 03/01/2028 $ 722   
  LLOYDS BANKING GROUP PLC Corporate 2.44% DUE 02/05/2026 $ 846   
  LLOYDS BANKING GROUP PLC Corporate 2.44% DUE 02/05/2026 $ 655   
  LYONDELLBASELL INDUSTRIES NV Corporate 5.75% DUE 04/15/2024 $ 403   
  MPLX LP Corporate 4.88% DUE 12/01/2024 $ 1,090   
  MPLX LP Corporate 4.12% DUE 03/01/2027 $ 64   
  MPLX LP Corporate 4.00% DUE 03/15/2028 $ 334   

 

 

28 

 

 

  MPLX LP Corporate 4.00% DUE 03/15/2028 $ 363   
  MAGNA INTERNATIONAL INC Corporate 4.15% DUE 10/01/2025 $ 287   
  MARATHON PETROLEUM CORP Corporate 3.80% DUE 04/01/2028 $ 925   
  MCKESSON CORP Corporate 3.95% DUE 02/16/2028 $ 309   
  MET LIFE GLOBAL FUNDING I Corporate 0.95% DUE 07/02/2025 $ 2,582   
  MID-ATLANTIC INTERSTATE Corporate 4.10% DUE 05/15/2028 $ 281   
  MITSUBISHI UFJ FINANCIAL GROUP Corporate 3.00% DUE 02/22/2022 $ 556   
  MITSUBISHI UFJ FINANCIAL GROUP Corporate 3.76% DUE 07/26/2023 $ 1,323   
  MIZUHO FINANCIAL GROUP Corporate 3.92% DUE 09/11/2024 $ 1,792   
  MORGAN STANLEY Corporate 4.35% DUE 09/08/2026 $ 588   
  MORGAN STANLEY Corporate 4.35% DUE 09/08/2026 $ 294   
  MORGAN STANLEY Corporate 3.77% DUE 01/24/2029 $ 75   
  MORGAN STANLEY Corporate 2.50% DUE 04/21/2021 $ 1,862   
  MORGAN STANLEY Corporate 3.62% DUE 01/20/2027 $ 671   
  MORGAN STANLEY Corporate 3.62% DUE 01/20/2027 $ 1,003   
  MORGAN STANLEY Corporate 3.62% DUE 01/20/2027 $ 2,867   
  MORGAN STANLEY Corporate 3.95% DUE 04/23/2027 $ 1,735   
  MOTOROLA SOLUTIONS INC Corporate 4.00% DUE 09/01/2024 $ 1,285   
  MYLAN NV Corporate 3.95% DUE 06/15/2026 $ 372   
  MYLAN NV Corporate 3.95% DUE 06/15/2026 $ 544   
  MYLAN NV Corporate 3.95% DUE 06/15/2026 $ 915   
  NRG ENERGY INC Corporate 2.00% DUE 12/02/2025 $ 93   
  NRG ENERGY INC Corporate 2.00% DUE 12/02/2025 $ 311   
  NRG ENERGY INC Corporate 2.00% DUE 12/02/2025 $ 31   
  NRG ENERGY INC Corporate 2.00% DUE 12/02/2025 $ 62   
  NRG ENERGY INC Corporate 2.00% DUE 12/02/2025 $ 21   
  NRG ENERGY INC Corporate 2.00% DUE 12/02/2025 $ 93   
  NRG ENERGY INC Corporate 2.00% DUE 12/02/2025 $ 466   
  NATWEST MARKETS PLC Corporate 3.62% DUE 09/29/2022 $ 1,107   
  NEWFIELD EXPLORATION Corporate 5.75% DUE 01/30/2022 $ 1,001   
  NIAGARA MOHAWK POWER Corporate 1.96% DUE 06/27/2030 $ 2,192   
  NISOURCE INC Corporate 3.60% DUE 05/01/2030 $ 197   
  NOBLE ENERGY INC Corporate 3.90% DUE 11/15/2024 $ 389   
  NOMURA HOLDINGS INC Corporate 2.65% DUE 01/16/2025 $ 1,067   
  NOVARTIS CAPITAL CORP Corporate 2.20% DUE 08/14/2030 $ 1,366   
  ONCOR ELECTRIC DELIVERY Corporate 3.70% DUE 11/15/2028 $ 1,113   
  ONEOK INC Corporate 4.00% DUE 07/13/2027 $ 72   
  ONEOK INC Corporate 4.00% DUE 07/13/2027 $ 446   
  ONEOK INC Corporate 3.10% DUE 03/15/2030 $ 1,593   
  ORACLE CORP Corporate 2.65% DUE 07/15/2026 $ 712   
  ORACLE CORP Corporate 2.50% DUE 04/01/2025 $ 1,193   
  OWENS CORNING INC Corporate 3.40% DUE 08/15/2026 $ 386   
  PNC BANK NA Corporate 4.05% DUE 07/26/2028 $ 923   

 

 

29 

 

 

  PNC BANK NA Corporate 4.05% DUE 07/26/2028 $ 1,184   
  PACIFICORP Corporate 2.70% DUE 09/15/2030 $ 231   
  PENSKE TRUCK LEASING PTL Corporate 4.12% DUE 08/01/2023 $ 663   
  PETROLEOS MEXICANOS Corporate 6.38% DUE 02/04/2021 $ 552   
  PETROLEOS MEXICANOS Corporate 6.50% DUE 03/13/2027 $ 316   
  PETROLEOS MEXICANOS Corporate 6.50% DUE 03/13/2027 $ 211   
  PETROLEOS MEXICANOS Corporate 6.50% DUE 03/13/2027 $ 316   
  PETROLEOS MEXICANOS Corporate 6.49% DUE 01/23/2027 $ 65   
  PHARMACIA CORP Corporate 6.60% DUE 12/01/2028 $ 1,736   
  PHILIP MORRIS INTL INC Corporate 0.88% DUE 05/01/2026 $ 922   
  PHILLIPS 66 PARTNERS LP Corporate 3.85% DUE 04/09/2025 $ 304   
  PHILLIPS 66 PARTNERS LP Corporate 3.60% DUE 02/15/2025 $ 813   
  PLAINS ALL AMERICAN PIPELINE Corporate 4.50% DUE 12/15/2026 $ 1,782   
  RALPH LAUREN CORP Corporate 1.70% DUE 06/15/2022 $ 300   
  PRINCIPAL LFE GLB FND II Corporate 1.25% DUE 06/23/2025 $ 689   
  PROLOGIS LP Corporate 2.12% DUE 04/15/2027 $ 1,451   
  PROLOGIS LP Corporate 2.12% DUE 04/15/2027 $ 1,075   
  PROTECTIVE LIFE GLOBAL Corporate 1.17% DUE 07/15/2025 $ 2,950   
  PROVIDENCE ST JOSEPH HEALTH OB Corporate 2.75% DUE 10/01/2026 $ 235   
  PUBLIC SERVICE ELECTRIC & GAS Corporate 2.25% DUE 09/15/2026 $ 524   
  QUEST DIAGNOSTIC INC Corporate 2.95% DUE 06/30/2030 $ 976   
  REALTY INCOME CORP Corporate 3.00% DUE 01/15/2027 $ 995   
  REALTY INCOME CORP Corporate 3.25% DUE 01/15/2031 $ 795   
  ROPER TECHNOLOGIES INC Corporate 4.20% DUE 09/15/2028 $ 990   
  NATWEST GROUP PLC Corporate 3.88% DUE 09/12/2023 $ 217   
  NATWEST GROUP PLC Corporate 4.52% DUE 06/25/2024 $ 218   
  RYDER SYSTEM INC Corporate 2.50% DUE 09/01/2022 $ 392   
  SP POWERASSETS LTD Corporate 3.00% DUE 09/26/2027 $ 356   
  SCHLUMBERGER INV Corporate 2.40% DUE 08/01/2022 $ 605   
  CHARLES SCHWAB CORP Corporate 1.65% DUE 03/11/2031 $ 1,453   
  SHIRE ACQ INV IRELAND DA Corporate 2.88% DUE 09/23/2023 $ 1,351   
  SHIRE ACQ INV IRELAND DA Corporate 3.20% DUE 09/23/2026 $ 503   
  SHIRE ACQ INV IRELAND DA Corporate 3.20% DUE 09/23/2026 $ 1,398   
  SKANDINAVISKA ENSKILDA Corporate 0.85% DUE 09/02/2025 $ 2,178   
  SOCIETE GENERALE Corporate 2.62% DUE 01/22/2025 $ 2,560   
  SOUTHERN CAL EDISON Corporate 2.40% DUE 02/01/2022 $ 284   
  SOUTHERN CAL EDISON Corporate 2.40% DUE 02/01/2022 $ 733   
  SOUTHWEST AIRLINES CO Corporate 2.62% DUE 02/10/2030 $ 1,407   
  SOUTHWESTERN ELECTRIC POWER Corporate 4.10% DUE 09/15/2028 $ 1,058   
  SPECTRA ENERGY PARTNERS Corporate 3.38% DUE 10/15/2026 $ 106   
  SUNTRUST BANK Corporate 2.70% DUE 01/27/2022 $ 200   
  SVENSKA HANDELSBANKEN AB Corporate 1.88% DUE 09/07/2021 $ 420   
  SYSCO CORPORATION Corporate 5.65% DUE 04/01/2025 $ 584   

 

 

30 

 

 

  TJX COS INC Corporate 3.75% DUE 04/15/2027 $ 2,552   
  T MOBILE USA INC Corporate 3.50% DUE 04/15/2025 $ 2,102   
  T MOBILE USA INC Corporate 2.05% DUE 02/15/2028 $ 1,327   
  TAKEDA PHARMACEUTICAL Corporate 4.00% DUE 11/26/2021 $ 427   
  TEXAS EASTERN TRANSMISSION LP Corporate 3.50% DUE 01/15/2028 $ 214   
  TEXTRON INC Corporate 5.95% DUE 09/21/2021 $ 205   
  TRIMBLE INCORPORATED Corporate 4.15% DUE 06/15/2023 $ 693   
  TYCO ELECTRONICS Corporate 3.12% DUE 08/15/2027 $ 410   
  TYSON FOODS INC Corporate 2.25% DUE 08/23/2021 $ 707   
  UBS GROUP FUNDING SWITZE Corporate 2.86% DUE 08/15/2023 $ 607   
  UNION PACIFIC CORP Corporate 2.75% DUE 03/01/2026 $ 361   
  UNITED HEALTH GROUP INC Corporate 3.10% DUE 03/15/2026 $ 1,065   
  UNUM GROUP Corporate 4.00% DUE 03/15/2024 $ 1,035   
  UPJOHN INC Corporate 2.70% DUE 06/22/2030 $ 1,432   
  VF CORP Corporate 2.40% DUE 04/23/2025 $ 1,603   
  VALERO ENERGY CORP Corporate 2.85% DUE 04/15/2025 $ 235   
  VENTAS REALTY LP Corporate 4.40% DUE 01/15/2029 $ 1,008   
  VEREIT OPERATING PARTNER Corporate 2.20% DUE 06/15/2028 $ 1,535   
  VERIZON COMMUNICATIONS Corporate 2.65% DUE 11/20/2040 $ 798   
  VISA INC Corporate 1.90% DUE 04/15/2027 $ 409   
  VISTRA OPERATIONS CO LLC Corporate 3.55% DUE 07/15/2024 $ 190   
  VISTRA OPERATIONS CO LLC Corporate 3.55% DUE 07/15/2024 $ 190   
  VISTRA OPERATIONS CO LLC Corporate 3.70% DUE 01/30/2027 $ 793   
  VISTRA OPERATIONS CO LLC Corporate 3.70% DUE 01/30/2027 $ 826   
  VOLKSWAGEN GROUP AMERICA Corporate 4.00% DUE 11/12/2021 $ 417   
  WASTE CONNECTIONS INC Corporate 2.60% DUE 02/01/2030 $ 1,343   
  WELLPOINT INC Corporate 3.12% DUE 05/15/2022 $ 379   
  WELLS FARGO & COMPANY Corporate 2.16% DUE 02/11/2026 $ 2,849   
  WELLS FARGO & COMPANY Corporate 2.39% DUE 06/02/2028 $ 2,661   
  WELLTOWER INC Corporate 3.10% DUE 01/15/2030 $ 1,311   
  WELLTOWER INC Corporate 2.70% DUE 02/15/2027 $ 396   
  WABTEC Corporate 4.95% DUE 09/15/2028 $ 355   
  WRKCO INC Corporate 3.75% DUE 03/15/2025 $ 635   
  WILLIAMS PARTNERS LP Corporate 4.30% DUE 03/04/2024 $ 276   
  WILLIAMS PARTNERS LP Corporate 4.30% DUE 03/04/2024 $ 165   
  WILLIAMS PARTNERS LP Corporate 4.30% DUE 03/04/2024 $ 1,488   
  ZOETIS INC Corporate 3.25% DUE 08/20/2021 $ 1,685   
  SINGTEL GROUP TREASURY P Corporate 4.50% DUE 09/08/2021 $ 205   
  PSA INTERNATIONAL PTE LT Corporate 3.88% DUE 02/11/2021 $ 1,003   
  FNMA Fed Agency 2.00% DUE 05/01/2050 $ 38,821   
  FREDDIE MAC Fed Agency 6.75% DUE 09/15/2029 $ 142   
  FREDDIE MAC Fed Agency 6.75% DUE 09/15/2029 $ 149   
  FANNIE MAE Fed Agency 6.25% DUE 05/15/2029 $ 278   

 

 

31 

 

 

  FANNIE MAE Fed Agency 7.12% DUE 01/15/2030 $ 1,528   
  FANNIE MAE Fed Agency 0.88% DUE 08/05/2030 $ 93   
  FANNIE MAE Fed Agency 0.88% DUE 08/05/2030 $ 34   
  CORP ANDINA DE FOMENTO Foreign 2.12% DUE 09/27/2021 $ 243   
  CORP ANDINA DE FOMENTO Foreign 2.75% DUE 01/06/2023 $ 93   
  CORP ANDINA DE FOMENTO Foreign 2.75% DUE 01/06/2023 $ 218   
  CORP ANDINA DE FOMENTO Foreign 3.75% DUE 11/23/2023 $ 540   
  CORP ANDINA DE FOMENTO Foreign 3.75% DUE 11/23/2023 $ 216   
  EMIRATE ABU DHABI GOVT INTL Foreign 3.12% DUE 10/11/2027 $ 874   
  HARVEST OPERATIONS CORP Foreign 4.20% DUE 06/01/2023 $ 217   
  HYDRO QUEBEC Foreign 9.38% DUE 04/15/2030 $ 1,501   
  JAPAN FINANCE ORG MUNICIPAL SE Foreign 2.12% DUE 10/25/2023 $ 209   
  JAPAN FINANCE ORG MUNICIPAL SE Foreign 2.62% DUE 04/20/2022 $ 206   
  JAPAN FINANCE ORG MUNICIPAL SE Foreign 1.75% DUE 09/05/2024 $ 209   
  KUWAIT INTERNATIONAL BOND SERI Foreign 2.75% DUE 03/20/2022 $ 206   
  ONTARIO TEACHERS  FINANC Foreign 2.12% DUE 09/19/2022 $ 1,031   
  QATAR STATE OF Foreign 4.50% DUE 04/23/2028 $ 370   
  QATAR STATE OF Foreign 4.50% DUE 04/23/2028 $ 242   
  SAUDI INTERNATIONAL BOND Foreign 2.38% DUE 10/26/2021 $ 208   
  SAUDI INTERNATIONAL BOND Foreign 4.00% DUE 04/17/2025 $ 335   
  TOKYO METROPOLITAN GOVT SERIES Foreign 2.50% DUE 06/08/2022 $ 206   
  TOKYO METROPOLITAN GOVERNMENT Foreign 2.00% DUE 05/17/2021 $ 302   
  INDONESIA REPUBLIC OF Foreign 3.75% DUE 04/25/2022 $ 208   
  5 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $ (2)  
  5 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $ (1)  
  5 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $ (10)  
  5 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $ (18)  
  5 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $ (4)  
  5 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $ (2)  
  5 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $ (4)  
  2 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $ 23   
  2 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $  
  2 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $ 20   
  2 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $  
  2 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $  
  2 YR US TR NOTES Futures 0.00% DUE 04/06/2021 $  
  10 YR US TR NOTES Futures 0.00% DUE 03/31/2021 $ (11)  
  10 YR US TR NOTES Futures 0.00% DUE 03/31/2021 $ (5)  
  10 YR US TR NOTES Futures 0.00% DUE 03/31/2021 $  
  10 YR US TR NOTES Futures 0.00% DUE 03/31/2021 $ (4)  
  10 YR US TR NOTES Futures 0.00% DUE 03/31/2021 $ (5)  
  10 YR US TR NOTES Futures 0.00% DUE 03/31/2021 $ (1)  
  10 YR US TR NOTES Futures 0.00% DUE 03/31/2021 $ (1)  

 

 

32 

 

 

  10 YR US TR NOTES Futures 0.00% DUE 03/31/2021 $ (10)  
  10 YR US TR NOTES Futures 0.00% DUE 03/31/2021 $ (13)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (6)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (6)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (6)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (1)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (1)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (6)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (2)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (1)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (1)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (2)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (3)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (9)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (9)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (1)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (7)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (6)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (8)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (8)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (1)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (1)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $ (6)  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $  
  20 YR US TR BONDS Futures 0.00% DUE 03/31/2021 $  
  US ULTRA T-BOND Futures 0.00% DUE 03/31/2021 $  
  US ULTRA T-BOND Futures 0.00% DUE 03/31/2021 $ (1)  
  US ULTRA T-BOND Futures 0.00% DUE 03/31/2021 $ 11   
  US ULTRA T-BOND Futures 0.00% DUE 03/31/2021 $  
  US ULTRA T-BOND Futures 0.00% DUE 03/31/2021 $  
  US 10YR ULTRA FUT JUN16 Futures 0.00% DUE 03/31/2021 $ (1)  
  US 10YR ULTRA FUT JUN16 Futures 0.00% DUE 03/31/2021 $  
  US 10YR ULTRA FUT JUN16 Futures 0.00% DUE 03/31/2021 $ 26   
  US 10YR ULTRA FUT JUN16 Futures 0.00% DUE 03/31/2021 $ 57   
  FHLMC GOLD Mortgage Backed 4.50% DUE 06/01/2039 $ 122   
  FHLMC GOLD Mortgage Backed 3.50% DUE 08/01/2043 $ 1,715   
  FHLMC GOLD Mortgage Backed 4.50% DUE 09/01/2044 $ 185   
  FHLMC GOLD Mortgage Backed 2.00% DUE 01/01/2032 $ 273   
  FHLMC GOLD Mortgage Backed 4.00% DUE