Do I have to file amended 2018 tax returns (federal and state) to reflect a 1035 tax-free exchange reported on a 2018 Form 1099-R?

I have already filed through TurboTax our 2018 federal and state tax returns and we have already received our federal tax refund. Today we received from Navy Mutual Aid Association (NMAA) a Form 1099-R reporting a 1035 tax free exchange of an annuity contract with NMAA, which was finalized in December, 2018.