*54631201920100101* HEALTH QUARTERLY STATEMENT As of March 31, 2019 of the Condition and Affairs of the Blue Cross and Blue Shield of North Carolina NAIC Group Code....758, 758 NAIC Company Code..... 54631 Employer's ID Number..... 56-0894904 (Current Period) (Prior Period) Country of Domicile United States of America Organized under the Laws of North Carolina State of Domicile or Port of Entry North Carolina Licensed as Business Type..... HOSPITAL, MEDICAL & DENTAL SERVICE OR Is HMO Federally Qualified? Yes [ ] No [ ] N/A [X] INDEMNITY Incorporated/Organized..... January 1, 1968 Commenced Business..... January 1, 1968 Statutory Home Office 4705 University Drive….. Durham..... NC..... 27707-3460 (Street and Number) Main Administrative Office (City, State and Zip Code) 4615 University Drive….. Durham..... NC.....27707-3460 (Street and Number) 919-489-7431 (City, State and Zip Code) (Area Code) (Telephone Number) Mail Address PO Box 2291….. Durham..... NC..... 27702-2291 Primary Location of Books and Records 4705 University Drive, Building 700….. Durham..... NC..... 27707-3460 (Street and Number or P. O. Box) (Street and Number) Internet Website Address Statutory Statement Contact (City, State and Zip Code) (City, State and Zip Code) 919-489-7431 (Area Code) (Telephone Number) www.bcbsnc.com Frances Eleanor Doyle 984-777-5506 (Name) (Area Code) (Telephone Number) (Extension) Frances.Doyle@bcbsnc.com 919-287-5458 (E-Mail Address) (Fax Number) OFFICERS Name Title Name President & Chief Executive Officer SVP, Chief Financial Officer 1. Patrick Hugh Conway 3. Mitchell Wade Perry 2. Gerald Allan Petkau 4. Danielle Carim Gray Title SVP, Chief Operating Officer SVP, Chief Legal Officer & Corporate Secretary OTHER Fara Marie Palumbo Patrick Kim Getzen Bryony Rose Humphries Winn Bruce Lagarde Allen Joseph Bastante Gary Paul Bolt SVP, Chief People Officer SVP, Chief Data and Analytics Officer SVP, Chief Strategy and Innovation Officer VP, Federal Segment Chief Technology Officer VP, Individual Under 65 Segment John Thomas Roos Rahul Rajkumar Jogenia Harrell Abernathy Daniel Fulton Atherton Tracy Rudolph Bennett Samantha Jane Bureau-Johnson Lisa Lindoe Cade Kenneth Steven Crist Robert Wayne Emerson Chief Service Operations Officer VP, Major Group Segment Head of Healthcare Data Management Richard Allen Chilton Diane Grace DeGroff James Patrick Emmons SVP, Chief Growth Officer SVP, Chief Medical Officer Chief Information Officer VP, Production Operations VP, Audit VP, Business Process Excellence & Project Management Office Chief Information Security Officer VP, Corporate Services VP, Corporate Administrative Services DIRECTORS OR TRUSTEES Frank Brown Holding, Jr., Chairman Jeffrey Thompson Barber Anita Rose Brown-Graham John Davis Kimberly Roberta Bromberg Bowman William Hardy Bryan Jimmy Walker Phillips, Jr. Patrick Hugh Conway Lars Steven Nelson Edward Lloyd Curran Walter Conaway Davenport Harold Lee Martin, Sr. Lisa Anne Carey State of........ North Carolina County of.....Durham The officers of this reporting entity being duly sworn, each depose and say that they are the described officers of said reporting entity, and that on the reporting period stated above, all of the herein described assets were the absolute property of the said reporting entity, free and clear from any liens or claims thereon, except as herein stated, and that this statement, together with related exhibits, schedules and explanations therein contained, annexed or referred to, is a full and true statement of all the assets and liabilities and of the condition and affairs of the said reporting entity as of the reporting period stated above, and of its income and deductions therefrom for the period ended, and have been completed in accordance with the NAIC Annual Statement Instructions and Accounting Practices and Procedures manual except to the extent that: (1) state law may differ; or, (2) that state rules or regulations require differences in reporting not related to accounting practices and procedures, according to the best of their information, knowledge and belief, respectively. Furthermore, the scope of this attestation by the described officers also includes the related corresponding electronic filing with the NAIC, when required, that is an exact copy (except for formatting differences due to electronic filing) of the enclosed statement. The electronic filing may be requested by various regulators in lieu of or in addition to the enclosed statement. (Signature) (Signature) (Signature) Patrick Hugh Conway 1. (Printed Name) Danielle Carim Gray 2. (Printed Name) Mitchell Wade Perry 3. (Printed Name) President & Chief Executive Officer (Title) SVP, Chief Legal Officer & Corporate Secretary (Title) SVP, Chief Financial Officer (Title) Subscribed and sworn to before me a. Is this an original filing? This b. If no day of 1. State the amendment number 2. Date filed 3. Number of pages attached Yes [ X ] No [ ] STATEMENT AS OF March 31, 2019 OF THE BLUE CROSS AND BLUE SHIELD OF NORTH CAROLINA OTHER (continued) Robert Mark Fleming Robert Taylor Gofourth Estay Lewis Greene Trevor Ronald Johnson David Bruce Kochman Debbie Livengood Miller Barbara Christine Morales-Burke Lauren Claire O’Brien Louis Patalano IV Reagan Greene Pruitt Troy Raymond Smith Shawn Michael Sullivan # Jesse Lee Thomas Roy Edward Watson Jr Qi Zhou # VP, Government Affairs VP, Operational Strategy and Performance VP, Pharmacy Services VP, IT Solution Delivery VP, Communications VP, Care Management Operations VP, Health Policy & Chief Compliance Officer VP, Treasurer and Chief Risk Officer VP, Deputy General Counsel VP, Marketing & Community Engagement VP, Healthcare Strategy & Payment Transformation Head of Data and Analytics Consulting Solutions VP, Medicaid Segment VP, Local Group Segment VP, Quality and Health Care Delivery Tarsha Vanessa Fletcher Sameet Goyal Melissa Stevenson Inman # Sean Michael Kerns Adrienna Yvette Maisonet-Morales Robin Carole Miller Susan Lorraine Murray Michael Authur O’Connor Christopher Shawn Peronto Maticia Cotton Sims James Woo Song Brian Bahram Tajlili Kelly Ann Wage Mark Eric Werner VP, Customer Service Operations Head of Corporate Development VP, Head of Talent Management VP, Ancillary Segment & Division Operations VP, Enterprise Learning & Development VP, People Strategies VP, State Segment VP, Head of Total Rewards & Shared Services Head of Enterprise Strategy and Innovation VP, Corporate Controller VP, Technology Infrastructure VP, Chief Actuary VP, Product & Digital Transformation VP, Provider Network & Transformation Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina ASSETS 1 Current Statement Date 2 Assets Nonadmitted Assets 3 Net Admitted Assets (Cols. 1 - 2) 4 Prior Year Net Admitted Assets 1. Bonds....................................................................................................................................... .............3,225,955,205 ..................................... .............3,225,955,205 .............3,052,710,296 2. Stocks: 3. 4. 5. 2.1 Preferred stocks............................................................................................................. ................204,113,262 ..................................... ................204,113,262 ................190,278,407 2.2 Common stocks.............................................................................................................. ................917,439,000 .......................251,910 ................917,187,090 ................957,224,022 Mortgage loans on real estate: 3.1 First liens........................................................................................................................ ..................................... ..................................... ..................................0 ..................................... 3.2 Other than first liens....................................................................................................... ..................................... ..................................... ..................................0 ..................................... Real estate: 4.1 Properties occupied by the company (less $.....90,744,710 encumbrances)............................................................................................................... ..................................... ..................................... ..................................0 ..................................... 4.2 Properties held for the production of income (less $..........0 encumbrances)............................................................................................................... ..................................... ..................................... ..................................0 ..................................... 4.3 Properties held for sale (less $..........0 encumbrances)................................................. ..................................... ..................................... ..................................0 ..................................... Cash ($.....9,108,687), cash equivalents ($.....220,938,197) and short-term investments ($.....95,885)................................................................................ ................230,142,769 ..................................... ................230,142,769 ................113,748,352 6. Contract loans (including $..........0 premium notes)................................................................. ..................................... ..................................... ..................................0 ..................................... 7. Derivatives................................................................................................................................ ..................................... ..................................... ..................................0 ..................................... 8. Other invested assets............................................................................................................... ................571,859,887 ..................................... ................571,859,887 ................527,815,201 9. Receivables for securities........................................................................................................ ..................................... ..................................... ..................................0 ..................................... 10. Securities lending reinvested collateral assets......................................................................... ..................................... ..................................... ..................................0 ..................................... 11. Aggregate write-ins for invested assets................................................................................... .......................366,806 .......................366,806 ..................................0 ..................................0 12. Subtotals, cash and invested assets (Lines 1 to 11)................................................................ .............5,149,876,929 .......................618,716 .............5,149,258,213 .............4,841,776,278 13. Title plants less $..........0 charged off (for Title insurers only).................................................. ..................................... ..................................... ..................................0 ..................................... 14. Investment income due and accrued....................................................................................... ..................31,730,143 ..................................... ..................31,730,143 ..................29,078,419 15. Premiums and considerations: 15.1 Uncollected premiums and agents' balances in the course of collection....................... ................318,028,057 ....................6,386,719 ................311,641,338 ................315,999,506 15.2 Deferred premiums, agents' balances and installments booked but deferred and not yet due (including $..........0 earned but unbilled premiums).............................. ..................................... ..................................... ..................................0 ..................................... 15.3 Accrued retrospective premiums ($..........0) and contracts subject to redetermination ($..........0)............................................................................................. ..................................... ..................................... ..................................0 ..................................... 16. Reinsurance: 16.1 Amounts recoverable from reinsurers............................................................................ ..................................... ..................................... ..................................0 .......................534,711 16.2 Funds held by or deposited with reinsured companies.................................................. ..................................... ..................................... ..................................0 ..................................... 16.3 Other amounts receivable under reinsurance contracts................................................. ..................................... ..................................... ..................................0 ..................................... 17. Amounts receivable relating to uninsured plans....................................................................... ................297,689,866 ..................51,990,228 ................245,699,638 ................249,293,432 18.1 Current federal and foreign income tax recoverable and interest thereon............................... ..................................... ..................................... ..................................0 ..................................... 18.2 Net deferred tax asset.............................................................................................................. ..................90,262,022 ..................19,986,545 ..................70,275,477 ..................74,328,602 19. Guaranty funds receivable or on deposit.................................................................................. ..................36,832,879 ..................................... ..................36,832,879 ..................46,672,879 20. Electronic data processing equipment and software................................................................ ................268,793,509 ................260,821,068 ....................7,972,441 ....................6,169,117 21. Furniture and equipment, including health care delivery assets ($..........0)............................. ..................20,931,727 ..................20,931,727 ..................................0 ..................................... 22. Net adjustment in assets and liabilities due to foreign exchange rates.................................... ..................................... ..................................... ..................................0 ..................................... 23. Receivables from parent, subsidiaries and affiliates................................................................ ..................12,533,569 ..................................... ..................12,533,569 ....................9,107,952 24. Health care ($..........0) and other amounts receivable............................................................. ................197,179,865 ................127,962,481 ..................69,217,384 ..................69,081,219 25. Aggregate write-ins for other than invested assets.................................................................. ................421,242,826 ................349,532,674 ..................71,710,152 ..................65,602,330 26. Total assets excluding Separate Accounts, Segregated Accounts and Protected Cell Accounts (Lines 12 through 25)........................................................................................ .............6,845,101,392 ................838,230,158 .............6,006,871,234 .............5,707,644,445 27. From Separate Accounts, Segregated Accounts and Protected Cell Accounts....................... ..................................... ..................................... ..................................0 ..................................... 28. Total (Lines 26 and 27)............................................................................................................ .............6,845,101,392 ................838,230,158 .............6,006,871,234 .............5,707,644,445 DETAILS OF WRITE-INS 1101. Goodwill.................................................................................................................................... .......................366,806 .......................366,806 ..................................0 ..................................... 1102. ................................................................................................................................................. ..................................... ..................................... ..................................0 ..................................... 1103. ................................................................................................................................................. ..................................... ..................................... ..................................0 ..................................... 1198. Summary of remaining write-ins for Line 11 from overflow page............................................. ..................................0 ..................................0 ..................................0 ..................................0 1199. Totals (Lines 1101 thru 1103 plus 1198) (Line 11 above)........................................................ .......................366,806 .......................366,806 ..................................0 ..................................0 2501. Investment In Topaz R & D...................................................................................................... ................154,581,516 ................154,581,516 ..................................0 ..................................... 2502. Prepaid Retirement.................................................................................................................. ................106,123,718 ................106,123,718 ..................................0 ..................................... 2503. Prepaid Expenses.................................................................................................................... ..................70,632,440 ..................70,632,440 ..................................0 ..................................... 2598. Summary of remaining write-ins for Line 25 from overflow page............................................. ..................89,905,152 ..................18,195,000 ..................71,710,152 ..................65,602,330 2599. Totals (Lines 2501 thru 2503 plus 2598) (Line 25 above)........................................................ ................421,242,826 ................349,532,674 ..................71,710,152 ..................65,602,330 Q02 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina LIABILITIES, CAPITAL AND SURPLUS 1 Covered Current Period 2 Uncovered 3 Total Prior Year 4 Total 1. Claims unpaid (less $.....3,749,027 reinsurance ceded).......................................................... ................753,013,142 ..................23,289,066 ................776,302,208 ................763,433,967 2. Accrued medical incentive pool and bonus amounts............................................................... ..................66,724,372 ..................................... ..................66,724,372 ..................49,064,505 3. Unpaid claims adjustment expenses........................................................................................ ..................21,799,135 .......................674,200 ..................22,473,335 ..................19,543,344 4. Aggregate health policy reserves, including the liability of $..........0 for medical loss ratio rebate per the Public Health Service Act..................................................... ................215,681,132 ..................................... ................215,681,132 ................205,923,074 5. Aggregate life policy reserves.................................................................................................. ..................................... ..................................... ..................................0 ..................................... 6. Property/casualty unearned premium reserve......................................................................... ..................................... ..................................... ..................................0 ..................................... 7. Aggregate health claim reserves.............................................................................................. ..................................... ..................................... ..................................0 ..................................... 8. Premiums received in advance................................................................................................ ................122,969,133 ..................................... ................122,969,133 ................119,478,332 9. General expenses due or accrued........................................................................................... ................441,681,687 ..................................... ................441,681,687 ................621,322,560 10.1 Current federal and foreign income tax payable and interest thereon (including $..........0 on realized gains (losses))........................................................................ ................269,142,406 ..................................... ................269,142,406 ................190,237,676 10.2 Net deferred tax liability............................................................................................................ ..................................... ..................................... ..................................0 ..................................... 11. Ceded reinsurance premiums payable..................................................................................... ..................................... ..................................... ..................................0 ..................................... 12. Amounts withheld or retained for the account of others........................................................... .......................430,946 ..................................... .......................430,946 .......................420,147 13. Remittances and items not allocated....................................................................................... ....................4,061,875 ..................................... ....................4,061,875 ....................3,290,203 14. Borrowed money (including $.....60,410,765 current) and interest thereon $..........0 (including $..........0 current)......................................................................... ..................60,410,765 ..................................... ..................60,410,765 ..................62,579,004 15. Amounts due to parent, subsidiaries and affiliates................................................................... ..................10,156,633 ..................................... ..................10,156,633 ....................7,251,853 16. Derivatives................................................................................................................................ ..................................... ..................................... ..................................0 ..................................... 17. Payable for securities............................................................................................................... ..................33,544,495 ..................................... ..................33,544,495 ....................9,705,000 18. Payable for securities lending.................................................................................................. ..................................... ..................................... ..................................0 ..................................... 19. Funds held under reinsurance treaties with ($..........0 authorized reinsurers, $..........0 unauthorized reinsurers and certified $..........0 reinsurers)....................................... ..................................... ..................................... ..................................0 ..................................... 20. Reinsurance in unauthorized and certified ($..........0) companies........................................... ..................................... ..................................... ..................................0 ..................................... 21. Net adjustments in assets and liabilities due to foreign exchange rates.................................. ..................................... ..................................... ..................................0 ..................................... 22. Liability for amounts held under uninsured plans..................................................................... ................106,681,173 ..................................... ................106,681,173 ................100,708,371 23. Aggregate write-ins for other liabilities (including $..........0 current)......................................... ................117,045,957 ..................................0 ................117,045,957 ................138,139,728 24. Total liabilities (Lines 1 to 23)................................................................................................... .............2,223,342,851 ..................23,963,266 .............2,247,306,117 .............2,291,097,764 25. Aggregate write-ins for special surplus funds........................................................................... .............XXX................. .............XXX................. ..................................0 ..................................0 26. Common capital stock.............................................................................................................. .............XXX................. .............XXX................. ..................................... ..................................... 27. Preferred capital stock.............................................................................................................. .............XXX................. .............XXX................. ..................................... ..................................... 28. Gross paid in and contributed surplus...................................................................................... .............XXX................. .............XXX................. ..................................... ..................................... 29. Surplus notes........................................................................................................................... .............XXX................. .............XXX................. ..................................... ..................................... 30. Aggregate write-ins for other than special surplus funds......................................................... .............XXX................. .............XXX................. .............1,136,973,381 .............1,114,076,146 31. Unassigned funds (surplus)...................................................................................................... .............XXX................. .............XXX................. .............2,622,591,735 .............2,302,470,535 32. Less treasury stock, at cost: 32.1 .....0.000 shares common (value included in Line 26 $..........0)...................................... .............XXX................. .............XXX................. ..................................... ..................................... 32.2 .....0.000 shares preferred (value included in Line 27 $..........0)..................................... .............XXX................. .............XXX................. ..................................... ..................................... 33. Total capital and surplus (Lines 25 to 31 minus Line 32)......................................................... .............XXX................. .............XXX................. .............3,759,565,116 .............3,416,546,681 34. Total liabilities, capital and surplus (Lines 24 and 33).............................................................. .............XXX................. .............XXX................. .............6,006,871,233 .............5,707,644,445 DETAILS OF WRITE-INS 2301. Accrued Other Retirement Benefits.......................................................................................... ..................55,566,698 ..................................... ..................55,566,698 ..................55,343,493 2302. Accounts Payable..................................................................................................................... ..................19,595,122 ..................................... ..................19,595,122 ..................41,333,692 2303. Intercompany Tax Payable....................................................................................................... ..................41,462,495 ..................................... ..................41,462,495 ..................41,462,495 2398. Summary of remaining write-ins for Line 23 from overflow page............................................. .......................421,642 ..................................0 .......................421,642 ................................48 2399. Totals (Lines 2301 thru 2303 plus 2398) (Line 23 above)........................................................ ................117,045,957 ..................................0 ................117,045,957 ................138,139,728 2501. ................................................................................................................................................. ..................................... ..................................... ..................................... ..................................... 2502. ................................................................................................................................................. ..................................... ..................................... ..................................... ..................................... 2503. ................................................................................................................................................. ..................................... ..................................... ..................................... ..................................... 2598. Summary of remaining write-ins for Line 25 from overflow page............................................. ...............XXX............... ...............XXX............... ..................................0 ..................................0 2599. Totals (Lines 2501 thru 2503 plus 2598) (Line 25 above)........................................................ ...............XXX............... ...............XXX............... ..................................0 ..................................0 3001. Contingency Reserve............................................................................................................... ...............XXX............... ...............XXX............... .............1,136,973,381 .............1,114,076,146 3002. ................................................................................................................................................. ..................................... ..................................... ..................................... ..................................... 3003. ................................................................................................................................................. ..................................... ..................................... ..................................... ..................................... 3098. Summary of remaining write-ins for Line 30 from overflow page............................................. ...............XXX............... ...............XXX............... ..................................0 ..................................0 3099. Totals (Lines 3001 thru 3003 plus 3098) (Line 30 above)........................................................ ...............XXX............... ...............XXX............... .............1,136,973,381 .............1,114,076,146 Q03 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina STATEMENT OF REVENUE AND EXPENSES 1 Uncovered Current Year To Date 2 Total Prior Year To Date 3 Total Prior Year Ended December 31 4 Total 1. Member months........................................................................................................................... ...........XXX.................. ...................5,022,048 ...................4,949,552 .................19,311,234 2. Net premium income (including $..........0 non-health premium income)...................................... ...........XXX.................. ............2,289,772,173 ............2,365,387,594 ............9,069,391,728 3. Change in unearned premium reserves and reserve for rate credits........................................... ...........XXX.................. ................(13,053,868) ..................(4,043,468) .................48,569,386 4. Fee-for-service (net of $..........0 medical expenses).................................................................... ...........XXX.................. .................................... .................................... .................................... 5. Risk revenue................................................................................................................................ ...........XXX.................. .................................... .................................... .................................... 6. Aggregate write-ins for other health care related revenues......................................................... ...........XXX.................. .................................0 .................................0 .................................0 7. Aggregate write-ins for other non-health revenues...................................................................... ...........XXX.................. .................42,890,355 .................30,237,690 .................22,726,015 8. Total revenues (Lines 2 to 7)....................................................................................................... ...........XXX.................. ............2,319,608,660 ............2,391,581,816 ............9,140,687,129 Hospital and Medical: 9. Hospital/medical benefits............................................................................................................. .................45,500,296 ............1,139,665,487 ............1,118,883,255 ............4,559,141,592 10. Other professional services......................................................................................................... .................................... .................90,682,456 .................80,580,384 ...............329,257,023 11. Outside referrals.......................................................................................................................... .................................... .................................... .................................... .................................... 12. Emergency room and out-of-area................................................................................................ ...................9,611,448 ...............122,423,980 ...............113,363,756 ...............533,112,666 13. Prescription drugs........................................................................................................................ .................................... ...............341,359,117 ...............294,119,313 ............1,378,250,962 14. Aggregate write-ins for other hospital and medical...................................................................... .................................0 .................................0 .................................0 .................................0 15. Incentive pool, withhold adjustments and bonus amounts........................................................... .................................... .................17,659,868 .................10,833,288 .................53,742,064 16. Subtotal (Lines 9 to 15)................................................................................................................ .................55,111,744 ............1,711,790,908 ............1,617,779,996 ............6,853,504,307 Less: 17. Net reinsurance recoveries.......................................................................................................... .................................... ......................281,701 ...................1,667,763 ...................4,168,913 18. Total hospital and medical (Lines 16 minus 17)........................................................................... .................55,111,744 ............1,711,509,207 ............1,616,112,233 ............6,849,335,394 19. Non-health claims (net)................................................................................................................ .................................... .................................... .................................... .................................... 20. Claims adjustment expenses, including $.....69,245,069 cost containment expenses................ ...................4,689,618 ...............142,486,676 ...............180,912,221 ...............546,531,926 21. General administrative expenses................................................................................................. .................................... ...............178,401,943 ...............375,229,313 ............1,132,612,630 22. Increase in reserves for life and accident and health contracts (including $..........0 increase in reserves for life only).................................................................................. .................................... ..................(1,595,910) .....................(840,026) ..................(1,024,590) 23. Total underwriting deductions (Lines 18 through 22)................................................................... .................59,801,362 ............2,030,801,916 ............2,171,413,741 ............8,527,455,360 24. Net underwriting gain or (loss) (Lines 8 minus 23)...................................................................... ...........XXX.................. ...............288,806,744 ...............220,168,075 ...............613,231,769 25. Net investment income earned.................................................................................................... .................................... .................44,482,164 .................36,779,421 ...............163,968,262 26. Net realized capital gains (losses) less capital gains tax of $.....16,192,607............................... .................................... .................60,915,046 .................23,586,544 .................32,211,751 27. Net investment gains or (losses) (Lines 25 plus 26).................................................................... .................................0 ...............105,397,210 .................60,365,965 ...............196,180,013 28. Net gain or (loss) from agents' or premium balances charged off [(amount recovered $..........0) (amount charged off $..........0)]................................................................................... .................................... .................................... .................................... .................................... 29. Aggregate write-ins for other income or expenses...................................................................... .................................0 ...................6,258,598 ...................5,911,212 .................24,743,550 30. Net income or (loss) after capital gains tax and before all other federal income taxes (Lines 24 plus 27 plus 28 plus 29)...................................................................................... ...........XXX.................. ...............400,462,552 ...............286,445,252 ...............834,155,332 31. Federal and foreign income taxes incurred.................................................................................. ...........XXX.................. .................62,655,224 .................85,535,408 ...............183,773,246 32. Net income (loss) (Lines 30 minus 31)........................................................................................ ...........XXX.................. ...............337,807,328 ...............200,909,844 ...............650,382,086 DETAILS OF WRITE-INS 0601. ..................................................................................................................................................... ...........XXX.................. .................................... .................................... .................................... 0602. ..................................................................................................................................................... ...........XXX.................. .................................... .................................... .................................... 0603. ..................................................................................................................................................... ...........XXX.................. .................................... .................................... .................................... 0698. Summary of remaining write-ins for Line 6 from overflow page................................................... ...........XXX.................. .................................0 .................................0 .................................0 0699. Totals (Lines 0601 thru 0603 plus 0698) (Line 6 above)............................................................. ...........XXX.................. .................................0 .................................0 .................................0 0701. Loss on Fixed Assets................................................................................................................... ...........XXX.................. .................................... .............................552 ..................(9,013,399) 0702. North Carolina State Tax Credits................................................................................................. ...........XXX.................. .................42,890,355 .................30,237,138 .................31,739,414 0703. ..................................................................................................................................................... ...........XXX.................. .................................... .................................... .................................... 0798. Summary of remaining write-ins for Line 7 from overflow page................................................... ...........XXX.................. .................................0 .................................0 .................................0 0799. Totals (Lines 0701 thru 0703 plus 0798) (Line 7 above)............................................................. ...........XXX.................. .................42,890,355 .................30,237,690 .................22,726,015 1401. ..................................................................................................................................................... .................................... .................................... .................................... .................................... 1402. ..................................................................................................................................................... .................................... .................................... .................................... .................................... 1403. ..................................................................................................................................................... .................................... .................................... .................................... .................................... 1498. Summary of remaining write-ins for Line 14 from overflow page................................................. .................................0 .................................0 .................................0 .................................0 1499. Totals (Lines 1401 thru 1403 plus 1498) (Line 14 above)........................................................... .................................0 .................................0 .................................0 .................................0 2901. BlueCard Access Fees................................................................................................................ .................................... ...................6,258,598 ...................5,911,212 .................24,743,550 2902. ..................................................................................................................................................... .................................... .................................... .................................... .................................... 2903. ..................................................................................................................................................... .................................... .................................... .................................... .................................... 2998. Summary of remaining write-ins for Line 29 from overflow page................................................. .................................0 .................................0 .................................0 .................................0 2999. Totals (Lines 2901 thru 2903 plus 2998) (Line 29 above)........................................................... .................................0 ...................6,258,598 ...................5,911,212 .................24,743,550 Q04 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina STATEMENT OF REVENUE AND EXPENSES (Continued) CAPITAL AND SURPLUS ACCOUNT 1 Current Year 2 Prior Year 3 Prior Year to Date To Date Ended December 31 33. Capital and surplus prior reporting year.............................................................................................................................. ............3,416,546,681 ............2,954,474,762 ............2,954,474,762 34. Net income or (loss) from Line 32....................................................................................................................................... ...............337,807,328 ...............200,909,844 ...............650,382,086 35. Change in valuation basis of aggregate policy and claim reserves.................................................................................... .................................... .................................... ...................5,578,091 36. Change in net unrealized capital gains (losses) less capital gains tax of $.....4,053,126................................................... .................35,530,916 ................(36,660,317) ................(48,517,046) 37. Change in net unrealized foreign exchange capital gain or (loss)...................................................................................... .................................... .................................... .................................... 38. Change in net deferred income tax..................................................................................................................................... .................................... .................................... .................37,480,147 39. Change in nonadmitted assets........................................................................................................................................... ................(33,820,274) ..................(8,717,157) ..............(194,314,824) 40. Change in unauthorized and certified reinsurance............................................................................................................. .................................... .................................... .................................... 41. Change in treasury stock.................................................................................................................................................... .................................... .................................... .................................... 42. Change in surplus notes..................................................................................................................................................... .................................... .................................... .................................... 43. Cumulative effect of changes in accounting principles....................................................................................................... .................................... .................................... .................................... 44. Capital changes: 44.1 Paid in........................................................................................................................................................................ .................................... .................................... .................................... 44.2 Transferred from surplus (Stock Dividend)................................................................................................................. .................................... .................................... .................................... 44.3 Transferred to surplus................................................................................................................................................ .................................... .................................... .................................... 45. Surplus adjustments: 45.1 Paid in........................................................................................................................................................................ .................................... .................................... .................................... 45.2 Transferred to capital (Stock Dividend)....................................................................................................................... .................................... .................................... .................................... 45.3 Transferred from capital............................................................................................................................................. .................................... .................................... .................................... 46. Dividends to stockholders................................................................................................................................................... .................................... .................................... .................................... 47. Aggregate write-ins for gains or (losses) in surplus............................................................................................................ ...................3,500,465 ...................4,064,379 .................11,463,465 48. Net change in capital and surplus (Lines 34 to 47)............................................................................................................. ...............343,018,435 ...............159,596,749 ...............462,071,919 49. Capital and surplus end of reporting period (Line 33 plus 48)............................................................................................ ............3,759,565,116 ............3,114,071,511 ............3,416,546,681 DETAILS OF WRITE-INS 4701. Change in accounting estimate for pension amortization, net of tax.................................................................................. ...................3,500,465 ...................4,064,379 .................................... 4702. Additional Liability for Pension Benefits.............................................................................................................................. .................................... .................................... .................11,463,465 4703. ............................................................................................................................................................................................ .................................... .................................... .................................... 4798. Summary of remaining write-ins for Line 47 from overflow page........................................................................................ .................................0 .................................0 .................................0 4799. Totals (Lines 4701 thru 4703 plus 4798) (Line 47 above).................................................................................................. ...................3,500,465 ...................4,064,379 .................11,463,465 Q05 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina CASH FLOW 1 Current Year to Date 2 Prior Year To Date 3 Prior Year Ended December 31 CASH FROM OPERATIONS 1. Premiums collected net of reinsurance.......................................................................................................................... ............2,292,168,236 ............2,381,874,446 ............9,031,946,876 2. Net investment income.................................................................................................................................................. .................45,230,910 .................40,485,338 ...............181,932,497 3. Miscellaneous income.................................................................................................................................................... .................42,890,355 .................30,237,690 .................22,726,015 4. Total (Lines 1 through 3)................................................................................................................................................ ............2,380,289,501 ............2,452,597,474 ............9,236,605,388 5. Benefit and loss related payments................................................................................................................................. ............1,683,643,078 ............1,644,367,358 ............6,845,102,470 6. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts............................................ .................................... .................................... .................................... 7. Commissions, expenses paid and aggregate write-ins for deductions.......................................................................... ...............495,106,036 ...............553,944,774 ............1,588,144,481 8. Dividends paid to policyholders..................................................................................................................................... .................................... .................................... .................................... 9. Federal and foreign income taxes paid (recovered) net of $.....16,192,607 tax on capital gains (losses)..................... ................(16,249,506) ..................(1,261,600) .................73,803,595 10. Total (Lines 5 through 9)................................................................................................................................................ ............2,162,499,608 ............2,197,050,532 ............8,507,050,546 11. Net cash from operations (Line 4 minus Line 10).......................................................................................................... ...............217,789,893 ...............255,546,942 ...............729,554,842 12. Proceeds from investments sold, matured or repaid: CASH FROM INVESTMENTS 12.1 Bonds................................................................................................................................................................... ...............220,482,677 ...............137,089,569 ............1,134,830,413 12.2 Stocks.................................................................................................................................................................. ...............229,072,490 ...............114,502,196 ...............507,655,273 12.3 Mortgage loans.................................................................................................................................................... .................................... .................................... .................................... 12.4 Real estate........................................................................................................................................................... .................................... .................................... .................................... 12.5 Other invested assets.......................................................................................................................................... .................11,375,861 .................10,391,932 .................50,723,369 12.6 Net gains or (losses) on cash, cash equivalents and short-term investments..................................................... .................................... .................................... .................................... 12.7 Miscellaneous proceeds...................................................................................................................................... .................23,839,495 .................11,569,063 ...................2,772,941 12.8 Total investment proceeds (Lines 12.1 to 12.7)................................................................................................... ...............484,770,523 ...............273,552,760 ............1,695,981,996 13. Cost of investments acquired (long-term only): 13.1 Bonds................................................................................................................................................................... ...............394,006,296 ...............288,257,257 ............1,460,987,457 13.2 Stocks.................................................................................................................................................................. .................91,953,831 .................76,484,917 ...............589,086,943 13.3 Mortgage loans.................................................................................................................................................... .................................... .................................... .................................... 13.4 Real estate........................................................................................................................................................... .................58,453,419 ......................160,500 ...................1,790,862 13.5 Other invested assets.......................................................................................................................................... .................................... .................15,120,539 .................70,443,473 13.6 Miscellaneous applications.................................................................................................................................. .................................... .................................... .................................... 13.7 Total investments acquired (Lines 13.1 to 13.6).................................................................................................. ...............544,413,546 ...............380,023,213 ............2,122,308,735 14. Net increase or (decrease) in contract loans and premium notes................................................................................. .................................... .................................... .................................... 15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14)............................................................................ ................(59,643,023) ..............(106,470,453) ..............(426,326,739) 16. Cash provided (applied): CASH FROM FINANCING AND MISCELLANEOUS SOURCES 16.1 Surplus notes, capital notes................................................................................................................................. .................................... .................................... .................................... 16.2 Capital and paid in surplus, less treasury stock................................................................................................... .................................... .................................... .................................... 16.3 Borrowed funds.................................................................................................................................................... ..................(2,168,239) ...................2,925,925 ......................407,116 16.4 Net deposits on deposit-type contracts and other insurance liabilities................................................................ .................................... .................................... .................................... 16.5 Dividends to stockholders.................................................................................................................................... .................................... .................................... .................................... 16.6 Other cash provided (applied).............................................................................................................................. ................(39,584,214) ................(18,725,343) ..............(263,415,929) 17. Net cash from financing and miscellaneous sources (Lines 16.1 through 16.4 minus Line 16.5 plus Line 16.6).......... ................(41,752,453) ................(15,799,418) ..............(263,008,813) RECONCILIATION OF CASH, CASH EQUIVALENTS AND SHORT-TERM INVESTMENTS 18. Net change in cash, cash equivalents and short-term investments (Line 11 plus Line 15 plus Line 17)....................... ...............116,394,417 ...............133,277,071 .................40,219,290 19. Cash, cash equivalents and short-term investments: 19.1 Beginning of year................................................................................................................................................. ...............113,748,352 .................73,529,062 .................73,529,062 19.2 End of period (Line 18 plus Line 19.1)................................................................................................................. ...............230,142,769 ...............206,806,133 ...............113,748,352 Note: Supplemental disclosures of cash flow information for non-cash transactions: 20.0001 Charitable foundation contributions..................................................................................................................... ...............110,000,000 .................................... .................40,000,000 Q06 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina EXHIBIT OF PREMIUMS, ENROLLMENT AND UTILIZATION 1 Total Comprehensive (Hospital & Medical) 2 3 Individual Group 4 Medicare Supplement 5 Vision Only 6 Dental Only 7 Federal Employees Health Benefit Plan 8 Title XVIII Medicare 9 Title XIX Medicaid 10 Other Total Members at End of: 1. Prior Year................................................................................. ......................1,580,203 .........................474,467 .........................414,032 .........................161,424 ...........................90,953 .........................161,249 .........................163,269 ...........................72,042 ....................................... ...........................42,767 2. First Quarter............................................................................. ......................1,676,054 .........................530,300 .........................415,387 .........................159,901 .........................108,768 .........................173,188 .........................164,845 ...........................66,665 ....................................... ...........................57,000 3. Second Quarter........................................................................ ....................................0 ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... 4. Third Quarter............................................................................ ....................................0 ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... 5. Current Year............................................................................. ....................................0 ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... 6. Current Year Member Months.................................................. ......................5,022,048 ......................1,605,663 ......................1,245,505 .........................481,390 .........................313,983 .........................510,912 .........................493,240 .........................200,917 ....................................... .........................170,438 Total Member Ambulatory Encounters for Period: Q07 7. Physician.................................................................................. ......................1,861,726 .........................348,812 .........................287,721 .........................898,884 ....................................... ................................227 ...........................21,059 .........................305,023 ....................................... ....................................... 8. Non-Physician.......................................................................... ....................................0 ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... 9. Total......................................................................................... ......................1,861,726 .........................348,812 .........................287,721 .........................898,884 ....................................0 ................................227 ...........................21,059 .........................305,023 ....................................0 ....................................0 10. Hospital Patient Days Incurred................................................. .........................151,259 ...........................15,359 ...........................47,626 ...........................81,283 ....................................... ....................................... .............................4,913 .............................2,078 ....................................... ....................................... 11. Number of Inpatient Admissions.............................................. ...........................27,076 .............................3,164 ...........................12,773 .............................9,622 ....................................... ....................................... .............................1,211 ................................306 ....................................... ....................................... 12. Health Premiums Written (a).................................................... ...............2,290,316,158 ...............1,081,850,240 ..................533,635,265 ....................95,099,130 ......................2,475,730 ....................17,440,720 ..................320,356,408 ..................188,613,700 ....................................... ....................50,844,965 13. Life Premiums Direct................................................................ ....................................0 ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... 14. Property/Casualty Premiums Written....................................... ....................................0 ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... 15. Health Premiums Earned......................................................... ...............2,277,262,285 ...............1,081,850,240 ..................533,635,260 ....................95,099,130 ......................2,475,730 ....................17,440,720 ..................307,302,540 ..................188,613,700 ....................................... ....................50,844,965 16. Property/Casualty Premiums Earned....................................... ....................................0 ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... ....................................... 17. Amount Paid for Provision of Health Care Services................. ...............1,683,660,453 ..................720,611,628 ..................360,077,104 ....................92,128,442 ......................1,937,914 ....................12,874,255 ..................285,106,450 ..................157,228,334 ....................................... ....................53,696,326 18. Amount Incurred for Provision of Health Care Services........... ...............1,711,790,907 ..................724,286,166 ..................385,387,661 ....................92,128,442 ......................1,825,103 ....................12,791,923 ..................286,088,781 ..................159,239,335 ....................................... ....................50,043,496 (a) For health premiums written: Amount of Medicare Title XVIII exempt from state taxes or fees $.....202,241,620. Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina CLAIMS UNPAID AND INCENTIVE POOL, WITHHOLD AND BONUS (Reported and Unreported) 1 2 Account Claims Unpaid (Reported) 0299999. Aggregate Accounts Not Individually Listed-Uncovered......................................................................... 0399999. Aggregate Accounts Not Individually Listed-Covered............................................................................. 0499999. Subtotals................................................................................................................................................. 0599999. Unreported Claims and Other Claim Reserves....................................................................................... 0799999. Total Claims Unpaid................................................................................................................................ 0899999. Accrued Medical Incentive Pool and Bonus Amounts............................................................................. Aging Analysis of Unpaid Claims 3 4 5 6 7 1 - 30 Days 31 - 60 Days 61 - 90 Days 91 - 120 Days Over 120 Days Total ......................................4,040,959 ..................................268,996,798 ..................................273,037,757 ....................................................... ....................................................... ....................................................... .........................................652,004 ....................................43,402,328 ....................................44,054,332 ....................................................... ....................................................... ....................................................... .........................................189,392 ....................................12,607,348 ....................................12,796,740 ....................................................... ....................................................... ....................................................... ...........................................89,024 ......................................5,926,082 ......................................6,015,106 ....................................................... ....................................................... ....................................................... .........................................220,755 ....................................14,695,106 ....................................14,915,861 ....................................................... ....................................................... ....................................................... ......................................5,192,133 ..................................345,627,662 ..................................350,819,795 ..................................429,231,441 ..................................780,051,236 ....................................66,724,372 Q08 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina UNDERWRITING AND INVESTMENT EXHIBIT Analysis of Claims Unpaid - Prior Year - Net of Reinsurance Line of Business Claims Paid Year to Date 1 2 On Claims Incurred On Claims Prior to January 1 Incurred During of Current Year the Year Liability End of Current Quarter 3 4 On Claims Unpaid On Claims December 31 of Incurred During Prior Year the Year 5 Claims Incurred in Prior Years (Columns 1 + 3) 6 Estimated Claim Reserve and Claim Liability December 31 of Prior Year Q09 1. Comprehensive (hospital and medical)......................................................................................................................................... .............................465,784,493 .............................624,918,083 ...............................62,143,905 .............................462,671,630 .............................527,928,398 .............................519,228,284 2. Medicare Supplement................................................................................................................................................................... ...............................24,750,228 ...............................55,121,356 .................................2,908,214 ...............................43,998,312 ...............................27,658,442 ...............................34,657,969 3. Dental only................................................................................................................................................................................... .................................1,924,747 ...............................10,949,508 ......................................46,978 .................................3,005,049 .................................1,971,725 .................................3,134,359 4. Vision only.................................................................................................................................................................................... ......................................96,017 .................................1,841,896 ........................................2,294 ....................................217,984 ......................................98,311 ....................................221,545 5. Federal Employees Health Benefits Plan...................................................................................................................................... .............................103,895,485 .............................181,210,965 ...............................25,037,743 .............................102,209,992 .............................128,933,228 .............................126,265,405 6. Title XVIII - Medicare.................................................................................................................................................................... ...............................63,464,591 ...............................96,524,094 .................................6,154,733 ...............................56,228,773 ...............................69,619,324 ...............................65,050,304 7. Title XIX - Medicaid...................................................................................................................................................................... ...............................10,950,745 ...............................42,745,581 .................................................. ...............................11,676,601 ...............................10,950,745 .................................................. 8. Other health................................................................................................................................................................................. .................................................. .................................................. .................................................. .................................................. ...............................................0 ...............................14,876,101 9. Health subtotal (Lines 1 to 8)........................................................................................................................................................ .............................670,866,306 ..........................1,013,311,483 ...............................96,293,867 .............................680,008,341 .............................767,160,173 .............................763,433,967 10. Healthcare receivables (a)............................................................................................................................................................ ...............................74,624,866 ...............................71,554,941 .................................................. .................................................. ...............................74,624,866 .............................142,983,115 11. Other non-health.......................................................................................................................................................................... .................................................. .................................................. .................................................. .................................................. ...............................................0 .................................................. 12. Medical incentive pools and bonus amounts................................................................................................................................. .................................................. .................................................. ...............................49,642,911 ...............................17,081,461 ...............................49,642,911 ...............................49,064,505 13. Totals (Lines 9-10+11+12)............................................................................................................................................................ .............................596,241,440 .............................941,756,542 .............................145,936,778 .............................697,089,802 .............................742,178,218 .............................669,515,357 (a) Excludes $..........0 loans or advances to providers not yet expensed. Statement as of March 31, 2019 of the 1. Blue Cross and Blue Shield of North Carolina Summary of Significant Accounting Policies and Going Concern A. Accounting Practices The financial statements of Blue Cross and Blue Shield of North Carolina (Blue Cross NC or the Company) have been prepared in conformity with accounting practices and procedures prescribed by the North Carolina Department of Insurance (NCDOI). The NCDOI recognizes only Statutory Accounting Practices (SAP) prescribed or permitted by the state of North Carolina for determining and reporting the financial condition and results of operations of an insurance company, and for determining its solvency under the North Carolina Insurance laws, regulations and general administrative rules. The NCDOI has adopted the National Association of Insurance Commissioners’ (NAIC) Accounting Practices and Procedures manual (NAIC SAP) as a component of prescribed or permitted practices by the State of North Carolina (NC SAP). There is no deviation from the NAIC SAP. There were no differences between the statutory practices prescribed or permitted by the state of North Carolina and those prescribed or permitted by NAIC SAP which would materially affect the statutory basis net income or surplus. A reconciliation of the Company’s net income and capital and surplus between NAIC SAP and practices prescribed and permitted by the state of North Carolina is shown below: NET INCOME 1. Blue Cross NC state basis (Page 4, Line 32, Columns 2&3) State Prescribed Practices that are an increase/(decrease) from NAIC SAP: State Permitted Practices that are an increase/(decrease) from NAIC SAP: NAIC SAP (1-2-3=4) 2. 3. 4. SURPLUS 5. Blue Cross NC state basis (Page 3, Line 33, Columns 3 & 4) 6. State Prescribed Practices that are an increase/(decrease) from NAIC SAP: 7. State Permitted Practices that are an increase/(decrease) from NAIC SAP: 8. NAIC SAP (5-6-7=8) SSAP # F/S Page F/S Line # XXX XXX XXX 2019 2018 $337,807,328 $650,382,086 $0 $0 XXX XXX XXX $0 $337,807,328 $0 $650,382,086 XXX XXX XXX $3,759,565,116 $3,416,546,681 $0 $0 $0 $3,759,565,116 $0 $3,416,546,681 XXX XXX XXX B. Use of Estimates in the Preparation of the Financial Statements There have been no significant changes since the fiscal year 2018 filing. C. Accounting Policies 1. There have been no significant changes to the accounting policy related to short-term investments since the fiscal year 2018 filing. 2. Bonds rated 1 and 2 by the NAIC are stated at cost adjusted for amortization of premiums and accretion of discounts using the scientific amortization method. Bonds rated 3 through 6 are carried at the lower of amortized cost or fair value with the change recorded in capital and surplus, net of applicable taxes. Prepayment assumptions are determined by using broker data. The Company holds one Securities Valuations Office (SVO)-Identified bond ETF reported on Schedule D-1. The ETF is reported at fair value. Declines in the fair value of invested assets below cost are compiled on a monthly basis and reviewed quarterly to assess whether any other-than-temporary impairment loss should be recorded. Various thresholds are used to identify those securities which are at the greatest risk of an other than temporary impairment. 3. There have been no significant changes to the accounting policy related to common stock since the fiscal year 2018 filing. 4. There have been no significant changes to the accounting policy related to preferred stock since the fiscal year 2018 filing. The Company does not hold affiliated preferred stock. 5. The Company does not have any mortgage loans. Q10 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina 6. Mortgage-backed and other asset-backed securities rated 1 and 2 by the NAIC are adjusted for unamortized premiums and discounts, which are amortized using the scientific method over the estimated remaining term of the securities, adjusted retrospectively for changes in anticipated prepayments. For loan-backed or structured securities, factors considered by management in determining whether an other-thantemporary impairment exists include the Company’s stated intent to not sell, the Company’s ability to hold such investments until the fair value recovers, and the discounted cash flows of the security based on the yield at the date of acquisition. If the Company intends to sell or if the Company does not have the ability and intent to hold the security for a period of time sufficient to recover its amortized cost basis, an other-than-temporary impairment exists, and the security is written down to fair value with the amount of the write-down recorded as a realized loss. If the Company does not intend to sell the security and has the ability and intent to hold the security for a period of time sufficient to recover the amortized cost basis, the Company calculates the cash flows expected to be collected. In this calculation, the Company compares the present value of cash flows expected to be collected, discounted at the security’s effective interest rate at date of purchase, to the amortized cost basis. If the present value of cash flows is less than the amortized cost basis, a realized loss is recorded for the difference. The present value of cash flows then becomes the new cost basis. 7. There have been no significant changes in the accounting policy related to wholly-owned subsidiaries.. 8. There have been no significant changes the accounting policy related to limited partnerships since the fiscal year 2018 filing. 9. The Company does not have derivative instruments. 10. There have been no significant changes related to the methodology used in the premium deficiency calculation. 11. There have been no significant changes the accounting policy related to claims and claims adjustment expenses since the fiscal year 2018 filing. 12. The Company has not modified its capitalization policy from the prior period. 13. There have been no significant changes to the method used to estimate pharmaceutical rebates since the fiscal year 2018 filing. D. Going Concern At March 31, 2019, as required by SSAP No, 1, Accounting Policies, Risk and Uncertainties, and other Disclosures, the Company has assessed its ability to continue as a going concern and is unaware of any conditions or events that create substantial doubt regarding its ability to do so. 2. Accounting Changes and Corrections of Errors There have been no significant changes since the fiscal year 2018 filing. 3. Business Combinations and Goodwill A. Statutory Purchase Method There have been no significant changes since the fiscal year 2018 filing. B. Statutory Mergers There have been no significant changes since the fiscal year 2018 filing. C. Assumption Reinsurance The Company has not assumed any reinsurance related to statutory purchase or mergers since the fiscal year 2018 filing. D. Impairment Loss There have been no significant changes since the fiscal year 2018 filing. The Company did not recognize any impairment losses. 4. Discontinued Operations The Company did not have any discontinued operations during the year. A. Discontinued Operations Disposed of or Classified as Held for Sale. (1) Not Applicable. (2) Not Applicable. Q10.1 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina (3) Not Applicable. (4) Not Applicable. B. Change in the Plan of Sale of Discontinued Operations Not Applicable. C. Nature of Any Significant Continuing Involvement with Discontinued Operations After Disposal Not Applicable. D. Equity Interest Retained in the Discontinued Operation After Disposal Not Applicable. 5. Investments A. Mortgage Loans, including Mezzanine Real Estate Loans The Company did not have any mortgage or mezzanine real estate loans. (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable (5) Not applicable (6) Not applicable (7) Not applicable (8) Not applicable (9) Not applicable B. Debt Restructuring The Company did not have any debt restructuring in which it is a creditor. (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable C. Reverse Mortgages The Company did not have any reverse mortgages. (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable Q10.2 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina D. Loan-Backed Securities (1) Prepayment assumptions for mortgage-backed/loan-backed and structured securities were obtained from brokerdealer survey values or internal estimates. (2) The Company did not have any other than impaired loan-backed securities for the period ended March 31, 2019. (3) Loan-backed securities with a recognized other-than-temporary impairment, currently held by the Company, as the present value of cash flows expected to be collected is less than the amortized cost basis of the securities are as follows as of March 31, 2019: 1 CUSIP None 2 Book/Adjusted Carrying Value Amortized Cost Before Current Period OTTI $- 3 Present Value of Projected Cash Flows $- 4 5 6 7 Amortized Cost Recognized Other- After Other-ThanDate of financial than-Temporary Temporary Fair Value at statement Where Impairment Impairment time of OTTI Reported $$$$- (4) All impaired securities (fair value is less than cost or amortized cost) for which an other-than-temporary impairment has not been recognized in earning as a realized loss (including securities with a recognized otherthan-temporary impairment for non-interest related declines when a non-recognized interest related impairment remains): A. The aggregate amount of unrealized losses: 1. 2. Less than 12 Months 12 Months or Longer B. The aggregate related fair value of securities with unrealized losses: 1. Less than 12 Months 2. 12 Months or Longer $195,638 $3,673,291 $73,447,894 $236,836,289 (5) For loan-backed or structured securities, factors considered by management in determining whether an otherthan-temporary impairment exists include the Company’s stated intent to not sell, the Company’s ability to hold such investments until the fair value recovers, and the discounted cash flows of the security based on the yield at the date of acquisition. If the Company intends to sell or if the Company does not have the ability and intent to hold the security for a period of time sufficient to recover its amortized cost basis, an other-than-temporary impairment exists, and the security is written down to fair value with the amount of the write-down recorded as a realized loss. If the Company does not intend to sell the security and has the ability and intent to hold the security for a period of time sufficient to recover the amortized cost basis, the Company calculates the cash flows expected to be collected. In this calculation, the Company compares the present value of cash flows expected to be collected, discounted at the security’s effective interest rate at date of purchase, to the amortized cost basis. If the present value of cash flows is less than the amortized cost basis, a realized loss is recorded for the difference. The present value of cash flows then becomes the new cost basis. E. Dollar Repurchase Agreements and/or Securities Lending Transactions The Company did not have any Repurchase Agreements and/or Securities Lending Transactions. (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable (5) Not applicable (6) Not applicable (7) Not applicable F. Repurchase Agreements Transactions Accounted for as Secured Borrowing The Company did not have any Repurchase Agreements Transactions Accounted for as Secured Borrowing. (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable (5) Not applicable (6) Not applicable (7) Not applicable (8) Not applicable Q10.3 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina (9) Not applicable (10) Not applicable (11) Not applicable G. Reverse Repurchase Agreements Transactions Accounted for as Secured Borrowing The Company did not have any Reverse Repurchase Agreements Transactions Accounted for as Secured Borrowing. (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable (5) Not applicable (6) Not applicable (7) Not applicable (8) Not applicable (9) Not applicable (10) Not applicable H. Repurchase Agreements Transactions Accounted for as a Sale The Company did not have any Repurchase Agreements Transactions Accounted for as a Sale. I. (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable (5) Not applicable (6) Not applicable (7) Not applicable (8) Not applicable (9) Not applicable Reverse Repurchase Agreements Transactions Accounted for as a Sale The Company did not have any Reverse Repurchase Agreements Transactions Accounted for as a Sale. J. (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable (5) Not applicable (6) Not applicable (7) Not applicable (8) Not applicable Real Estate (1) The Company has not recognized any impairment losses related to real estate. (2) The Company has not experienced changes to a plan of sale for an investment in real estate. (3) The Company does not hold real estate investments with participating mortgage loan features. (4) The Company did not engage in retail land sales operations. (5) The Company does not hold real estate investments with participating mortgage loan features. K. Investment in Low-Income Housing Tax Credits (LIHTC) The Company did not have any LIHTC investments. (1) Not applicable Q10.4 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina (2) Not applicable (3) Not applicable (4) Not applicable (5) Not applicable (6) Not applicable (7) Not applicable L. Restricted Assets (1) On deposit with government authorities as required by law: Restricted Asset Category a. Subject to contractual obligation for which liability is not shown b. Collateral held under security lending agreements c. Subject to repurchase agreements d. Subject to reverse repurchase agreements e. Subject to dollar repurchase agreements f. Subject to dollar reverse repurchase agreement g. Placed under option contracts h. Letter stock or securities restricted as to sale – excluding FHLB capital stock i. FHLB capital stock j. On deposit with states k. On deposit with other regulatory bodies l. Pledged as collateral to FHLB (including assets backing funding agreements) m. Pledged as collateral not captured in order categories n. Other restricted assets o. Total Restricted Assets Percentage Gross Restricted to Total Assets Percentage Admitted restricted to Total Admitted Assets Total gross Restricted from Current Year Total Gross Restricted From Prior Year Increase/ (Decrease) (1 minus 2) Total Current Year Admitted Restricted - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 1,000,004 - 500,996 - 499,008 - 1,000,004 - 0.0 - 0.0 - - - - - - - - - - - - - $1,000,004 $500,996 $499,008 $1,000,004 0.0 0.0 (2) The Company does not have any other assets pledged as collateral not captured in other categories. (3) The Company does not have any other restricted assets. (4) The Company does not have collateral that is reflected as assets. M. Working Capital Finance Investments (1) The Company did not have any working capital finance investments. (2) Not applicable (3) Not applicable N. Offsetting and Netting of Assets and Liabilities The Company did not offset or net any assets and liabilities. O. Structured Notes Q10.5 Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the The Company did not have joint and several liabilities. P. 5* Securities The Company did not have any 5* securities. Q. Short Sales (1) Not applicable (2) Not applicable R. Prepayment Penalty and Acceleration Fees The Company did not have any prepayment penalties or acceleration fees. 6. 7. Joint Ventures, Partnerships and Limited Liability Companies A. The Company has no investments in Joint Ventures, Partnerships or, Limited Liability Companies that exceed 10% of its admitted assets. B. The Company did not recognize any impairment write down for investments in joint ventures, partnerships and limited liability companies during the statement periods. Investment Income a. Due and accrued income are excluded from surplus on the following basis: All investment income due and accrued with amounts that are over 90 days past due. b. 8. The total amount excluded was $0. Derivative Instruments The Company does not hold any derivative instruments. 9. Income Taxes A. The changes in components of the net deferred tax asset (DTA) recognized in the Company’s Statement of Assets, Liabilities, Capital and Surplus at March 31, 2019 are as follows: Change $4,053,126 Deferred tax liabilities – capital B. The Company had no deferred tax liabilities that are not recognized. C. Current income taxes incurred consist of the following major components: 03/31/19 $62,655,224 Federal income taxes incurred a. The changes in tax effects of temporary differences that give rise to significant portions of the deferred tax assets and deferred tax liabilities are as follows: Change Deferred tax liabilities Stocks $4,053,126 D. The provision for federal income taxes incurred is different from that which would be obtained by applying the statutory federal income tax rate to income before income taxes. The significant items causing this difference are as follows: Q10.6 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina Provision computed at statutory rate Other (includes tax exempt income) Total Federal income taxes incurred Change in net deferred income taxes Total statutory income taxes Mar 31, 2019 $71,304,975 (8,649,743) Effective Tax Rate 21.0% -2.5% 62,655,232 18.5% 62,655,232 $62,655,232 18.5% 0.0% 18.5% E. The Company had no net capital loss carryforwards and no federal income tax net operating loss (NOL) carryforwards. The following are income taxes incurred in the current and prior years that will be available for recoupment in the event of future net losses: Ordinary $62,655,224 $183,773,246 Year ended 2019 Year ended 2018 F. Capital $16,192,607 $8,562,617 Total $78,847,831 $192,335,863 The Company's federal income tax return is consolidated with the following entities: Corium, LLC (Corium) Corium II, LLC (Corium II) NobleHealth, Inc. Noble Benefit Services, LLC Mosaic Group Services, LLC ACS Benefit Services, LLC Mosaic Health Solutions, LLC Topaz Shared Services, LLC Blue Cross and Blue Shield of North Carolina Senior Health NC Health Affiliates, LLC Beacon Health Holdings, Inc. Momentum Health, LLC Momentum Health Partners, Inc. Current taxes are allocated among all affiliated companies based on a written tax sharing agreement. Allocation of taxes is made primarily on a separate return basis. Payment for losses and other tax items occurs once a company could have utilized the items in a separate return and the group has utilized the items in the consolidated return. This is referred to as the wait-and-see method. Inter-company balances are settled annually within two months of filing the consolidated return. G. Not applicable 10. Information Concerning Parent, Subsidiaries and Affiliates and Other Related Parties A., B. & C. At March 31, 2019 and December 31, 2018, the Company earned management fees of $1,116,148 and $3,708,432, from its subsidiaries. The Company has agreed to provide its subsidiaries, administrative services, which include but are not limited to management duties, production of business and servicing of the subsidiaries business. At March 31, 2019 and December 31, 2018, the Company also paid management fees of $1,915,818 and $4,623,468 to its subsidiaries for services primarily related to certain administrative service agreements. D. At March 31, 2019 and December 31, 2018, the Company reported $12,533,569 and $9,107,952 as amounts due from its subsidiaries, respectively. At March 31, 2019 and December 31, 2018, the Company reported $10,156,633 and $7,251,854 as amounts due to its subsidiaries, respectively. These inter-company transactions are settled monthly. E. See note 14 for disclosure related to affiliate guarantee. F. The Company has insurance and other cost sharing arrangements with ACS. The Company’s portion of the insurance cost sharing arrangement with ACS was $ 2,956 and $11,825 for the periods ended March 31, 2019 and December 31 2018. In addition, ACS paid Blue Cross NC $17,985 and $71,237 as additional amounts due under an administrative services agreement and Blue Cross NC paid ACS $14,700 and $26,209 for electronic data interchange services for the periods ended March 31, 2019 and December 31, 2018, respectively. G. The Company is organized as a taxable not-for-profit insurance company; therefore, no outstanding shares exist at March 31, 2019 or December 31, 2018. H. The Company had no ownership in any upstream intermediate entities or ultimate parent companies owned. Q10.7 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina I. The Company owns 100% interest in Corium, Corium II, Senior Health, Beacon, MHP, Momentum Health, and NobleHealth whose carrying values are less than 10% of the Company’s admitted assets. The Company carries Senior Heath at the subsidiaries’ statutory equity. The Company carries NobleHealth at GAAP audited equity. The Company carries Beacon at GAAP unaudited equity. MHP and Momentum Health valuation are yet to be determined. Corium and Corium II are recorded on a consolidated basis. J. The Company did not recognize any impairment write down for its investments in subsidiaries, controlled or affiliated companies for the periods ended March 31, 2019 and December 31, 2018. K. The Company has no investment in a foreign insurance subsidiary. L. The Company utilized the look-through approach in valuing its investment in Beacon at $5,164,544. Beacon’s financial statements are not audited. M. All SCA Investments 1. Balance Sheet Value (Admitted and Nonadmitted) All SCAs (Except 8bi Entities) There have been no significant changes since the fiscal year 2018 filing. 2. NAIC Filing Response Information There have been no significant changes since the fiscal year 2018 filing. N. Investment in Insurance SCAs 1. There have been no significant changes since the fiscal year 2018 filing 2. There have been no significant changes since the fiscal year 2018 filing 3. Senior Health is not required to file an HRBC at this time. 11. Debt A. There have been no significant changes since the fiscal year 2018 filing B. FHLB (Federal Home Loan Bank) Agreements 1. The Company is a member of the FHLBA. Through its membership, the Company has the opportunity to conduct business activity with the FHLBA. The Company has determined the actual/estimated maximum borrowing capacity as $200,000,000. The Company calculated this amount in accordance with current debt policy. The Company’s membership stock is eligible for redemption. 2. FHLBA Capital Stock a. Aggregate Totals 1. Current Year (a) (b) (c) (d) (e) (f) 2. Total 4,689,500 4,689,500 $200,000,000 Prior Year-end (a) (b) (c) (d) (e) (f) b. Membership Stock – Class A Membership Stock – Class B Activity Stock Excess Stock Aggregate Total Actual or estimated borrowing capacity as determined by the insurer Membership Stock – Class A Membership Stock – Class B Activity Stock Excess Stock Aggregate Total Actual or estimated borrowing capacity as determined by the insurer Total 4,689,500 4,689,500 $200,000,000 Membership Stock (Class A and B) Eligible and Not Eligible for redemption 1. Current Year Total Membership Stock 1. Class A - 2. Not Eligible for Redemption - Q10.8 3. Less Than 6 Months - Eligible for Redemption 4. 5. 6. 6 Months to 1 to Less 3 to 5 Less than 1 than 3 Years Years Year - Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina 2. 3. 4,689,500 - - - - 4,689,500 Collateral Pledged to FHLBA a. Amount Pledged to FHLBA 1. 2. b. 1. Fair Value 2. Carry Value - - 3. Amount Borrowed at time of Maximum Collateral - - - - 1. Fair Value 2. Carry Value - - 3. Amount Borrowed at time of Maximum Collateral - - - - Current Year Maximum Collateral Pledged Prior Year-end Total Maximum collateral Pledged Maximum amount Pledged During Reporting Period 1. 2. 4. Class B Current Year Maximum Collateral Pledged Prior Year-end Total Maximum collateral Pledged Borrowing from FHLBA a. Amount as of the Reporting Date 1. Current Year (a) Debt (b) Funding Agreements (c) Other (d) Aggregate Total 2. Total - Funding Agreements Reserves Established XXX XXX - Maximum Amount During reporting Period (Current Year) 1. 2. 3. 4. c. Funding Agreements Reserves Established XXX XXX - Prior Year-end (a) Debt (b) Funding Agreements (c) Other (d) Aggregate Total b. Total - Total - Debt Funding Agreements Other Aggregate Total FHLB – Prepayment Obligations 1. 2. 3. Debt Funding Agreements Other Does the company have prepayment obligations under the following arrangements (YES/NO)? No No No 12. Retirement Plans, Deferred Compensation, Post-Employment Benefits and Compensated Absences and Other Postretirement Benefit Plans A. Defined Benefit Plan (1) Change in Benefit Obligation Q10.9 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina a. There have been no significant changes since the fiscal year 2018 filing. b. There have been no significant changes since the fiscal year 2018 filing. Change in Plan Assets (2) There have been no significant changes since the fiscal year 2018 filing. Funded Status (3) There have been no significant changes since the fiscal year 2018 filing. Components of net periodic benefit cost (4) Pension Benefits 2019 2018 a b c d e f g Service cost Interest cost Expected return on plan assets Expense Load Amortization of actuarial (gain)/loss Amortization of prior service cost Gains or losses recognized due to a settlement, curtailment, or special termination benefit. h Total net periodic benefit cost Postretirement Benefits 2019 2018 $1,500,000 17,959,096 (25,004,182) 11,102,813 - $1,550,000 16,852,857 (24,193,193) 12,545,207 - $1,367,994 4,434,749 (3,252,147) 55,050 2,844,029 $1,779,167 4,175,340 (3,663,064) 526,475 2,844,029 $5,557,727 $6,754,871 $5,449,675 228,031 $5,889,978 (5) Amounts in unassigned funds (surplus) recognized as compnents of net peridoc benefit cost. There have been no significant changes since the fiscal year 2018 filing. (6) Amounts in unassigned funds (surplus) expected to be recognized in the next fiscal year as components of net periodic benefit cost. There have been no significant changes since the fiscal year 2018 filing. (7) Amounts in unassigned funds (surplus) that have not yet been recognized as components of net periodic benefit cost. There have been no significant changes since the fiscal year 2018 filing. (8) There have been no significant changes since the fiscal year 2018 filing. (9) There have been no significant changes since the fiscal year 2018 filing. (10) There have been no significant changes since the fiscal year 2018 filing. (11) There have been no significant changes since the fiscal year 2018 filing. (12) There have been no significant changes since the fiscal year 2018 filing. (13) There have been no significant changes since the fiscal year 2018 filing. (14) There have been no significant changes since the fiscal year 2018 filing. (15) There have been no significant changes since the fiscal year 2018 filing. (16) There have been no significant changes since the fiscal year 2018 filing. (17) There have been no significant changes since the fiscal year 2018 filing. (18) There have been no significant changes since the fiscal year 2018 filing. (19) There have been no significant changes since the fiscal year 2018 filing. (20) There have been no significant changes since the fiscal year 2018 filing. (21) There have been no significant changes since the fiscal year 2018 filing. B. Investment Plan Policies for Plan Assets Q10.10 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina There have been no significant changes since the fiscal year 2018 filing. C. Fair Value Measurement of Plan Assets There have been no significant changes since the fiscal year 2018 filing. D. Rate of Return on Assets Assumption There have been no significant changes since the fiscal year 2018 filing. E. Defined Contribution Plans There have been no significant changes since the fiscal year 2018 filing. F. Multiemployer Plans Not Applicable G. Consolidated/Holding Company Plans Not Applicable H. Post-Employment Benefits and Compensated Absences There have been no significant changes since the fiscal year 2018 filing. I. Impact of Medicare Modernization Act on Postretirement Benefits (1) There have been no significant changes since the fiscal year 2018 filing. (2) Not applicable. (3) Not applicable. 13. Capital and Surplus, Shareholders’ Dividend Restrictions and Quasi-Reorganizations (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable (5) Not applicable (6) Not applicable (7) Not applicable (8) Not applicable (9) The Company does not have any special surplus funds as of March 31, 2019. Enacted on January 22, 2018, along with continuing resolution legislation, H.R. 195, Division D – Suspension of Certain Health-Related Taxes, §4003, suspends collection of the health insurers tax for the 2019 calendar year only. (10) The portion of unassigned funds (surplus) represented or reduced by cumulative unrealized gains and losses were ($26,988,958) and ($273,547,398) in March 31, 2019 and December 31, 2018, respectively. (11) Not applicable (12) Not applicable. (13) Not applicable. 14. Liabilities, Contingencies and Assessments A. Contingent Commitments There have been no significant changes since the fiscal year 2018 filing B. Assessments 1. There have been no significant changes since the fiscal year 2018 filing Q10.11 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina 2. There have been no significant changes since the fiscal year 2018 filing C. Gain Contingencies The Company does not have any material gain contingencies as of March 31, 2018 and December 31, 2018. D. Claims related extra contractual obligation and bad faith losses stemming from lawsuits The Company did not pay any amounts to settle claims related to extra contractual obligations or bad faith claims stemming from lawsuits. E. Joint and Several Liabilities The Company did not have joint and several liabilities as of March 31, 2018 and December 31, 2018. All Other Contingencies We are regularly involved in litigation, both as a defendant and as a plaintiff, but primarily as a defendant. Litigation naming us as a defendant ordinarily arises out of our business operations as a health services organization and our investment activities. Some of the lawsuits may be class actions, or purport to be, and some may include claims for unspecified or substantial punitive and treble damages. We may discuss such litigation in one of three ways. We accrue a charge to income and disclose legal matters for which the chance of loss is probable and for which the amount of loss can be reasonably estimated. We may disclose contingencies for which the chance of loss is reasonably possible and provide an estimate of the possible loss or range of loss or a statement that such an estimate cannot be made. Finally, we may voluntarily disclose loss contingencies for which the chance of loss is remote in order to provide information concerning matters that potentially expose us to possible losses. The Company is involved in litigation (In Re: Blue Cross Blue Shield Antitrust Litigation (United States District Court, Northern District of Alabama)) which is a multi-district case that consolidates multiple state and national class actions against various of the Company, the BCBSA and multiple other Blue Cross and Blue Shield plans. The Company is a named defendant in forty-three of the consolidated cases (twenty-nine provider cases and fourteen subscriber cases). The cases all allege an ongoing conspiracy in violation of the Sherman Antitrust Act among the Blues and the BCBSA and seek (1) a permanent injunction prohibiting enforcement of any agreements which restrict the BCBSA member operating territories; (2) treble damages for (a) alleged artificially inflated premiums in the case of subscribers and (b) alleged suppressed provider compensation in the case of providers and (3) attorneys’ fees and costs. Additionally, one of the consolidated cases against the Company makes antitrust allegations based on most favored nations (MFN) clauses in the Company’s provider contracts and seeks reformation of the Company’s provider contracts to strike MFN clauses and monetary damages. The case is now in the discovery stage. The Company is vigorously defending the case. The Company is also a defendant in litigation (Susan Sykes d/b/a Advanced Chiropractic, et al. v. BCBSNC, et al). This class action was filed May 22, 2015 against the Company and other carriers, CIGNA, Medcost and Healthgram who use Health Network Solutions, Inc. (HNS) to provide their chiropractic network. The complaint alleges a purported plaintiff class of all chiropractors who practiced in North Carolina from 2005 to the present and asserts claims for (1) declaratory judgment invalidating the agreements between HNS and the individual carriers; (2) price fixing, monopsony and monopoly; (3) unfair and deceptive trade practices; (4) illegal conspiracy in restraint of trade; (5) breach of fiduciary duty; and (6) punitive damages. Generally, the plaintiffs contend that the carriers’ agreements with HNS result in underpayment to chiropractors and/or illegal exclusion of chiropractors from the carriers’ provider networks. The case was originally filed in North Carolina state court, but has been transferred to the North Carolina Business Court to be consolidated with a prior pending action by the same plaintiffs against HNS. All defendants filed Motions to Dismiss on September 25, 2015 which were allowed and all claims dismissed on April 5, 2018. The Plaintiffs appealed to the North Carolina Supreme Court and oral argument was heard March 5, 2019. The Company is now awaiting the North Carolina Supreme Court decision on the appeal. The Company is vigorously defending the case. The Company is also a defendant in United States of America, Ex Rel Dr. Susan Nedza v. American Imaging Management, Inc. et. al., pending in the United States District Court for the Northern District of Illinois. On December 21, 2018, Dr. Susan Nedza, a former employee of American Imaging Management, Inc. (AIM) filed a qui tam action against AIM and several Blue Cross and Blue Shield plans, including the Company, alleging on behalf of the United States that the defendants have caused false and fraudulent health care claims to be made under Medicare Advantage plans offered by the defendant Blue plans for which AIM provided utilization management services and have defrauded the federal government in violation of the federal False Claims Act. The Company was served with this complaint on January 3, 2018. The Company filed a Motion to Dismiss the Complaint on March 18, 2018, which was allowed on March 29, 2019 with leave to file an amended complaint which is now due May 24, 2019. The Company expects the Plaintiff to file an amended complaint. The Company is vigorously defending this case. The Company is also a defendant in Lifebrite Hospital Group of Stokes, LLC v. Blue Cross and Blue Shield of North Carolina, originally filed in North Carolina state court, but removed by the Company to United Stated District Court for the Middle District of North Carolina. On March 15, 2018, the Company was served with a summons and complaint filed by Lifebrite Hospital Group of Stokes, LLC, which is also known as Stokes County Hospital in Danbury, North Carolina. The complaint alleges claims for breach of contract and unjust enrichment arising out of denial of urine drug testing claims filed by Stokes County Hospital. The Company filed its Answer and Counterclaims on May 16, 2018 and filed an Amended Answer and Counterclaims on June 27, 2018. The Plaintiff filed a Motion to Dismiss the counterclaims and Motion to Remand to state court on July 20, 2018, which are Q10.12 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina currently pending. The Company is vigorously defending this matter and vigorously prosecuting its counterclaims against the plaintiff. Additionally, the Company is also involved in various claims and legal actions arising in the ordinary course of business. However, management believes that proceedings arising in the ordinary course of business and those referenced above will not have a material adverse impact on the financial position of the Company. 15. Leases A. Lessee Operating Lease (1) a. The Company leases office space and certain office equipment under various non-cancelable operating leases. Rental expense was $3,071,084 and $4,834,615 for periods ended March 31, 2019 and December 31 2018, respectively. b. There have been no significant changes since the 2018 fiscal year filing. c. There have been no significant changes since the 2018 fiscal year filing. d. There have been no significant changes since the 2018 fiscal year filing. e. There have been no significant changes since the 2018 fiscal year filing. (2) There have been no significant changes since the fiscal year 2018 filing. (3) The Company is not involved in any sale-leaseback transactions. B. (1) For Operating Leases: There have been no significant changes since the fiscal year 2018 filing. (2) For leveraged Leases Not applicable 16. Information About Financial Instruments With Off-Balance Sheet Risk And Financial Instruments With Concentrations of Credit Risk The Company does not have any financial instruments with off-balance sheet risk. (1) Not applicable (2) Not applicable (3) Not applicable (4) Not applicable 17. Sale, Transfer and Servicing of Financial Assets and Extinguishments of Liabilities A. Transfers of Receivables Reported as Sales Not applicable B. Transfer and Servicing of Financial Assets Not applicable C. Wash Sales Not applicable Q10.13 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina 18. Gain or Loss to the Reporting Entity from Uninsured Plans and the Uninsured Portion of Partially Insured Plans A. ASO Plans The loss from operations from ASO uninsured plans and the uninsured portion of partially insured plans were as follows during 2019: Uninsured Portion of Partially Insured Plans ASO Uninsured Plans Net reimbursement for administrative expenses (including administrative fees) in excess of actual expenses Total net other income or expenses (including interest paid to or received from plans) Net loss from operations Total claim payment volume Total ASO $ - $(3,904,670) - $(3,904,670) $(3,904,670) $ - $(3,904,670) $588,941,070 $ - $588,941,070 Administrative fees incurred under this plan were $27,065,890 during 2019. B. ASC Plans The loss from operations from ASC uninsured plans and the uninsured portion of partially insured plans were as follows during 2019: Uninsured Portion of Partially Insured Plans ASC Uninsured Plans Gross reimbursement for medical cost incurred (including other BlueCard claims) Gross administrative fees accrued Other income or expenses (including interest paid to or received from plans) $1,979,248,110 $ Total ASC - $1,979,248,110 96,172,380 - 96,172,380 - - - $2,075,420,490 Gross expenses incurred (claims and administrative) Total loss from operations 2,075,420,490 2,074,939,530 $480,960 $ - 2,074,939,530 - $480,960 C. Medicare or Similarly Structured Cost Based Reimbursement Contract The funds received and payments made for claims are treated as payments made by or to a partial self-insured plan since they are to be completely reconciled under the MMA of 2003. 1. Reinsurance subsidy cash receipts deposit from Centers for Medicare and Medicaid Services (CMS) net of claims incurred for the period ended March 31, 2019 is a receivable of $9,902,177. These cash receipts are subject to quarterly true up for actual claims incurred. 2. Low Income Subsidy cash deposits from CMS net of claims incurred for the period ended March 31, 2019 is a payable of $23,833,577. These cash receipts are subject to quarterly true up for actual claims incurred. 3. The Company has no recorded allowances and reserves for adjustment of recorded revenues as of March 31, 2019. 4. The Company has made no adjustment to revenue resulting from audit of receivables related to revenues recorded in the prior period. Q10.14 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina 19. Direct Premium Written/Produced by Managing General Agents/Third Party Administrators Name and Address Managing General Agent or Third Party Administrator Med-America Insurance Company, Pittsburgh, PA FEIN Number Exclusive Contract 34-0977231 Yes Types of Business Written Type of Authority Granted Total Direct Premiums Written/ Produced by Long Term Care P/U/R/C $192,792 C – Claims Payment CA - Claims Adjustment R – Reinsurance Ceding B – Binding Authority P – Premium Collection U – Underwriting 20. Fair Value Measurements A. (1) Fair Value Measurements at Reporting Date: March 31, 2019 Level I Cash Equivalents Mutual Funds Investments available-for-sale Unaffiliated common stock Unaffiliated preferred stock Other invested assets Total assets Level II Level III Net Asset Value (NAV) Total $220,938,197 $- $- $- $220,938,197 734,645,219 - 137,449,208 - 2,814,646 - 571,859,887 737,459,865 137,449,208 571,859,887 $955,583,416 $137,449,208 $2,814,646 $571,859,887 $1,667,707,157 (2) Fair Value Measurements in (Level 3) of the Fair Value Hierarchy Description Unaffiliated common stock Total Investments Beginning Balance at 1/1/2019 2,814,646 $2,814,646 Transfers into Level #3 Transfers out of Level #3 - Total Gains and Loss included in Income Total Gains and Loss included in Surplus $0 $0 Purchases - $- $- Issuances $- Sales Settlements $- $- $- - Ending Balance at 3/31/2019 $2,814,646 $2,814,646 There were no material transfers between Levels I, II or III during the year to date ended March 31, 2018 and December 31, 2018. B. Assets measured at Fair Value on a Nonrecurring Basis Non-financial assets and liabilities including long-lived assets and goodwill are recognized at fair value when they are considered to be other-than-temporarily impaired. There was no required fair value measurement for assets and liabilities measured at fair value on a non-recurring basis. C. Assets measured at Fair Value and Admitted Values The assets on the table below are located on the Statement of Assets, lines 1, 2, and 5 (cash is excluded). As of March 31, 2019 Financial Instrument Cash equivalents, and short term investments Bond securities Unaffiliated common stock Unaffiliated preferred stock Other invested assets Total Aggregate Fair Value $221,032,497 3,292,546,095 737,207,955 206,142,659 571,859,887 $5,028,789,093 Admitted Assets $221,032,497 3,225,955,205 737,207,955 204,113,263 571,859,887 $4,960,168,807 Level I $221,032,497 39,842,863 734,645,219 206,142,659 $1,201,663,238 Level II $3,252,703,232 $3,252,703,232 Level III $2,814,646 $2,814,646 Net Asset Value Not Practicable (NAV) (Carrying Value) $571,859,887 $571,859,887 $$- D. The carrying amounts reported in the Statements of Assets, Liabilities, Capital and Surplus, for cash, cash equivalents, investment income due and incurred, premiums receivable, and other receivables, amounts receivable relating to uninsured plans, income tax receivable, premiums received in advance, medical and other benefits payable, accounts payable and accrued expenses, and payable for securities approximate fair value because of the short term nature of these items. Non-financial instruments such as property and equipment, other current assets, deferred income taxes and certain financial instruments such as policy liabilities are excluded from the fair value disclosures. Therefore, the fair value amounts cannot be aggregated to determine our underlying economic value. Not Practicable to Estimate Fair Value: Q10.15 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina Investments available for sale Carrying Value Effective Int Rate Maturiy Date Explanation - - - - - E. The Company holds ownership interest in limited partnerships which include alternatives investments, private equity, and venture capital and real estate investments. The company carries these interests based on the underlying audited GAAP equity of the investee, adjusted for certain provisions as described by SSAP 48, Joint Ventures, Partnerships and Limited Liability Companies or NAV. Our limited partnership investments are not liquid and most of the funds do restrict our ability to sell. 21. Other Items A. Unusual or Infrequent Items The Company had no unusual or infrequent events or transactions. B. Troubled Debt Restructuring: Debtors The Company had no troubled debt restructurings. C. Other Disclosures On March 13, 2019, the Company announced a new strategic affiliation between Blue Cross NC and the Oregonbased insurer Cambia Health Solutions. The goal of the affiliation is to improve quality, lower costs, and deliver an exceptional experience for consumers. The strategic affiliation is subject to regulatory approval in five states. After the strategic affiliation is approved, Blue Cross NC will enter into a long-term management services agreement with Cambia that will allow the affiliation to adopt best-in-class management, administrative, operational, and other corporate services from both Blue Cross NC and Cambia. The affiliation will operate under a common management team, drawn from both companies, and share key management, administrative, operational, and other corporate services (e.g., HR, Legal, Finance, Information Technology, etc.). Headquarters will be in both Durham, NC, and Portland, OR. Mark Ganz, President and CEO of Cambia Health Solutions will serve as the new Executive Chair of Cambia’s Board of Directors and Patrick Conway will serve as Cambia’s new CEO. He will remain CEO of Blue Cross NC. Business Interruption Insurance Recoveries The Company had no business interruption recoveries recognized. D. State Transferable and Non-transferable Tax Credits (1) Carrying Value of Transferable and Non-transferable State Tax Credits Gross of any Related Tax Liabilities and Total Unused Transferable and Non-transferable State Tax Credits by State in Total. Description of State Transferable and Non-transferable Tax Credits Non-transferable Tax credits Total State Carrying Value Unused Amount NC $8,964,893 $8,964,893 $100,196,080 $100,196,080 (2) Method of Estimating Utilization of Remaining Transferable and Non-transferable State Tax Credits The Company estimated the utilization of the remaining transferable and non-transferable state tax credits by projecting future premium taking into account policy growth and rate changes, projecting future tax liability based on projected premium, tax rates and tax credits, and comparing projected future tax liability to the availability of remaining transferable and non-transferable state tax credits. (3) Impairment Loss The Company recognized an impairment loss of $0 related to the write-down as a result of impairment analysis of the carrying amount for state transferable and non-transferable tax credits. (4) State Tax Credits Admitted and Non-admitted A. Transferable B. Non-Transferable Total Admitted $$5,283,867 E. Subprime-Mortgage-Related Risk Exposure The Company did not have any subprime mortgage related risk. Q10.16 Total Non-admitted $$3,681,026 Statement as of March 31, 2019 of the F. Blue Cross and Blue Shield of North Carolina Retained Assets The Company did not have any retained assets. G. Insurance-Linked Securities (ILS) Contracts The Company did not have any ILS contracts. 22. Events Subsequent The Company’s management is not aware of any Type I or Type II events occurring subsequent to March 31, 2019, which may have a material effect on its financial condition. 23. Reinsurance A. Ceded Reinsurance Report There have been no significant changes since the fiscal year 2018 filing. B. Uncollectible Reinsurance There have been no significant changes since the fiscal year 2018 filing. C. Commutation of Ceded Reinsurance There have been no significant changes since the fiscal year 2018 filing. D. Certified Reinsurer Rating Downgraded or Status Subject to Revocation Not applicable 24. Retrospectively Rated Contracts & Contracts Subject to Redetermination A. Method Used to Estimate Accrued Retrospective Premium Adjustments There have been no significant changes since the fiscal year 2018 filing. B. Accrued Retrospective Premium Disclosure There have been no significant changes since the fiscal year 2018 filing. C. Net Premiums Written Disclosure There have been no significant changes since the fiscal year 2018 filing. D. Medical Loss Ratio Rebates Required Pursuant to the Public Health Service Act 1 2 3 4 5 Individual Small Group Employer Large Group Employer Other Categories with Rebates Total Prior Reporting Year (1) Medical loss ratio rebates incurred (2) Medical loss ratio rebates paid (3) Medical loss ratio rebates unpaid (4) Plus reinsurance assumed amounts (5) Less reinsurance ceded amounts (6) Rebates unpaid net of reinsurance $12,000,000 $12,000,000 XXX XXX XXX 1,500,000 1,500,000 XXX XXX XXX XXX XXX XXX 2,383,467 2,383,467 XXX XXX XXX $15,883,467 $15,883,467 $15,883,467 Current Reporting Year-to-Date (7) Medical loss ratio rebates incurred (8) Medical loss ratio rebates paid (9) Medical loss ratio rebates unpaid (10) Plus reinsurance assumed amounts (11) Less reinsurance ceded amounts (12) Rebates unpaid net of reinsurance $12,000,000 XXX XXX XXX (1,500,000) XXX XXX XXX XXX XXX XXX (200,000) $2,183,467 XXX XXX XXX (1,700,000) $14,183,467 $14,183,467 E. Risk-Sharing Provisions of the ACA (1) In 2019, the Company did write accident and health insurance premium that is subject to the ACA risk-sharing provision. (2) Impact of risk-sharing provision of the ACA on Admitted Assets, Liabilities and Revenue for the Current Year: a Permanent Risk Adjustment Program Assets Q10.17 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina 1. Premium adjustments receivable due to ACA Risk Adjustment (including high risk pool payments) Liabilities 2. Risk adjustment user fees payable for ACA Risk Adjustment 3. Premium adjustments payable due to ACA Risk Adjustment (including high risk pool payments) Operations (Revenue & Expense) 4. Reported as revenue in premium for accident and health contracts (written/collected) due to ACA risk Adjustment 5. Reported in expenses as ACA risk adjustment user fees (incurred/paid) Transitional Reinsurance Program Assets 1. Amounts recoverable for claims paid to ACA Reinsurance b $54,264,296 $408,264 $0 $0 $196,377 $0 2. Amounts recoverable for claims unpaid due to ACA Reinsurance (Contra Liability) 3. Amounts receivable relating to uninsured plans for contributions for ACA Reinsurance Liabilities 4. Liabilities for contributions payable due to ACA Reinsurance – not reported as ceded premium 5. Ceded reinsurance premiums payable due to ACA Reinsurance 6. Liabilities for amounts held under uninsured plans contributions for ACA Reinsurance Operations 7. Ceded reinsurance premiums due to ACA Reinsurance 8. Reinsurance recoveries (income statement) due to ACA Reinsurance payments or expected payments 9. ACA Reinsurance contributions – not reported as ceded premium Temporary Risk Corridors Program Assets 1. Accrued retrospective premium due to ACA Risk Corridors Liabilities 2. Reserve for rate credits or policy experience rating refunds due to ACA risk Corridors Operations 3. Effect of ACA Risk Corridors on net premium income (paid/received) 4. Effect of ACA Risk Corridors on change in reserves for rate credits c (3) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 Roll-forward of prior year ACA risk-sharing provisions for the following asset (gross of any nonadmission) and liability balance, along with the reasons for adjustments to prior year balance. Differences Adjustments Unsettled Balances as of the Reporting Date Received or Paid as of the Accrued during the Prior Year Current Year on Business Prior Year Accrued Cumulative Balance on Business Written Before Written Before December 31 Prior Year Accrued Less Less Payments To Prior Year To Prior Year from Prior Years December 31 of the Prior Year of the Prior Year Payments (Col 1-3) (Col 2-4) Balances Balances (Col 1-3+7) 1 2 3 4 5 6 7 8 9 10 Receivable (Payable) Receivable (Payable) Receivable (Payable) Receivable (Payable) Ref Receivable a. Permanent ACA Risk Adjustment Program 1 Premium adjustments receivable 41,000,000 2 Premium adustments (payable) 3 Subtotal ACA Permanent Risk Adjustment Program 41,000,000 b. Transitional ACA Reinsurance Program 1 Amounts recoverable for claims paid Amounts recoverable for claims unpaid 2 (contra liability) 3 Amounts receivable relating to uninsured plans 4 Liabilities for contributions payable due to ACA Reinsurane - not reported as ceded premium 5 Ceded reinsurance premiums payable 6 Liability for amounts held under uninsured plans 7 Subtotal ACA Transitional Reinsurance Program c. Temporary ACA Risk Corridors Program 1 Accrued retrospective premium 2 Reserve for rate credits or policy experience rating refunds 3 Subtotal ACA Risk Corridors Program d Total for ACA Risk Sharing Provisions - 534,711 - - 41,000,000 - (1,000,000) - - - - 41,000,000 - (1,000,000) - 816,059 - - 281,348 - - - - - 534,711 - 0 - 0 41,534,711 - - (281,348) - - - - - - - - - - - - - - - - - - 816,059 816,059 - (281,348) - (0) - (0) 40,718,652 - 281,348 0 (718,652) Explanations of Adjustments: a. (4) Adjustment is based on updated data Roll-forward of Risk Corridors Asset and Liability Balances by Program Benefit Year Q10.18 40,000,000 - - 40,000,000 - a (0) - - - - - - - - - - - - 0 - a Cumulative Balance from Prior Years (Col 2-4+8) 11 (Payable) b - (0) - (0) - - - (0) 40,000,000 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina Differences Received or Paid as of the Current Period on business Written For the Accred Less Accred Less Payments Payments Accrued As of December 31 Risk Corridors Program (Col 1 - 3) (Col 2 - 4) of the prior reporting year Year Risk Corridors Program Year: 2014 Accrued Retrospective premium Reserve for rate credits or policy experience rating refunds 2015 Accrued Retrospective premium Reserve for rate credits or policy experience rating refunds 2016 Accrued Retrospective premium Reserve for rate credits or policy experience rating refunds 2017 Accrued Retrospective premium Reserve for rate credits or policy experience rating refunds 2018 Accrued Retrospective premium Reserve for rate credits or policy experience rating refunds Balances Balances Cumulative Cumulative Balance Balance (Col 1-3+7) (Col 2-4+8) 1 2 3 4 5 6 7 8 9 10 Receivable (Payable) Receivable (Payable) Receivable (Payable) Receivable (Payable) Receivable (Payable) 0 - - - - - - - - - - - - - - - - - - - - - - Total for Risk Corridors (5) Unsettled Balances as of the Reporting Date Adjustments 0 - 0 - (0) - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - $0 $0 $0 $0 $0 $0 $0 $0 ($0) $0 ACA Risk Corridors Receivable as of Reporting date: (A) Risk Corridors Program Year Estimated Amount to be Filed or Final Amount Filed with CMS 2014 2015 2016 2017 2018 Total (B) (C) Non-Accrued Amounts for Amounts Impairment or Other received from Reasons CMS 147,474,968 215,313,094 18,159,126 380,947,188 122,779,619 215,313,094 18,159,126 $356,251,839 24,695,349 $24,695,349 (D)=(A)-(B)-(C) Asset Balance (Gross of Nonadmissions) - (E) (F)=(D)-(E) Non-admitted Amount Net Admitted Asset $0 $0 F. Change in Incurred Claims and Claim Adjustment Expenses a. Reserves as of December 31, 2018 were $669,515,357. As of March 31, 2019, $596,241,440 has been paid for incurred claims and claim adjustment expenses attributable to insured events of prior years. Reserves remaining for prior years of $145,936,778 as a result of re-estimation of unpaid claims and claim adjustment expenses principally on Comprehensive lines of business. Therefore, there has been a $3,726,206 unfavorable prior-year development (excluding change in pharmacy rebates) since December 31, 2018 to March 31, 2019, primarily an unfavorable claims development. b. There have been no significant changes in methodologies and assumptions used in calculating the liability for unpaid losses and loss adjustment expenses as of March 31, 2019. G. Intercompany Pooling Arrangements The Company had no intercompany pooling arrangements recognized in March 31, 2019. H. Structured Settlements Not applicable I. A. Health Care Receivables Pharmaceutical Rebate Receivables In accordance with SSAP No. 84, Certain Health Care Receivables and Receivables Under Government Insured Plans, the Company established $146,179,808 and $142,983,115 as pharmaceutical rebate receivables and admitted $69,217,385 and $69,081,220 at March 31, 2019 and December 31, 2018, respectively. The Company received a pharmaceutical rebate of $73,341,117 in the first quarter 2019 for receivables as of January through September of 2018. Q10.19 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina Estimated Pharmacy Rebates Reported In Financials Pharmacy Rebates Invoiced and Confirmed 3/31/2019 $67,125,894 12/31/2018 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Quarter B. Actual Rebates collected within 90 days Actual Rebates collected within 91 to 180 days Actual Rebates collected more than 180 days $67,125,894 $- $- $- $70,415,023 $66,790,882 $66,899,668 $62,946,973 $73,995,379 $67,333,012 $68,379,470 $64,633,651 $$$$- $$68,067,880 $67,784,540 $63,873,949 $$$594,930 $759,702 $61,715,422 $58,423,970 $56,319,307 $51,042,967 $67,608,905 $62,862,752 $63,441,887 $58,276,023 $$$$- $67,536,237 $62,502,520 $62,631,980 $57,430,534 $72,668 $360,232 $809,907 $845,490 Risk Share Receivables The Company estimates our risk sharing receivables by consulting with a 3rd party vendor with internal validation and review. As of March 31, 2019, respectively, the Company reported a receivable in the amount of $54,264,296 and a payable of $5,221,327. Calendar Year J. Risk Sharing Risk Sharing receivable as receivable as Estimated in Evaluation Period Estimated in the Current Year Ending the Prior Year Year 2016 $99,034,029 $165,000,000 2017 $165,000,000 $41,000,001 2018 $41,000,001 $40,000,000 2019 $40,000,000 $52,828,220 Actual Risk Sharing Risk Sharing Risk Sharing Amounts receivable receivable Not Received in Year Billed Billed Yet Billed $170,492,731 $170,492,731 $0 $40,000,000 $52,828,220 - Actual Risk Sharing amounts Received First Year Subsequent - Actual Risk Sharing amounts Received Second Year Subsequent - Actual Risk Sharing Amounts Received - All Other - Participating Policies The Company had no participating policies recognized in March 31, 2019 and December 31, 2018. K. Premium Deficiency Reserves The Company anticipates investment income as a factor in the premium deficiency calculation, in accordance with SSAP No. 54, Individual and Group and Health Contracts. Premium deficiency reserves as of both December 31, 2018 and December 31, 2018 was $0. Currently, we do not include anticipated investment income in the calculation, but the Company will evaluate and include it if the circumstances warranted us to do so. 2. Liability carried for premium deficiency reserves $ - 3. Date of most recent evaluation of this liability 03/31/2019 4. Was anticipated investment income utilized in the calculation? No L. Anticipated Salvage and Subrogation No Change. M. Contingency Reserve in Stockholders’ Equity Gross Premiums Total premiums, excluding reinsurance Add: Uncollected premiums PY Less: Uncollected premiums CY Premiums collected, excluding reinsurance $2,276,718,305 330,233,219 (318,028,057) $2,228,923,467 Contingency Reserve Calculation First $200,000 @ 4% Second $200,000 @ 2% Remaining amount @ 1% Total Blue Cross NC Contingency Reserve @ 12/31/2018 Q10.20 $8,000 4,000 22,885,235 $22,897,235 1,114,076,146 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina Blue Cross NC Contingency Reserve @ 03/31/2019 $1,136,973,381 N. Premium and Premium Equivalent Reporting The information below presents Blue Cross NC ratios based on premium and premium equivalents. Premium equivalents are administrative fees earned from the Company’s ASO and ASC Plans plus claims processed for this self-funded business. Medical loss, operating expense and net income ratios based on premiums and premium equivalents represent more complete financial ratios, as they include the total activities associated with the Company’s business. Cost containment expenses are included in the operating expense ratio and excluded from the medical loss ratio. Premium taxes are included in the operating expense ratio. Ratios and certain dollar amounts below were calculated based on amounts obtained from within the Annual Statement filing. Medical loss ratio (with premium equivalents) 86.2% Operating expense ratio (with premium equivalents) 8.9% Net income ratio (with premium equivalents) 6.5% Premium equivalent ratios above are calculated as a percentage of premiums and premium equivalents for medical loss and operating expense ratios, and a percentage of total revenue (premium, premium equivalents, other revenues, and net investment gains) for net income ratio. Premium and Premium Equivalents in 2019 are as follows: Premiums Net premium income Change in unearned premium reserves Total premium income Claims processed for self funded business ASO Plan ASC Plan Total claims processed for self funded business Administrative fees ASO Plan ASC Plan Total administrative fees Premium equivalents Total premiums and premium equivalents Other revenues (including BlueCard Access Fees) Net investment gains or (losses) Total revenues Claims Total hospital and medical Increase in reserves for life and accident and health contracts Total claims Claims processed for self funded business ASO Plan ASC Plan Total claims processed for self funded business Total claims (insured and self funded) Operating Expenses Claims adjustment expenses General administrative expenses Total operating expenses Operating expenses reimbursed through administrative fees ASO Plan ASC Plan Total operating expenses reimbursed through administrative fees Total operating expenses (insured and self funded) Net Income $2,289,772,173 ($13,053,868) 2,276,718,305 588,941,070 1,979,248,110 2,568,189,180 23,157,490 96,172,380 119,329,870 2,687,519,050 $4,964,237,355 $42,890,355 $105,397,210 $5,112,524,920 $1,711,509,207 ($1,595,910) 1,709,913,297 588,941,070 1,979,248,110 2,568,189,180 $4,278,102,477 $142,486,676 $178,401,943 320,888,619 23,157,490 96,172,380 119,329,870 $440,218,489 $337,807,328 Q10.21 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina GENERAL INTERROGATORIES PART 1 - COMMON INTERROGATORIES GENERAL 1.1 Did the reporting entity experience any material transactions requiring the filing of Disclosure of Material Transactions with the State of Domicile, as required by the Model Act? 1.2 If yes, has the report been filed with the domiciliary state? 2.1 Has any change been made during the year of this statement in the charter, by-laws, articles of incorporation, or deed of settlement of the reporting entity? 2.2 If yes, date of change: 3.1 Yes [ ] Yes [ ] No [ X ] No [ ] Yes [ ] No [ X ] Is the reporting entity a member of an Insurance Holding Company System consisting of two or more affiliated persons, one or more of which is an insurer? If yes, complete Schedule Y, Parts 1 and 1A. Yes [ X ] No [ ] 3.2 Have there been any substantial changes in the organizational chart since the prior quarter end? Yes [ X ] No [ ] 3.3 If the response to 3.2 is yes, provide a brief description of those changes. Blue Cross and Blue Shield of North Carolina filed a disclaimer of affiliation for Momentum Health Partners, LLC effective February 5, 2018. The NCDOI approved the disclaimer on April 3, 2019. 3.4 Is the reporting entity publicly traded or a member of a publicly traded group? 3.5 If the response to 3.4 is yes, provide the CIK (Central Index Key) code issued by the SEC for the entity/group. 4.1 Has the reporting entity been a party to a merger or consolidation during the period covered by this statement? If yes, complete and file the merger history data file with the NAIC for the annual filing corresponding to this period. 4.2 If yes, provide name of entity, NAIC Company Code, and state of domicile (use two letter state abbreviation) for any entity that has ceased to exist as a result of the merger or consolidation. 1 No [ X ] Yes [ ] No [ X ] 2 NAIC Company Code Name of Entity 5. Yes [ ] If the reporting entity is subject to a management agreement, including third-party administrator(s), managing general agent(s), attorney-in-fact, or similar agreement, have there been any significant changes regarding the terms of the agreement or principals involved? If yes, attach an explanation. Yes [ ] 3 State of Domicile No [X ] 6.1 State as of what date the latest financial examination of the reporting entity was made or is being made. 12/31/2016 6.2 State the as of date that the latest financial examination report became available from either the state of domicile or the reporting entity. This date should be the date of the examined balance sheet and not the date the report was completed or released. 12/31/2016 6.3 State as of what date the latest financial examination report became available to other states or the public from either the state of domicile or the reporting entity. This is the release date or completion date of the examination report and not the date of the examination (balance sheet date). 06/20/2018 6.4 N/A [ ] By what department or departments? North Carolina Department of Insurance 6.5 Have all financial statement adjustments within the latest financial examination report been accounted for in a subsequent financial statement filed with Departments? Yes [ X ] No [ ] N/A [ ] 6.6 Have all of the recommendations within the latest financial examination report been complied with? Yes [ X ] No [ ] N/A [ ] 7.1 Has this reporting entity had any Certificates of Authority, licenses or registrations (including corporate registration, if applicable) suspended or revoked by any governmental entity during the reporting period? Yes [ ] No [ X ] Yes [ ] No [ X ] Yes [ ] No [ X ] 7.2 If yes, give full information: 8.1 Is the company a subsidiary of a bank holding company regulated with the Federal Reserve Board? 8.2 If response to 8.1 is yes, please identify the name of the bank holding company. 8.3 Is the company affiliated with one or more banks, thrifts or securities firms? 8.4 If the response to 8.3 is yes, please provide below the names and location (city and state of the main office) of any affiliates regulated by a federal regulatory services agency [i.e. the Federal Reserve Board (FRB), the Office of the Comptroller of the Currency (OCC), the Federal Deposit Insurance Corporation (FDIC) and the Securities Exchange Commission (SEC)] and identify the affiliate’s primary federal regulator]. 1 Affiliate Name 9.1 2 Location (City, State) 3 FRB Are the senior officers (principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions) of the reporting entity subject to a code of ethics, which includes the following standards? (a) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (b) Full, fair, accurate, timely and understandable disclosure in the periodic reports required to be filed by the reporting entity; (c) Compliance with applicable governmental laws, rules and regulations; (d) The prompt internal reporting of violations to an appropriate person or persons identified in the code; and (e) Accountability for adherence to the code. 4 OCC 5 FDIC 6 SEC Yes [ X ] No [ ] Yes [ ] No [ X ] Yes [ ] No [ X ] 9.11 If the response to 9.1 is No, please explain: 9.2 Has the code of ethics for senior managers been amended? 9.21 If the response to 9.2 is Yes, provide information related to amendment(s). 9.3 Have any provisions of the code of ethics been waived for any of the specified officers? Q11 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina GENERAL INTERROGATORIES PART 1 - COMMON INTERROGATORIES 9.31 If the response to 9.3 is Yes, provide the nature of any waiver(s). FINANCIAL 10.1 Does the reporting entity report any amounts due from parent, subsidiaries or affiliates on Page 2 of this statement? Yes [ X ] 10.2 If yes, indicate any amounts receivable from parent included in the Page 2 amount: No [ ] $ 0 INVESTMENT 11.1 Were any of the stocks, bonds, or other assets of the reporting entity loaned, placed under option agreement, or otherwise made available for use by another person? (Exclude securities under securities lending agreements.) Yes [ ] No [ X ] 11.2 If yes, give full and complete information relating thereto: 12. Amount of real estate and mortgages held in other invested assets in Schedule BA: $ 0 13. Amount of real estate and mortgages held in short-term investments: $ 0 14.1 Does the reporting entity have any investments in parent, subsidiaries and affiliates? Yes [ X ] No [ ] 14.2 If yes, please complete the following: 14.21 14.22 14.23 14.24 14.25 14.26 14.27 14.28 1 Prior Year End Book/Adjusted Carrying Value $ 0 0 202,288,801 0 0 0 $ 202,288,801 $ 0 Bonds Preferred Stock Common Stock Short-Term Investments Mortgage Loans on Real Estate All Other Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26) Total Investment in Parent included in Lines 14.21 to 14.26 above 2 Current Quarter Book/Adjusted Carrying Value $ 0 0 179,979,134 0 0 0 $ 179,979,134 $ 0 15.1 Has the reporting entity entered into any hedging transactions reported on Schedule DB? Yes [ ] 15.2 If yes, has a comprehensive description of the hedging program been made available to the domiciliary state? Yes [ ] No [ X ] No [ ] If no, attach a description with this statement. 16. For the reporting entity's security lending program, state the amount of the following as of current statement date: 16.1 Total fair value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2: $ 0 16.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2: $ 0 16.3 Total payable for securities lending reported on the liability page: $ 0 17. Excluding items in Schedule E-Part 3-Special Deposits, real estate, mortgage loans and investments held physically in the reporting entity's offices, vaults or safety deposit boxes, were all stocks, bonds and other securities, owned throughout the current year held pursuant to a custodial agreement with a qualified bank or trust company in accordance with Section 1, III - General Examination Considerations, F. Outsourcing of Critical Functions, Custodial or Safekeeping Agreements of the NAIC Financial Condition Examiners Handbook? Yes [ X ] No [ ] 17.1 For all agreements that comply with the requirements of the NAIC Financial Condition Examiners Handbook, complete the following: 1 Name of Custodian(s) 2 Custodian Address 200 N. College St. Charlotte, NC Bank of America, NC 17.2 For all agreements that do not comply with the requirements of the NAIC Financial Condition Examiners Handbook, provide the name, location and a complete explanation: 1 Name(s) 2 Location(s) One Mellon Center, Pittsburgh, PA Mellon Bank, NA 3 Complete Explanation(s) Written to comply with provisions contained in the Model Custodian and Fiscal Agency Agreement. Does not contain specific language cited by the handbook, but has been reviewed and approved by NCDOI. 17.3 Have there been any changes, including name changes, in the custodian(s) identified in 17.1 during the current quarter? Yes [ ] No [ X ] 17.4 If yes, give full and complete information relating thereto: 1 2 Old Custodian New Custodian 3 Date of Change 4 Reason 17.5 Investment management – Identify all investment advisors, investment managers, broker/dealers, including individuals that have the authority to make investment decisions on behalf of the reporting entity. For assets that are managed internally by employees of the reporting entity, note as such ["…that have access to the investment accounts", "handle securities"]. 1 Name of Firm or Individual 17.5097 17.5098 2 Affiliation For those firms/individuals listed in the table for Question 17.5, do any firms/individuals unaffiliated with the reporting entity (i.e., designated with a "U") manage more than 10% of the reporting entity's assets? Yes [ ] No [ ] For firms/individuals unaffiliated with the reporting entity (i.e., designated with a "U") listed in the table for Question 17.5, does the total assets under management aggregate to more than 50% of the reporting entity's assets? No [ ] Yes [ ] 17.6 For those firms or individuals listed in the table for 17.5 with an affiliation code of "A" (affiliated) or "U" (unaffiliated), provide the information for the table below. 1 2 3 4 Central Registration Depository Number Name of Firm or Individual Legal Entity Identifier (LEI) Registered With Q11.1 5 Investment Management Agreement (IMA) Filed Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina GENERAL INTERROGATORIES PART 1 - COMMON INTERROGATORIES 18.1 Have all the filing requirements of the Purposes and Procedures Manual of the NAIC Investment Analysis Office been followed? Yes [ X ] No [ ] 18.2 If no, list exceptions: 19. By self-designating 5GI securities, the reporting entity is certifying the following elements for each self-designated 5GI security: a. Documentation necessary to permit a full credit analysis of the security does not exist or an NAIC CRP credit rating for an FE or PL security is not available. b. Issuer or obligor is current on all contracted interest and principal payments. c. The insurer has an actual expectation of ultimate payment of all contracted interest and principal. Has the reporting entity self-designated 5GI securities? Yes [ ] No [ X ] 20. By self-designating PLGI securities, the reporting entity is certifying the following elements for each self-designated PLGI security: a. The security was purchased prior to January 1, 2018. b. The reporting entity is holding capital commensurate with the NAIC Designation reported for the security. c. The NAIC Designation was derived from the credit rating assigned by an NAIC CRP in its legal capacity as a NRSRO which is shown on a current private letter rating held by the insurer and available for examination by state insurance regulators. d. The reporting entity is not permitted to share this credit rating of the PL security with the SVO. Has the reporting entity self-designated PLGI securities? Yes [ ] No [ X ] Q11.2 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina GENERAL INTERROGATORIES (continued) PART 2 - HEALTH 1. Operating Percentages: 1.1 A&H loss percent ........................................................................................................................................................................................................................................ 78.1 % 1.2 A&H cost containment percent ........................................................................................................................................................................................................................... 3.0 % 1.3 A&H expense percent excluding cost containment expenses .......................................................................................................................................................................... 11.1 % 2.1 Do you act as a custodian for health savings accounts? ............................................................................................................................................................... Yes [ ] No [ X ] Yes [ ] No [ X ] 2.2 If yes, please provide the amount of custodial funds held as of the reporting date. 0 2.3 Do you act as an administrator for health savings accounts? ....................................................................................................................................................... 2.4 If yes, please provide the amount of funds administered as of the reporting date. 0 3. Is the reporting entity licensed or chartered, registered, qualified, eligible or writing business in at least two states?.................................................................. Yes [ ] No [ X ] 3.1 If no, does the reporting entity assume reinsurance business that covers risks residing in at least one state other than the state of domicile of the reporting entity?.......................................................................................................................................................................................... Yes [ ] No [ X ] Q12 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE S - CEDED REINSURANCE Showing All New Reinsurance Treaties - Current Year to Date 1 NAIC Company Code 2 ID Number 3 Effective Date 4 5 6 Type of Domiciliary Reinsurance Jurisdiction Ceded Name of Reinsurer NONE Q13 7 8 9 Type of Reinsurer Certified Reinsurer Rating (1 through 6) Effective Date of Certified Reinsurer Rating Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE T - PREMIUMS AND OTHER CONSIDERATIONS Current Year to Date - Allocated by States and Territories 1 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35. 36. 37. 38. 39. 40. 41. 42. 43. 44. 45. 46. 47. 48. 49. 50. 51. 52. 53. 54. 55. 56. 57. 58. 59. 60. 61. 58001. 58002. 58003. 58998. 58999. (a) Active Status (a) ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....L..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ....N..... ..XXX.. ..XXX.. 2 3 4 Accident and Health Premiums ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... .1,747,266,429 ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......32,901,870 .1,780,168,299 Medicare Title XVIII ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ....189,791,450 ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................0 ....189,791,450 Medicaid Title XIX ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................0 ......................0 Direct Business Only 5 6 Federal Life and Employees Annuity Health Benefits Premiums and Program Other Premiums Considerations ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ....320,356,408 ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................0 ......................0 ....320,356,408 ......................0 State, Etc. Alabama.........................................AL Alaska............................................AK Arizona...........................................AZ Arkansas.......................................AR California.......................................CA Colorado.......................................CO Connecticut....................................CT Delaware.......................................DE District of Columbia.......................DC Florida............................................FL Georgia.........................................GA Hawaii.............................................HI Idaho...............................................ID Illinois..............................................IL Indiana............................................IN Iowa................................................IA Kansas...........................................KS Kentucky........................................KY Louisiana........................................LA Maine............................................ME Maryland.......................................MD Massachusetts..............................MA Michigan.........................................MI Minnesota.....................................MN Mississippi.....................................MS Missouri........................................MO Montana........................................MT Nebraska.......................................NE Nevada..........................................NV New Hampshire.............................NH New Jersey....................................NJ New Mexico..................................NM New York.......................................NY North Carolina...............................NC North Dakota.................................ND Ohio..............................................OH Oklahoma......................................OK Oregon..........................................OR Pennsylvania.................................PA Rhode Island...................................RI South Carolina...............................SC South Dakota.................................SD Tennessee.....................................TN Texas.............................................TX Utah...............................................UT Vermont.........................................VT Virginia...........................................VA Washington...................................WA West Virginia................................WV Wisconsin.......................................WI Wyoming.......................................WY American Samoa...........................AS Guam............................................GU Puerto Rico....................................PR U.S. Virgin Islands.........................VI Northern Mariana Islands.............MP Canada.......................................CAN Aggregate Other alien...................OT Subtotal.............................................. Reporting entity contributions for Employee Benefit Plans..................... ..XXX.. ......................... ......................... ......................... ......................... Total (Direct Business)....................... ..XXX.. .1,780,168,299 ....189,791,450 ......................0 ....320,356,408 DETAILS OF WRITE-INS ACA Risk Adjustment......................... ..XXX.. ......32,901,870 ......................... ......................... ......................... ........................................................... ........... ......................... ......................... ......................... ......................... ........................................................... ........... ......................... ......................... ......................... ......................... Summary of remaining write-ins for line 58 from overflow page.......................... ......................0 ......................0 ......................0 ......................0 Total (Lines 58001 thru 58003 plus 58998) (Line 58 above)................................................ ......32,901,870 ......................0 ......................0 ......................0 7 8 9 Property/ Casualty Premiums ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................0 ......................0 Total Columns 2 through 7 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 .....2,257,414,287 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........................0 ..........32,901,870 .....2,290,316,157 Deposit-Type Contracts ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................... ......................0 ......................0 ......................... ......................... ..........................0 ......................... ......................0 ......................0 .....2,290,316,157 ......................0 ......................... ......................... ..........32,901,870 ......................... ......................... ......................... ..........................0 ......................... ......................... ......................... ..........................0 ......................... ......................0 ......................0 ..........................0 ......................0 ......................0 ......................0 ..........32,901,870 ......................0 Active Status Count L - Licensed or Chartered - Licensed insurance carrier or domiciled RRG.............................................. 1 R - Registered - Non-domiciled RRGs................................................................. E - Eligible - Reporting entities eligible or approved to write surplus lines in the state ........................... 0 Q - Qualified - Qualified or accredited reinsurer.................................................. 0 N - None of the above - Not allowed to write business in the state...................... 56 Q14 0 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina Corporate Structure Blue Cross and Blue Shield of North Carolina Blue Cross and Blue Shield of North Carolina A NC Fully taxed Not-For-Profit Corporation Hospital and Medical Service Corporation EIN-56-0894904 NAIC 54631 Q15 Momentum Health, LLC NC Limited Liability Co. Wholly-Owned Subsidiary EIN-82-4714581 Beacon Health Holdings NC Nonprofit Corp FEIN-82-3396002 Topaz Shared Services, LLC (Wholly-Owned Subsidiary) FEIN-32-0363030 Corium, LLC NC Limited Liability Co. Wholly-Owned Subsidiary FEIN-56-2267730 Corium II, LLC NC Limited Liability Co. Wholly-Owned Subsidiary FEIN-47-3033335 Mosaic Health Solutions, LLC (Wholly-Owned Subsidiary) FEIN-30-0859470 NobleHealth, Inc. NC For Profit Corporation Wholly-Owned Subsidiary FEIN-26-0529453 Mosaic Group Services, LLC (Wholly-Owned Subsidiary) FEIN-56-0898549 Noble Benefit Services, LLC (Wholly-Owned Subsidiary) FEIN 37-1832360 Blue Cross and Blue Shield of North Carolina Senior Health NC Nonprofit Corporation Wholly-Owned Subsidiary FEIN-81-1191645 NAIC 15999 NC Health Affiliates, LLC (Wholly-Owned Subsidiary) FEIN 36-4864944 ACS Benefit Services, LLC NC For Profit Corporation (Wholly-Owned Subsidiary) FEIN- 56-1472467 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE Y 1 2 3 4 5 6 7 Name of Securities Exchange if Publicly Traded (U.S. or International) PART 1A - DETAIL OF INSURANCE HOLDING COMPANY SYSTEM 8 9 10 11 12 13 Type of Control (Ownership Board, If Control is Management, Ownership Attorney-in-Fact, Provide Influence, Other) Percentage 14 15 16 Is an SCA Filing Required? (Y/N) NAIC Names of Relationship Group Group Company ID Federal Parent, Subsidiaries Domiciliary to Reporting Directly Controlled by Ultimate Controlling Code Name Code Number RSSD CIK or Affiliates Location Entity (Name of Entity/Person) Entity(ies)/Person(s) * Members 0758 BCBS of NC Grp.................... 54631... 56-0894904.. ................... ................... ......................... Blue Cross and Blue Shield of North Carolina... NC............. UDP.............. BCBSNC.......................................................... Ownership......... ....100.000 Board of Directors............................................ ......N....... ............. Blue Cross and Blue Shield of North Carolina 0758 BCBS of NC Grp.................... 15999... 81-1191645.. ................... ................... ......................... Senior Health NC............. DS................ BCBSNC.......................................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... ............. ........ ............................................... ............. 56-2267730.. ................... ................... ......................... Corium, LLC....................................................... NC............. DS................ BCBSNC.......................................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... ............. ........ ............................................... ............. 47-3033335.. ................... ................... ......................... Corium II, LLC.................................................... NC............. DS................ BCBSNC.......................................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... ............. ........ ............................................... ............. 82-4684953.. ................... ................... ......................... Momentum Health Partners, LLC....................... NC............. DS................ BCBSNC.......................................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... ............. ........ ............................................... ............. 82-3396002.. ................... ................... ......................... Beacon Health Holdings..................................... NC............. DS................ BCBSNC.......................................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... ............. ........ ............................................... ............. 26-0529453.. ................... ................... ......................... NobleHealth, Inc................................................. NC............. DS................ BCBSNC.......................................................... Ownership......... ....100.000 BCBSNC.......................................................... ......Y....... A........... ........ ............................................... ............. 32-0363030.. ................... ................... ......................... Topaz Shared Services, LLC............................. NC............. DS................ NobleHealth, Inc............................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... A........... ........ ............................................... ............. 56-0898549.. ................... ................... ......................... Mosaic Group Services, LLC.............................. NC............. DS................ NobleHealth, Inc............................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... A........... ........ ............................................... ............. 37-1832360.. ................... ................... ......................... Noble Benefit Services, LLC.............................. NC............. DS................ NobleHealth, Inc............................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... A........... ........ ............................................... ............. 36-4864944.. ................... ................... ......................... NC Health Affiliates, LLC.................................... NC............. DS................ NobleHealth, Inc............................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... A........... Q16 ........ ............................................... ............. 30-0859470.. ................... ................... ......................... Mosaic Health Solutions, LLC............................ NC............. DS................ NobleHealth, Inc............................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... A........... ........ ............................................... ............. 56-1472467.. ................... ................... ......................... ACS Benefit Services, LLC................................ NC............. DS................ NobleHealth, Inc............................................... Ownership......... ....100.000 BCBSNC.......................................................... ......N....... A........... Asterisk Explanation A BCBSNC has agreed to provide NobleHealth and its subsidiaries administrative services which include but are not limited to management duties, production of business, and servicing of the subsidiaries business. Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SUPPLEMENTAL EXHIBITS AND SCHEDULES INTERROGATORIES The following supplemental reports are required to be filed as part of your statement filing. However, in the event that your company does not transact the type of business for which the special report must be filed, your response of NO to the specific interrogatory will be accepted in lieu of filing a "NONE" report and a bar code will be printed below. If the supplement is required of your company but is not being filed for whatever reason, enter SEE EXPLANATION and provide an explanation following the interrogatory questions. Response 1. Will the Medicare Part D Coverage Supplement be filed with the state of domicile and the NAIC with this statement? Explanation: 1. Bar Code: Q17 Yes Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina Overflow Page for Write-Ins Additional Write-ins for Assets: 2504. Risk Adjustment Receivable..................................................................................................... 2505. Notes Receivable..................................................................................................................... 2506. Cash Surrender Value of Life Insurance.................................................................................. 2507. Renewable Energy Credits....................................................................................................... 2508. AR- VEBA................................................................................................................................. 2509. Mill Credit Note Receivable...................................................................................................... 2510. Automobiles.............................................................................................................................. 2597. Summary of remaining write-ins for Line 25............................................................................. 1 Current Statement Date 2 Assets ..................54,264,296 ..................14,500,000 ....................9,210,337 ....................8,964,893 ....................2,584,018 .......................367,634 .........................13,974 ..................89,905,152 Nonadmitted Assets ..................................... ..................14,500,000 ..................................... ....................3,681,026 ..................................... ..................................... .........................13,974 ..................18,195,000 Additional Write-ins for Liabilities: 3 Net Admitted Assets (Cols. 1 - 2) ..................54,264,296 ..................................0 ....................9,210,337 ....................5,283,867 ....................2,584,018 .......................367,634 ..................................0 ..................71,710,152 4 December 31, Prior Year Net Admitted Assets ..................42,664,297 ..................................... ....................9,142,112 ..................11,802,980 ....................1,625,313 .......................367,628 ..................................... ..................65,602,330 Current Period Prior Year 1 2 3 4 Covered Uncovered Total Total 2304. Non ACA Risk Adjustment Payable......................................................................................... ................................46 ..................................... ................................46 ................................48 2305. Escheat.................................................................................................................................... .......................421,596 ..................................... .......................421,596 ..................................... 2397. Summary of remaining write-ins for Line 23............................................................................. .......................421,642 ..................................0 .......................421,642 ................................48 Q18 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE A - VERIFICATION Real Estate 1 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 2 Prior Year Ended Year to Date December 31 Book/adjusted carrying value, December 31 of prior year....................................................................................................... ..................................................(0) .....................................5,102,981 Cost of acquired: 2.1 Actual cost at time of acquisition...................................................................................................................................... ...................................................... ...................................................... 2.2 Additional investment made after acquisition................................................................................................................... .....................................2,273,107 .....................................1,790,862 Current year change in encumbrances................................................................................................................................... ....................................(1,330,558) .....................................3,673,624 Total gain (loss) on disposals.................................................................................................................................................. ...................................................... ....................................(5,974,294) Deduct amounts received on disposals................................................................................................................................... ...................................................... ...................................................... Total foreign exchange change in book/adjusted carrying value............................................................................................. ...................................................... ...................................................... Deduct current year's other-than-temporary impairment recognized...................................................................................... ...................................................... ...................................................... Deduct current year's depreciation.......................................................................................................................................... ........................................942,549 .....................................4,593,173 Book/adjusted carrying value at end of current period (Lines 1+2+3+4-5+6-7-8)................................................................... ..................................................(0) ..................................................(0) Deduct total nonadmitted amounts.......................................................................................................................................... ...................................................... ...................................................... Statement value at end of current period (Line 9 minus Line 10)............................................................................................ ..................................................(0) ..................................................(0) SCHEDULE B - VERIFICATION Mortgage Loans 1 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 2 Prior Year Ended Year to Date December 31 Book value/recorded investment excluding accrued interest, December 31 of prior year....................................................... ...................................................0 ...................................................... Cost of acquired: 2.1 Actual cost at time of acquisition...................................................................................................................................... ...................................................... ...................................................... 2.2 Additional investment made after acquisition................................................................................................................... ...................................................... ...................................................... Capitalized deferred interest and other................................................................................................................................... ...................................................... ...................................................... Accrual of discount.................................................................................................................................................................. ...................................................... ...................................................... Unrealized valuation increase (decrease)............................................................................................................................... ...................................................... ...................................................... Total gain (loss) on disposals.................................................................................................................................................. ...................................................... ...................................................... Deduct amounts received on disposals................................................................................................................................... ...................................................... ...................................................... Deduct amortization of premium and mortgage interest points and commitment fees............................................................ ...................................................... ...................................................... Total foreign exchange change in book value/recorded investment excluding accrued interest............................................. ...................................................... ...................................................... Deduct current year's other-than-temporary impairment recognized...................................................................................... ...................................................... ...................................................... Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10)......... ...................................................0 ...................................................0 Total valuation allowance........................................................................................................................................................ ...................................................... ...................................................... Subtotal (Line 11 plus Line 12)................................................................................................................................................ ...................................................0 ...................................................0 Deduct total nonadmitted amounts.......................................................................................................................................... ...................................................... ...................................................... Statement value at end of current period (Line 13 minus Line 14).......................................................................................... ...................................................0 ...................................................0 NONE SCHEDULE BA - VERIFICATION Other Long-Term Invested Assets 1 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 2 Prior Year Ended Year to Date December 31 Book/adjusted carrying value, December 31 of prior year....................................................................................................... .................................527,815,201 .................................473,161,322 Cost of acquired: 2.1 Actual cost at time of acquisition...................................................................................................................................... ...................................................... .....................................1,570,324 2.2 Additional investment made after acquisition................................................................................................................... ...................................58,987,650 ...................................68,873,149 Capitalized deferred interest and other................................................................................................................................... ...................................................... ...................................................... Accrual of discount.................................................................................................................................................................. ...................................................... ...................................................... Unrealized valuation increase (decrease)............................................................................................................................... ....................................(4,772,995) ...................................26,579,993 Total gain (loss) on disposals.................................................................................................................................................. .....................................1,205,892 .....................................8,634,782 Deduct amounts received on disposals................................................................................................................................... ...................................11,375,861 ...................................50,723,369 Deduct amortization of premium and depreciation.................................................................................................................. ...................................................... ...................................................... Total foreign exchange change in book/adjusted carrying value............................................................................................. ...................................................... ...................................................... Deduct current year's other-than-temporary impairment recognized...................................................................................... ...................................................... ........................................281,000 Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10)......................................................... .................................571,859,887 .................................527,815,201 Deduct total nonadmitted amounts.......................................................................................................................................... ...................................................... ...................................................... Statement value at end of current period (Line 11 minus Line 12).......................................................................................... .................................571,859,887 .................................527,815,201 SCHEDULE D - VERIFICATION Bonds and Stocks 1 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. Book/adjusted carrying value of bonds and stocks, December 31 of prior year...................................................................... Cost of bonds and stocks acquired......................................................................................................................................... Accrual of discount.................................................................................................................................................................. Unrealized valuation increase (decrease)............................................................................................................................... Total gain (loss) on disposals.................................................................................................................................................. Deduct consideration for bonds and stocks disposed of......................................................................................................... Deduct amortization of premium.............................................................................................................................................. Total foreign exchange change in book/adjusted carrying value............................................................................................. Deduct current year's other-than-temporary impairment recognized...................................................................................... Total investment income recognized as a result of prepayment penalties and/or acceleration fees....................................... Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9+10)......................................................... Deduct total nonadmitted amounts.......................................................................................................................................... Statement value at end of current period (Line 11 minus Line 12).......................................................................................... QSI01 Year to Date ..............................4,200,464,631 .................................485,960,126 ........................................540,359 ...................................38,135,512 ...................................75,902,834 .................................449,555,167 .....................................3,940,829 ...................................................... ...................................................... ...................................................... ..............................4,347,507,467 ........................................251,910 ..............................4,347,255,557 2 Prior Year Ended December 31 ..............................3,873,100,179 ..............................2,050,074,362 .....................................1,491,678 ..................................(97,538,291) ...................................32,982,216 ..............................1,642,485,681 ...................................16,651,687 ...................................................... ........................................560,992 ..........................................52,847 ..............................4,200,464,631 ........................................251,910 ..............................4,200,212,721 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 1B Showing the Acquisitions, Dispositions and Non-Trading Activity During the Current Quarter for all Bonds and Preferred Stock by NAIC Designation NAIC Designation 1 Book/Adjusted Carrying Value Beginning of Current Quarter 2 Acquisitions During Current Quarter 3 Dispositions During Current Quarter 4 Non-Trading Activity During Current Quarter 5 Book/Adjusted Carrying Value End of First Quarter 6 Book/Adjusted Carrying Value End of Second Quarter 7 Book/Adjusted Carrying Value End of Third Quarter 8 Book/Adjusted Carrying Value December 31 Prior Year BONDS QSI02 1. NAIC 1 (a)................................................................................................... .......................2,391,338,509 ..........................297,262,343 ..........................180,816,232 ..............................5,515,909 .......................2,513,300,530 ............................................... ............................................... .......................2,391,338,509 2. NAIC 2 (a)................................................................................................... ..........................595,508,155 ............................92,543,034 ............................26,419,230 ...........................(12,346,329) ..........................649,285,630 ............................................... ............................................... ..........................595,508,155 3. NAIC 3 (a)................................................................................................... ............................56,986,260 ..............................2,965,635 ..............................7,855,007 ..............................1,907,202 ............................54,004,090 ............................................... ............................................... ............................56,986,260 4. NAIC 4 (a)................................................................................................... ..............................9,275,809 ..............................2,516,271 ..............................6,534,268 ................................(409,585) ..............................4,848,227 ............................................... ............................................... ..............................9,275,809 5. NAIC 5 (a)................................................................................................... ............................................... ............................................... ............................................... ............................................... ............................................0 ............................................... ............................................... ............................................... 6. NAIC 6 (a)................................................................................................... ............................................... ............................................... ............................................... ..............................4,612,613 ..............................4,612,613 ............................................... ............................................... ............................................... 7. Total Bonds................................................................................................. .......................3,053,108,733 ..........................395,287,283 ..........................221,624,737 ................................(720,190) .......................3,226,051,090 ............................................0 ............................................0 .......................3,053,108,733 PREFERRED STOCK 8. NAIC 1........................................................................................................ .................................340,084 ............................................... ............................................... ...................................23,902 .................................363,986 ............................................... ............................................... .................................340,084 9. NAIC 2........................................................................................................ ............................94,061,216 ..............................2,421,900 ............................................... .............................(2,774,195) ............................93,708,921 ............................................... ............................................... ............................94,061,216 10. NAIC 3........................................................................................................ ............................91,258,431 ..............................1,000,000 .................................239,967 ............................12,961,240 ..........................104,979,703 ............................................... ............................................... ............................91,258,431 11. NAIC 4........................................................................................................ ..............................4,618,675 ............................................... ............................................... .................................441,977 ..............................5,060,652 ............................................... ............................................... ..............................4,618,675 12. NAIC 5........................................................................................................ ............................................... ............................................... ............................................... ............................................... ............................................0 ............................................... ............................................... ............................................... 13. NAIC 6........................................................................................................ ............................................... ............................................... ............................................... ............................................... ............................................0 ............................................... ............................................... ............................................... 14. Total Preferred Stock.................................................................................. ..........................190,278,406 ..............................3,421,900 .................................239,967 ............................10,652,923 ..........................204,113,262 ............................................0 ............................................0 ..........................190,278,406 15. Total Bonds and Preferred Stock................................................................. .......................3,243,387,139 ..........................398,709,183 ..........................221,864,704 ..............................9,932,733 .......................3,430,164,351 ............................................0 ............................................0 .......................3,243,387,139 (a) Book/Adjusted Carrying Value column for the end of the current reporting period includes the following amount of short-term and cash equivalent bonds by NAIC designation: NAIC 1 $..........0; NAIC 2 $..........0; NAIC 3 $.....95,885; NAIC 4 $..........0; NAIC 5 $..........0; NAIC 6 $..........0. Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DA - PART 1 Short-Term Investments 1 Book/Adjusted Carrying Value 2 3 Actual Cost Par Value 4 Interest Collected Year To Date 5 Paid for Accrued Interest Year To Date 9199999......................................... ....................................95,885 ....................XXX..................... ....................................94,300 ......................................4,875 ......................................4,713 SCHEDULE DA - VERIFICATION Short-Term Investments 1 Year To Date 2 Prior Year Ended December 31 1. Book/adjusted carrying value, December 31 of prior year................................................................................................. ...........................................398,443 ...........................................479,787 2. Cost of short-term investments acquired........................................................................................................................... ........................................1,280,988 ........................................4,767,563 3. Accrual of discount............................................................................................................................................................. ...............................................2,007 ...............................................4,210 4. Unrealized valuation increase (decrease).......................................................................................................................... ......................................................... ...............................................2,927 5. Total gain (loss) on disposals............................................................................................................................................ ..................................................323 .................................................(134) 6. Deduct consideration received on disposals...................................................................................................................... ........................................1,585,875 ........................................4,853,195 7. Deduct amortization of premium........................................................................................................................................ ......................................................... ...............................................2,714 8. Total foreign exchange change in book/adjusted carrying value....................................................................................... ......................................................... ......................................................... 9. Deduct current year's other-than-temporary impairment recognized................................................................................. ......................................................... ......................................................... 10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9)......................................................... .............................................95,885 ...........................................398,443 11. Deduct total nonadmitted amounts.................................................................................................................................... ......................................................... ......................................................... 12. Statement value at end of current period (Line 10 minus Line 11).................................................................................... .............................................95,885 ...........................................398,443 QSI03 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DB - PART A - VERIFICATION Options, Caps, Floors, Collars, Swaps and Forwards 1. Book/adjusted carrying value, December 31, prior year (Line 9, prior year).............................................................................................................................................. 2. Cost paid/(consideration received) on additions........................................................................................................................................................................................ 3. Unrealized valuation increase/(decrease).................................................................................................................................................................................................. 4. Total gain (loss) on termination recognized............................................................................................................................................................................................... 5. Considerations received/(paid) on terminations......................................................................................................................................................................................... 6. Amortization............................................................................................................................................................................................................................................... 7. Adjustment to the book/adjusted carrying value of hedge item.................................................................................................................................................................. 8. Total foreign exchange change in book/adjusted carrying value............................................................................................................................................................... 9. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3 + 4 - 5 + 6 + 7 + 8)...................................................................................................................... NONE 0 10. Deduct nonadmitted assets........................................................................................................................................................................................................................ 11. Statement value at end of current period (Line 9 minus Line 10)............................................................................................................................................................... 0 SCHEDULE DB - PART B - VERIFICATION Futures Contracts 1. Book/adjusted carrying value, December 31, prior year (Line 6, prior year).............................................................................................................................................. 2. Cumulative cash change (Section 1, Broker Name/Net Cash Deposits Footnote - Cumulative Cash Change column)........................................................................... 3.1 Add: Change in variation margin on open contracts - Highly Effective Hedges: 3.11 Section 1, Column 15, current year to date minus........................... 3.12 Section 1, Column 15, prior year...................................................... 0 Change in variation margin on open contracts - All Other: 3.13 Section 1, Column 18, current year to date minus........................... 3.14 Section 1, Column 18, prior year...................................................... 0 0 3.2 Add: Change in adjustment to basis of hedged item: 3.21 Section 1, Column 17, current year to date minus........................... 3.22 Section 1, Column 17, prior year...................................................... Change in amount recognized: 3.23 Section 1, Column 19, current year to date minus........................... NONE 3.24 Section 1, Column 19, prior year...................................................... 0 0 0 3.3 Subtotal (Line 3.1 minus Line 3.2).............................................................................................................................................................................................................. 0 4.1 Cumulative variation margin on terminated contracts during the year....................................................... 4.2 Less: 4.21 Amount used to adjust basis of hedged item................................... 4.22 Amount recognized.......................................................................... 0 4.3 Subtotal (Line 4.1 minus Line 4.2).............................................................................................................................................................................................................. 5. 0 Dispositions gains (losses) on contracts terminated in prior year: 5.1 Total gain (loss) recognized for terminations in prior year............................................................................................................................................................... 5.2 Total gain (loss) adjusted into the hedged item(s) for the terminations in prior year........................................................................................................................ 6. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3.3 - 4.3 - 5.1 - 5.2)........................................................................................................................ 7. Deduct nonadmitted assets........................................................................................................................................................................................................................ 8. Statement value at end of current period (Line 6 minus Line 7)................................................................................................................................................................. QSI04 0 0 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DB - PART C - SECTION 1 Replication (Synthetic Asset) Transactions Open as of Current Statement Date 1 Number 2 Description Replication (Synthetic) Asset Transactions 3 4 5 NAIC Designation or Other Description Notional Amount Book/Adjusted Carrying Value 6 Fair Value 7 Effective Date 8 Maturity Date Derivative Instrument(s) Open 9 10 Description QSI05 NONE Book/Adjusted Carrying Value Components of the Replication (Synthetic Asset) Transactions Cash Instrument(s) Held 11 12 13 14 Fair Value CUSIP Description 15 NAIC Designation or Other Book/Adjusted Description Carrying Value 16 Fair Value Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DB - PART C - SECTION 2 Reconciliation (Synthetic Asset) Transactions Open First Quarter 1 Second Quarter 2 3 Third Quarter 4 5 Fourth Quarter 6 7 Year-To-Date 8 9 10 Total Replication (Synthetic Total Replication (Synthetic Total Replication (Synthetic Total Replication (Synthetic Total Replication (Synthetic Asset) Transactions Asset) Transactions Asset) Transactions Asset) Transactions Asset) Transactions Number of Positions Statement Value Number of Positions Statement Value Number of Positions Statement Value Number of Positions Statement Value Number of Positions Statement Value 1. Beginning Inventory................................................................ ............................... ............................................... ............................0 ............................................0 ............................0 ............................................0 ............................0 ............................................0 ............................0 ............................................0 NONE 2. Add: Opened or acquired transactions................................. ............................... ............................................... ............................... ............................................... ............................... ............................................... ............................... ............................................... ............................0 ............................................0 3. Add: Increases in replication (synthetic asset) transactions statement value......................................... ..........XXX.............. ............................................... ..........XXX.............. ............................................... ..........XXX.............. ............................................... ..........XXX.............. ............................................... ..........XXX.............. ............................................0 4. Less: Closed or disposed of transactions............................... ............................... ............................................... ............................... ............................................... ............................... ............................................... ............................... ............................................... ............................0 ............................................0 5. Less: Positions disposed of for failing effectiveness criteria........................................... ............................... ............................................... ............................... ............................................... ............................... ............................................... ............................... ............................................... ............................0 ............................................0 6. Less: Decreases in replication (synthetic asset) transactions statement value.............................. ..........XXX.............. ............................................... ..........XXX.............. ............................................... ..........XXX.............. ............................................... ..........XXX.............. ............................................... ..........XXX.............. ............................................0 7. Ending Inventory.................................................................... ............................0 ............................................0 ............................0 ............................................0 ............................0 ............................................0 ............................0 ............................................0 ............................0 ............................................0 QSI06 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DB - VERIFICATION Verification of Book/Adjusted Carrying Value, Fair Value and Potential Exposure of all Open Derivative Contracts Book/Adjusted Carrying Value Check 1. Part A, Section 1, Column 14....................................................................................................................................................... 2. Part B, Section 1, Column 15 plus Part B, Section 1 Footnote - Total Ending Cash Balance..................................................... 3. Total (Line 1 plus Line 2).................................................................................................................................................................................................................... 4. Part D, Section 1, Column 5........................................................................................................................................................ 5. Part D, Section 1, Column 6........................................................................................................................................................ 6. Total (Line 3 minus Line 4 minus Line 5)............................................................................................................................................................................................ NONE 0 0 Fair Value Check 7. Part A, Section 1, Column 16....................................................................................................................................................... 8. Part B, Section 1, Column 13....................................................................................................................................................... 9. Total (Line 7 plus Line 8).................................................................................................................................................................................................................... 0 10. Part D, Section 1, Column 8........................................................................................................................................................ 11. Part D, Section 1, Column 9........................................................................................................................................................ 12. Total (Line 9 minus Line 10 minus Line 11)........................................................................................................................................................................................ 0 Potential Exposure Check 13. Part A, Section 1, Column 21....................................................................................................................................................... 14. Part B, Section 1, Column 20....................................................................................................................................................... 15. Part D, Section 1, Column 11...................................................................................................................................................... 16. Total (Line 13 plus Line 14 minus Line 15)......................................................................................................................................................................................... QSI07 0 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE E - PART 2 - VERIFICATION Cash Equivalents 1 Year To Date 2 Prior Year Ended December 31 1. Book/adjusted carrying value, December 31 of prior year................................................................................... ............................................81,629,639 ............................................69,978,704 2. Cost of cash equivalents acquired....................................................................................................................... .......................................1,264,623,248 .......................................3,337,090,808 3. Accrual of discount............................................................................................................................................... ............................................................... .................................................179,401 4. Unrealized valuation increase (decrease)............................................................................................................ ....................................................(3,000) ............................................................... 5. Total gain (loss) on disposals............................................................................................................................... ............................................................... .......................................................(504) 6. Deduct consideration received on disposals........................................................................................................ .......................................1,125,311,691 .......................................3,325,618,769 7. Deduct amortization of premium.......................................................................................................................... ............................................................... ............................................................... 8. Total foreign exchange change in book/ adjusted carrying value........................................................................ ............................................................... ............................................................... 9. Deduct current year's other-than-temporary impairment recognized................................................................... ............................................................... ............................................................... 10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9)............................................ ..........................................220,938,197 ............................................81,629,639 11. Deduct total nonadmitted amounts....................................................................................................................... ............................................................... ............................................................... 12. Statement value at end of current period (Line 10 minus Line 11)....................................................................... ..........................................220,938,197 ............................................81,629,639 QSI08 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE A - PART 2 Showing all Real Estate ACQUIRED AND ADDITIONS MADE During the Current Quarter 1 Location 2 Description of Property City 4 5 6 7 8 9 Name of Vendor Actual Cost at Time of Acquisition Amount of Encumbrances Book/Adjusted Carrying Value Less Encumbrances Additional Investment Made After Acquisition 3 State Date Acquired Acquired by Purchase Building 100.................................................................................................................................... Durham.................................................... NC... 12/31/1979.... Various.................................................................................................................................. ................................................. ................................................. ......................................20,625 ......................................20,625 Building 200.................................................................................................................................... Durham.................................................... NC... 12/31/2009.... Various.................................................................................................................................. ................................................. ................................................. .................................2,252,482 .................................2,252,482 0199999. Totals............................................................................................................................. ................................................................................................... ............................................................................................................................................. ..............................................0 0399999. Totals............................................................................................................................. ................................................................................................... ............................................................................................................................................. ..............................................0 ..............................................0 .................................2,273,107 .................................2,273,107 ..............................................0 .................................2,273,107 .................................2,273,107 QE01 SCHEDULE A - PART 3 Showing all Real Estate DISPOSED During the Quarter, Including Payments During the Final Year on "Sales Under Contract " 1 Description of Property Location 2 City 4 5 6 7 8 3 State 9 Disposal Date Name of Purchaser Actual Cost Expended for Additions, Permanent Improvements and Changes in Encumbrances Book/Adjusted Carrying Value Less Encumbrances Prior Year Change in Book/Adjusted Carrying Value Less Encumbrances 10 11 12 13 Current Year's Other-ThanTemporary Current Year's Current Year's Impairment Change in Depreciation Recognized Encumbrances NONE Total Change in B./A.C.V. (11 - 9 - 10) Total Foreign Exchange Change in B./A.C.V. 14 Book/Adjusted Carrying Value Less Encumbrances on Disposal 15 Amounts Received During Year 16 17 Foreign Exchange Realized Gain Gain (Loss) on (Loss) on Disposal Disposal 18 Total Gain (Loss) on Disposal 19 20 Gross Income Earned Less Taxes, Interest Repairs, and Incurred on Expenses Encumbrances Incurred Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE B - PART 2 Showing all Mortgage Loans ACQUIRED AND ADDITIONS MADE During the Current Quarter 1 Location Loan Number 4 2 3 City State 5 Loan Type Date Acquired 6 7 8 9 Rate of Interest Actual Cost at Time of Acquisition Additional Investment Made After Acquisition Value of Land and Buildings NONE QE02 SCHEDULE B - PART 3 Showing all Mortgage Loans DISPOSED, Transferred or Repaid During the Current Quarter 1 Location 2 Loan Number City 4 5 6 7 3 State 8 Book Value/Recorded Investment Excluding Loan Accrued Interest Prior Type Date Acquired Disposal Date Year Unrealized Valuation Increase (Decrease) 9 Current Year's (Amortization) / Accretion Change in Book Value/Recorded Investment 10 11 Current Year's Other-ThanTemporary Impairment Recognized NONE 14 12 15 16 17 18 Consideration Foreign Exchange Gain (Loss) on Disposal Realized Gain (Loss) on Disposal Total Gain (Loss) on Disposal 13 Book Value / Recorded Investment Capitalized Total Change in Total Foreign Excluding Accrued Deferred Interest Book Value (8 + 9 - Exchange Change Interest on and Other 10 + 11) in Book Value Disposal Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE BA - PART 2 Showing Other Long-Term Invested Assets ACQUIRED AND ADDITIONS MADE During the Current Quarter 1 2 CUSIP Identification Location 3 Name or Description City 5 6 7 8 Name of Vendor or General Partner NAIC Designation and Administrative Symbol/ Market Indicator Date Originally Acquired Type and Strategy 9 10 11 12 13 4 State Actual Cost at Time of Additional Investment Acquisition Made after Acquisition Amount of Encumbrances Commitment for Percentage of Additional Investment Ownership Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated 000000 00 0 BULLCITY VENTURE PARTNERS FUND III............................................................... ....................................................... USA. BULLCITY VENTURE PARTNERS FUND III............................................................... ................ 02/13/2013.... ................. .................................... ........................54,754 .................................... .................................... ...........3.892 000000 00 0 FLARE CAPITAL PARTNERS I, L.P............................................................................ ....................................................... USA. FLARE CAPITAL PARTNERS I, L.P............................................................................ ................ 06/20/2014.... ................. .................................... ........................22,500 .................................... .................................... ...........1.701 000000 00 0 HARBOURVEST PARTNERS IX -BUYOUT FUND LP................................................ ....................................................... USA. HARBOURVEST PARTNERS IX -BUYOUT FUND LP................................................ ................ 06/28/2012.... ................. .................................... ......................875,000 .................................... .................................... ...........1.220 000000 00 0 HEALTH ENTERPRISE PARTNERS II, L.P................................................................ ....................................................... USA. HEALTH ENTERPRISE PARTNERS II, L.P................................................................ ................ 07/10/2013.... ................. .................................... ........................15,710 .................................... .................................... ...........0.684 000000 00 0 NORTHGATE VENTURE PARTNERS VII, L.P............................................................ ....................................................... USA. NORTHGATE VENTURE PARTNERS VII, L.P............................................................ ................ 07/12/2012.... ................. .................................... ......................200,000 .................................... .................................... ...........8.240 000000 00 0 NORTHGATE VENTURE PARTNERS VI, LLC........................................................... ....................................................... USA. NORTHGATE VENTURE PARTNERS VI, LLC........................................................... ................ 08/31/2012.... ................. .................................... ......................200,000 .................................... .................................... ...........7.820 000000 00 0 Welsh, Carson, Anderson & Stowe XII, L.P................................................................. ....................................................... USA. Welsh, Carson, Anderson & Stowe XII, L.P................................................................. ................ 04/20/2015.... ................. .................................... ......................237,617 .................................... .................................... ...........0.290 1599999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated........................................ ................................................................................................................................................................................................... ................................0 ...................1,605,581 ................................0 ................................0 .......XXX....... Joint Venture or Partnership Interests That Have Underlying Characteristics of Real Estate - Unaffiliated 000000 00 0 AEW REAL ESTATE TRUST...................................................................................... ....................................................... USA. AEW REAL ESTATE TRUST...................................................................................... ................ 04/02/2012.... ................. .................................... ......................633,998 .................................... .................................... ...........1.150 000000 00 0 J.P. MORGAN US REAL ESTATE INCOME AND GROWTH DOME........................... ....................................................... USA. J.P. MORGAN US REAL ESTATE INCOME AND GR................................................. ................ 08/30/2016.... ................. .................................... ......................788,212 .................................... .................................... ...........3.000 000000 00 0 MORGAN STANLEY PRIME PROPERTY FUND........................................................ ....................................................... USA. MORGAN STANLEY PRIME PROPERTY FUND........................................................ ................ 09/30/2013.... ................. .................................... ......................977,275 .................................... .................................... ...........0.490 QE03 1799999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Real Estate - Unaffiliated............................................... ................................................................................................................................................................................................... ................................0 ...................2,399,485 ................................0 ................................0 .......XXX....... Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Unaffiliated 000000 00 0 CRESCENT MEZZANINE PARTNERS VI................................................................... ....................................................... USA. CRESCENT MEZZANINE PARTNERS VI................................................................... ................ 08/30/2013.... ................. .................................... ........................26,324 .................................... .................................... ...........2.260 000000 00 0 CRESCENT MEZZANINE PARTNERS VII.................................................................. ....................................................... ......... CRESCENT MEZZANINE PARTNERS VII.................................................................. ................ 01/19/2016.... ................. .................................... ......................633,310 .................................... .................................... ...........4.780 000000 00 0 Principal Real Estate Debt Fund II, LP......................................................................... ....................................................... NC.... Principal Real Estate Debt Fund II, LP......................................................................... ................ 08/21/2017.... ................. .................................... ...................3,265,189 .................................... .................................... ...........5.460 000000 00 0 LEAVITT EQUITY PARTNERS II, LP.......................................................................... ....................................................... USA. LEAVITT EQUITY PARTNERS II, LP.......................................................................... ................ 09/01/2018.... ................. .................................... ......................319,862 .................................... .................................... ..................... 31424D 10 4 FEDERATED P&T FIN TENDER................................................................................. ....................................................... PA.... FEDERATED P&T FIN TENDER................................................................................. ................ 01/31/2017.... ................. .................................... ......................418,037 .................................... .................................... .........67.660 2199999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Unaffiliated......................................................... ................................................................................................................................................................................................... ................................0 ...................4,662,722 ................................0 ................................0 .......XXX....... Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Affiliated 000000 00 0 VOYA2019.................................................................................................................. ....................................................... USA. VOYA2019.................................................................................................................. ................ 02/13/2019.... ................. .................................... .................50,000,000 .................................... .................................... ..................... 2299999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Affiliated............................................................. ................................................................................................................................................................................................... ................................0 .................50,000,000 ................................0 ................................0 .......XXX....... 4499999. Subtotal - Unaffiliated.................................................................................................................... .................................................................. ................................................................................................................................................................................................... ................................0 ...................8,667,788 ................................0 ................................0 .......XXX....... 4599999. Subtotal - Affiliated........................................................................................................................ .................................................................. ................................................................................................................................................................................................... ................................0 .................50,000,000 ................................0 ................................0 .......XXX....... 4699999. Totals............................................................................................................................................ .................................................................. ................................................................................................................................................................................................... ................................0 .................58,667,788 ................................0 ................................0 .......XXX....... SCHEDULE BA - PART 3 Showing Other Long-Term Invested Assets DISPOSED, Transferred or Repaid During the Current Quarter 1 2 CUSIP Identification Name or Description Location 3 City 5 6 7 8 4 State Name of Purchaser or Nature of Disposal 9 Date Originally Acquired Disposal Date Book/Adjusted Carrying Value Less Encumbrances, Prior Year Unrealized Valuation Increase (Decrease) 10 Changes in Book/Adjusted Carrying Value 11 12 13 Current Year's Current Year's (Depreciation) Other-Thanor Temporary (Amortization) Impairment / Accretion Recognized Capitalized Deferred Interest and Other 15 16 17 18 19 20 Total Gain (Loss) on Disposal Investment Income 14 Book/Adjusted Total Foreign Carrying Value Foreign Total Change Exchange Less Exchange Realized Gain in B./A.C.V. Change in Encumbrances Gain (Loss) on (Loss) on (9+10-11+12) B./A.C.V. on Disposal Consideration Disposal Disposal Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated 000000 00 BLUE CROSS BLUE SHIELD 0 BLUE CROSS BLUE SHIELD VENTURES II.............. ........................................ ....... VENTURES II 06/24/2011 01/01/2019 .......3,512,361 ....(2,911,187) ...................... ...................... ...................... ....(2,911,187) ...................... ..........601,174 ........601,174 ...................... ...................... ...................0 ...................... Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE BA - PART 3 Showing Other Long-Term Invested Assets DISPOSED, Transferred or Repaid During the Current Quarter 1 2 CUSIP Identification Name or Description Location 3 City 5 6 7 8 4 State Name of Purchaser or Nature of Disposal 9 Date Originally Acquired Disposal Date Book/Adjusted Carrying Value Less Encumbrances, Prior Year Unrealized Valuation Increase (Decrease) 10 Changes in Book/Adjusted Carrying Value 11 12 13 Current Year's Current Year's (Depreciation) Other-Thanor Temporary (Amortization) Impairment / Accretion Recognized Capitalized Deferred Interest and Other Total Change in B./A.C.V. (9+10-11+12) 15 16 17 18 19 20 Total Gain (Loss) on Disposal Investment Income ..........21,671 ..........35,357 14 Book/Adjusted Total Foreign Carrying Value Foreign Exchange Less Exchange Realized Gain Change in Encumbrances Gain (Loss) on (Loss) on B./A.C.V. on Disposal Consideration Disposal Disposal 000000 00 BULLCITY VENTURE PARTNERS FUND 0 BULLCITY VENTURE PARTNERS FUND III.............. ........................................ USA III 02/13/2013 03/13/2019 ............32,713 ...................... ...................... ...................... ...................... ...................0 ...................... ............35,357 ..........57,028 ...................... ..........21,671 000000 00 0 EXCEL MEDICAL FUND I........................................... ........................................ USA EXCEL MEDICAL FUND I........................ 03/18/2013 02/12/2019 ............59,815 ...................... ...................... ...................... ...................... ...................0 ...................... ............59,815 ..........59,815 ...................... ...................... ...................0 ...................... 000000 00 HARBOURVEST PARTNERS IX 0 HARBOURVEST PARTNERS IX -BUYOUT FUND LP ........................................ USA BUYOUT FUND LP 06/28/2012 01/31/2019 ..........182,562 ...................... ...................... ...................... ...................... ...................0 ...................... ..........179,892 ........374,301 ...................... ........194,409 ........194,409 ...................... 00 HARBOURVEST PARTNERS IX -VENTURE FUND 0 LP 06/28/2012 03/26/2019 ..........106,631 ...................... ...................... ...................... ...................... ...................0 ...................... ..........105,959 ........456,833 ...................... ........350,874 ........350,874 00 HATTERAS VENTURES PARTNERS IV, 0 HATTERAS VENTURES PARTNERS IV, L.P............. ........................................ USA L.P. 08/25/2011 02/15/2019 ............10,113 ...................... ...................... ...................... ...................... ...................0 ...................... ............10,113 ........100,925 ...................... ..........90,812 ..........90,812 ...................... 00 HEALTH ENTERPRISE PARTNERS II, 0 HEALTH ENTERPRISE PARTNERS II, L.P................ ........................................ USA L.P. 07/10/2013 03/06/2019 ........................ ...................... ...................... ...................... ...................... ...................0 ...................... ........................ ............2,787 ...................... ............2,787 ............2,787 ...................... 00 NORTHGATE VENTURE PARTNERS VI, 0 NORTHGATE VENTURE PARTNERS VI, LLC........... ........................................ USA LLC 08/31/2012 02/22/2019 ..........497,800 ...................... ...................... ...................... ...................... ...................0 ...................... ..........497,800 ........497,800 ...................... ...................... ...................0 ...................... 000000 00 SYNERGY LIFE SCIENCE PARTNERS, 0 SYNERGY LIFE SCIENCE PARTNERS, L.P.............. ........................................ USA L.P. .....1,056,903 ...................... ........574,456 000000 00 0 NORTHGATE VENTURE GROWTH III....................... ........................................ USA NORTHGATE VENTURE GROWTH III.... 03/29/2016 03/27/2019 .......2,303,123 ...................... ...................... ...................... ...................... ...................0 ...................... .......2,089,368 .....2,089,368 ...................... ...................... ...................0 00 BLUE CROSS BLUE SHIELD 0 BLUE CROSS BLUE SHIELD VENTURES III............. ........................................ ....... VENTURES III ........485,223 ...................... ...................... ...................... ........485,223 ...................... .......3,453,248 .....3,453,248 ...................... ...................... ...................0 ...................... ....(2,425,964) ...................0 ...................0 ...................0 .....8,750,183 ...................0 000000 000000 000000 000000 QE03.1 000000 HARBOURVEST PARTNERS IX ........................................ USA VENTURE FUND LP 12/13/2007 03/21/2019 ..........482,447 ...................... ...................... ...................... ...................... ...................0 ...................... ..........482,447 03/29/2016 01/01/2019 .......2,968,025 1599999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated.................................................................................... .....10,155,591 ....(2,425,964) ...................0 .......7,515,174 Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Unaffiliated 000000 00 0 CRESCENT MEZZANINE PARTNERS VI................... ........................................ USA CRESCENT MEZZANINE PARTNERS VI 08/30/2013 02/21/2019 ..........678,574 ...................... ...................... ...................... ...................... ...................0 ...................... ..........678,574 .....1,235,008 ..........43,520 ........574,456 ...................... .....1,875,000 .....1,235,008 .....1,953,877 ........679,345 ...................... ...............771 ...............771 ........182,263 00 KKR ENERGY INCOME & GROWTH 0 KKR ENERGY INCOME & GROWTH FUND LP.......... ........................................ USA FUND LP 10/31/2013 03/19/2019 ..........637,554 ...................... ...................... ...................... ...................... ...................0 ...................... ..........573,693 ........573,693 ...................... ...................... ...................0 ........573,693 000000 00 PRINCIPAL REAL ESTATE DEBT FUND, 0 PRINCIPAL REAL ESTATE DEBT FUND, L.P............ ........................................ USA L.P. 05/07/2014 03/04/2019 ..........726,582 ...................... ...................... ...................... ...................... ...................0 ...................... ..........602,691 ........602,691 ...................... ...................... ...................0 ........602,691 000000 00 0 CRESCENT MEZZANINE PARTNERS VII.................. ........................................ ....... CRESCENT MEZZANINE PARTNERS VII 01/19/2016 01/24/2019 ........................ ...................... ...................... ...................... ...................... ...................0 ...................... ........................ ............1,111 ...................... ............1,111 000000 00 0 Principal Real Estate Debt Fund II, LP......................... ........................................ NC.. Principal Real Estate Debt Fund II, LP..... 08/21/2017 03/29/2019 ..........692,716 ...................... ...................... ...................... ...................... ...................0 ...................... ..........799,836 000000 2199999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Unaffiliated..................................................................................................... .......2,735,425 ...................0 ...................0 ...................0 ...................0 ...................0 ...................0 .......2,654,794 ............1,111 ...................... ........799,836 ...................... ...................... ...................0 ........799,836 .....2,656,676 ...................0 .....2,158,483 ............1,882 ............1,882 Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Affiliated 000000 00 0 VOYA2019.................................................................. ........................................ USA VOYA2019............................................... 02/13/2019 03/31/2019 ........................ ...................... ...................... ...................... ...................... ...................0 ...................... ........................ .........(30,998) ...................... .........(30,998) .........(30,998) ...................... 2299999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Affiliated......................................................................................................... .....................0 ...................0 ...................0 ...................0 ...................0 ...................0 ...................0 .....................0 .........(30,998) ...................0 .........(30,998) .........(30,998) ...................0 4499999. Subtotal - Unaffiliated......................................................................................................................... .......................................................................................................... .....12,891,016 ....(2,425,964) ...................0 ...................0 ...................0 ....(2,425,964) ...................0 .....10,169,968 ....11,406,859 ...................0 .....1,236,890 .....1,236,890 .....4,112,361 4599999. Subtotal - Affiliated............................................................................................................................. .......................................................................................................... .....................0 ...................0 ...................0 ...................0 ...................0 ...................0 ...................0 .....................0 .........(30,998) ...................0 .........(30,998) .........(30,998) ...................0 4699999. Totals................................................................................................................................................. .......................................................................................................... .....12,891,016 ....(2,425,964) ...................0 ...................0 ...................0 ....(2,425,964) ...................0 .....10,169,968 ....11,375,861 ...................0 .....1,205,892 .....1,205,892 .....4,112,361 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 CUSIP Identification Description 3 Foreign 4 Date Acquired 5 Name of Vendor 6 Number of Shares of Stock 7 Actual Cost 8 Par Value 9 10 NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) Bonds - U.S. Government 36179S 5M 5 G2 MA4452 - RMBS..................................................................................................... ................ 03/07/2019........ MORGAN STANLEY CO..................................................................................... ....................................................... ......................................2,467,823 ......................................2,397,945 .............................................5,329 1............................... 912810 QA 9 UNITED STATES TREASURY..................................................................................... ................ 03/06/2019........ JP MORGAN SECURITIES LLC.......................................................................... ....................................................... ......................................5,125,203 ......................................4,700,000 .............................................9,543 1............................... 912810 RB 6 UNITED STATES TREASURY..................................................................................... ................ 03/06/2019........ MERRILL LYNCH PIERCE FENNER................................................................... ....................................................... ......................................5,672,215 ......................................5,850,000 ...........................................52,501 1............................... 912810 RK 6 UNITED STATES TREASURY..................................................................................... ................ 03/22/2019........ VARIOUS............................................................................................................ ....................................................... ......................................8,803,486 ......................................9,750,000 ...........................................45,016 1............................... 912810 SF 6 UNITED STATES TREASURY..................................................................................... ................ 03/06/2019........ Citigroup (SSB).................................................................................................... ....................................................... ......................................6,909,219 ......................................7,000,000 ...........................................12,182 1............................... 912828 3F 5 UNITED STATES TREASURY..................................................................................... ................ 03/06/2019........ JP MORGAN SECURITIES LLC.......................................................................... ....................................................... ......................................2,928,342 ......................................3,025,000 ...........................................21,246 1............................... 912828 6B 1 UNITED STATES TREASURY..................................................................................... ................ 03/06/2019........ NOMURA SECURITIES/FIXED INCOME............................................................ ....................................................... ....................................12,430,176 ....................................12,500,000 ...........................................19,035 1............................... 912828 6G 0 UNITED STATES TREASURY..................................................................................... ................ 03/06/2019........ JP MORGAN SECURITIES LLC.......................................................................... ....................................................... ....................................44,748,633 ....................................45,000,000 ...........................................23,234 1............................... 912828 J7 ....................................11,400,000 ...........................................39,178 1............................... 912828 M5 6 UNITED STATES TREASURY..................................................................................... ................ 03/06/2019........ VARIOUS............................................................................................................ ....................................................... ......................................7,918,339 ......................................8,075,000 ...........................................50,201 1............................... 6 UNITED STATES TREASURY..................................................................................... ................ 03/29/2019........ VARIOUS............................................................................................................ ....................................................... ....................................11,193,960 912828 U2 4 UNITED STATES TREASURY..................................................................................... ................ 03/06/2019........ NOMURA SECURITIES/FIXED INCOME............................................................ ....................................................... ......................................1,243,836 ......................................1,300,000 .............................................8,116 1............................... 912828 W8 9 UNITED STATES TREASURY..................................................................................... ................ 03/29/2019........ VARIOUS............................................................................................................ ....................................................... ....................................11,439,526 ....................................11,600,000 ...........................................47,491 1............................... 912828 WJ 5 UNITED STATES TREASURY..................................................................................... ................ 03/06/2019........ VARIOUS............................................................................................................ ....................................................... ....................................13,156,517 ....................................13,175,000 .........................................100,261 1............................... 0599999. Total - Bonds - U.S. Government................................................................................................ ........................................................................................................................................................................... ....................................................... ..................................134,037,275 ..................................135,772,945 .........................................433,333 ............XXX.............. Bonds - All Other Government 21987B AY 4 CORPORACION NACIONAL DEL COBRE DE CHILE................................................. C............. 03/22/2019........ VARIOUS............................................................................................................ ....................................................... .........................................806,097 .........................................850,000 .............................................1,240 1FE.......................... QE04 37443G AA 9 GHANA, REPUBLIC OF (GOVERNMENT)................................................................... C............. 03/19/2019........ MERRILL LYNCH PIERCE FENNER & SMITH INC............................................ ....................................................... .........................................259,925 .........................................260,000 ....................................................... 4FE.......................... 37443G AC 5 GHANA, REPUBLIC OF (GOVERNMENT)................................................................... C............. 03/19/2019........ MERRILL LYNCH PIERCE FENNER & SMITH INC............................................ ....................................................... .........................................250,000 .........................................250,000 ....................................................... 4FE.......................... 698299 BB 9 PANAMA, REPUBLIC OF (GOVERNMENT)................................................................ C............. 01/31/2019........ JEFFERIES & CO. - BONDS DIRECT................................................................. ....................................................... .........................................396,600 .........................................400,000 .............................................4,539 2FE.......................... 699149 AH 3 PARAGUAY, REPUBLIC OF (GOVERNMENT)............................................................ C............. 02/04/2019........ MORGAN STANLEY & CO INC, NY.................................................................... ....................................................... .........................................209,973 .........................................210,000 ....................................................... 3FE.......................... 715638 BM 3 PERU, REPUBLIC OF (GOVERNMENT)..................................................................... C............. 03/28/2019........ VARIOUS............................................................................................................ ....................................................... .........................................322,175 .........................................250,000 .............................................5,180 2FE.......................... 71654Q BE 1 PETROLEOS MEXICANOS.......................................................................................... C............. 03/11/2019........ VARIOUS............................................................................................................ ....................................................... .........................................323,668 .........................................400,000 .............................................4,634 2FE.......................... 71654Q CC 4 PETROLEOS MEXICANOS.......................................................................................... C............. 01/30/2019........ VARIOUS............................................................................................................ ....................................................... .........................................290,720 .........................................337,000 .............................................7,978 2FE.......................... 71654Q CG 5 PETROLEOS MEXICANOS.......................................................................................... C............. 01/18/2019........ JEFFERIES & CO. - BONDS DIRECT................................................................. ....................................................... .........................................236,580 .........................................240,000 .............................................5,633 2FE.......................... 718286 BZ 9 PHILIPPINES, REPUBLIC OF THE (GOVERNMENT................................................... C............. 01/24/2019........ JPMorgan Chase Bank/Euroclear Bank............................................................... ....................................................... .........................................907,875 .........................................900,000 ................................................790 2FE.......................... 718286 CB 1 PHILIPPINES, REPUBLIC OF THE (GOVERNMENT................................................... C............. 03/15/2019........ BARCLAYS BANK PLC, LONDON BRANCH....................................................... ....................................................... .........................................790,000 .........................................800,000 .............................................3,864 2FE.......................... 718286 CG 0 PHILIPPINES, REPUBLIC OF THE (GOVERNMENT................................................... C............. 02/12/2019........ VARIOUS............................................................................................................ ....................................................... ......................................2,117,542 ......................................2,110,000 .............................................2,500 2FE.......................... 74727P BB 6 QATAR, STATE OF (GOVERNMENT)......................................................................... C............. 03/22/2019........ VARIOUS............................................................................................................ ....................................................... .........................................489,500 .........................................480,000 ................................................321 1FE.......................... 77586T AA 4 ROMANIA, REPUBLIC OF (GOVERNMENT)............................................................... D............. 01/31/2019........ BNP Paribas........................................................................................................ ....................................................... .........................................216,950 .........................................200,000 .............................................6,638 2FE.......................... 80413T AL 3 SAUDI ARABIA, KINGDOM OF (GOVERNMENT)....................................................... C............. 02/22/2019........ VARIOUS............................................................................................................ ....................................................... .........................................954,984 .........................................950,000 .............................................2,042 1FE.......................... 85227S AZ 9 SRI LANKA, DEMOCRATIC SOCIALIST REPUBLIC................................................... C............. 03/07/2019........ HSBC SECURITIES............................................................................................ ....................................................... .........................................310,000 .........................................310,000 ....................................................... 4FE.......................... 857524 AC 6 POLAND, REPUBLIC OF (GOVERNMENT)................................................................. C............. 03/12/2019........ BNP PARIBAS LONDON BRANCH..................................................................... ....................................................... .........................................833,552 .........................................800,000 .............................................4,622 1FE.......................... 91822Q 2A 4 UZBEKISTAN, REPUBLIC OF (GOVERNMENT)......................................................... C............. 02/13/2019........ Citigroup (SSB).................................................................................................... ....................................................... .........................................240,000 .........................................240,000 ....................................................... 3FE.......................... G02491 AB 7 AMBER CIRCLE FUNDING LTD.................................................................................. D............. 01/30/2019........ CITIGROUP GLOBAL MARKETS LIMITED......................................................... ....................................................... .........................................197,186 .........................................200,000 .............................................1,029 1FE.......................... M0153C AB 0 ABU DHABI, EMIRATE OF.......................................................................................... D............. 03/12/2019........ VARIOUS............................................................................................................ ....................................................... .........................................684,560 .........................................700,000 .............................................8,602 1FE.......................... M0153C AD 6 ABU DHABI, EMIRATE OF.......................................................................................... D............. 02/19/2019........ VARIOUS............................................................................................................ ....................................................... .........................................694,000 .........................................700,000 .............................................9,705 1FE.......................... M6320U AS 8 SAUDI ARABIA, KINGDOM OF (GOVERNMENT)....................................................... D............. 03/29/2019........ VARIOUS............................................................................................................ ....................................................... .........................................963,900 .........................................900,000 .............................................9,800 1FE.......................... M6417J AA 6 KUWAIT, STATE OF (GOVERNMENT)........................................................................ D............. 01/31/2019........ MERRILL LYNCH INTERNATIONAL................................................................... ....................................................... .........................................402,400 .........................................400,000 .............................................5,211 1FE.......................... M75242 BH 5 OMAN, SULTANATE OF (GOVERNMENT).................................................................. D............. 02/08/2019........ VARIOUS............................................................................................................ ....................................................... .........................................596,250 .........................................700,000 ...........................................17,081 3FE.......................... M75242 BJ 1 OMAN, SULTANATE OF (GOVERNMENT).................................................................. D............. 02/08/2019........ MERRILL LYNCH INTERNATIONAL................................................................... ....................................................... .........................................460,000 .........................................500,000 .............................................1,953 3FE.......................... M8489S AG 2 QATAR, STATE OF (GOVERNMENT)......................................................................... D............. 03/29/2019........ VARIOUS............................................................................................................ ....................................................... ......................................1,301,400 ......................................1,200,000 ...........................................21,263 1FE.......................... M87883 DJ 6 LEBANESE REPUBLIC................................................................................................ D............. 01/11/2019........ BANK OF AMERICA NATL TR & SVGS, NEW YORK......................................... ....................................................... .........................................257,250 .........................................350,000 .............................................3,016 4FE.......................... P19111 BF 2 BUENOS AIRES, PROVINCE OF................................................................................ D............. 01/29/2019........ VARIOUS............................................................................................................ ....................................................... ...........................................83,322 .........................................131,250 .............................................1,067 4FE.......................... P3699P GH 4 COSTA RICA, REPUBLIC OF (GOVERNMENT).......................................................... C............. 02/25/2019........ Jefferies............................................................................................................... ....................................................... .........................................189,000 .........................................200,000 .............................................5,561 4FE.......................... Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 CUSIP Identification Description 3 Foreign 4 Date Acquired 5 Name of Vendor 6 Number of Shares of Stock 7 Actual Cost 8 Par Value 9 10 NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) P37110 AN 6 EMPRESA NACIONAL DEL PETROLEO..................................................................... D............. 02/05/2019........ SANTANDER INVESTMENT SECURITIES, INC................................................. ....................................................... .........................................210,000 .........................................200,000 .............................................2,654 2FE.......................... P37466 AP 7 EMPRESA DE TRANSPORTE DE PASAJEROS METRO............................................ C............. 03/25/2019........ Standard Chartered Bank..................................................................................... ....................................................... .........................................210,000 .........................................200,000 .............................................1,722 1FE.......................... P7808B AA 5 PETROLEOS DEL PERU PETROPERU SA................................................................. C............. 03/07/2019........ VARIOUS............................................................................................................ ....................................................... .........................................794,600 .........................................800,000 .............................................7,758 2FE.......................... P8054Q AW 3 ECUADOR, REPUBLIC OF (GOVERNMENT).............................................................. D............. 02/25/2019........ VARIOUS............................................................................................................ ....................................................... .........................................463,350 .........................................500,000 .............................................3,150 4FE.......................... V21735 AB 7 ANGOLA, REPUBLIC OF (GOVERNMENT)................................................................. D............. 02/07/2019........ HSBC SECURITIES (USA), INC.......................................................................... ....................................................... .........................................209,750 .........................................200,000 .............................................2,917 4FE.......................... V7179U AF 6 ZAMBIA, REPUBLIC OF (GOVERNMENT).................................................................. D............. 01/17/2019........ CITIGROUP GLOBAL MARKETS INC................................................................. ....................................................... .........................................199,375 .........................................250,000 ...........................................10,714 4FE.......................... X7327K BU 3 LITHUANIA, REPUBLIC OF (GOVERNMENT)............................................................. D............. 03/12/2019........ MORGAN STANLEY AND CO INC...................................................................... ....................................................... .........................................656,250 .........................................600,000 .............................................4,748 1FE.......................... X74359 AE 4 RUSSIAN FEDERATION (GOVERNMENT)................................................................. D............. 01/30/2019........ GOLDMAN SACHS & CO, NY............................................................................. ....................................................... .........................................207,500 .........................................200,000 .............................................3,656 2FE.......................... Y23874 GR 8 EXPORT-IMPORT BANK OF INDIA............................................................................. D............. 03/12/2019........ NOMURA INTERNATIONAL PLC........................................................................ ....................................................... .........................................506,720 .........................................500,000 .............................................3,333 2FE.......................... 1099999. Total - Bonds - All Other Government......................................................................................... ........................................................................................................................................................................... ....................................................... ....................................19,242,954 ....................................19,418,250 .........................................174,922 ............XXX.............. Bonds - U.S. States, Territories and Possessions 20772J AC 6 CONNECTICUT ST...................................................................................................... ................ 03/21/2019........ BB&T SECURITIES, LLC..................................................................................... ....................................................... ......................................2,202,780 ......................................2,000,000 ...........................................49,203 1FE.......................... 1799999. Total - Bonds - U.S. States, Territories & Possessions................................................................ ........................................................................................................................................................................... ....................................................... ......................................2,202,780 ......................................2,000,000 ...........................................49,203 ............XXX.............. Bonds - U.S. Political Subdivisions of States 181059 C2 0 CLARK CNTY NEV SCH DIST..................................................................................... ................ 01/14/2019........ BB&T SECURITIES, LLC..................................................................................... ....................................................... ......................................2,068,780 ......................................2,000,000 ...........................................16,667 1FE.......................... 2499999. Total - Bonds - U.S. Political Subdivisions of States.................................................................... ........................................................................................................................................................................... ....................................................... ......................................2,068,780 ......................................2,000,000 ...........................................16,667 ............XXX.............. Bonds - U.S. Special Revenue and Special Assessment QE04.1 3128MF FC 7 FH G16263 - RMBS..................................................................................................... ................ 03/08/2019........ MORGAN STANLEY CO..................................................................................... ....................................................... ......................................6,647,720 ......................................6,622,884 .............................................9,382 1............................... 3128MJ Y5 3 FH G08731 - RMBS..................................................................................................... ................ 01/02/2019........ NOMURA SECURITIES INTL INC....................................................................... ....................................................... ......................................4,273,269 ......................................4,470,591 ................................................931 1............................... 3128MJ ZE 3 FH G08740 - RMBS..................................................................................................... ................ 01/02/2019........ NOMURA SECURITIES INTL INC....................................................................... ....................................................... ......................................7,370,751 ......................................7,684,072 .............................................1,601 1............................... 3128MJ ZL 7 FH G08746 - RMBS..................................................................................................... ................ 01/02/2019........ NOMURA SECURITIES INTL INC....................................................................... ....................................................... ......................................7,370,764 ......................................7,623,836 .............................................1,588 1............................... 31335A Z6 8 FH G60765 - RMBS..................................................................................................... ................ 03/08/2019........ MERRILL LYNCH PIERCE FENNER................................................................... ....................................................... ......................................3,155,877 ......................................3,202,412 .............................................3,202 1............................... 3136AP FH 0 FNR 1545B VY - CMO/RMBS...................................................................................... ................ 02/28/2019........ GOLDMAN.......................................................................................................... ....................................................... ......................................8,212,944 ......................................8,915,000 .............................................2,476 1............................... 3136AV Y5 2 FNA 17M04 A2 - CMBS................................................................................................ ................ 02/08/2019........ Citigroup (SSB).................................................................................................... ....................................................... ......................................1,759,129 ......................................1,825,000 .............................................1,580 1............................... 3136AW D4 6 FNR 1746B VG - CMO/RMBS...................................................................................... ................ 02/28/2019........ MERRILL LYNCH PIERCE FENNER................................................................... ....................................................... ......................................3,063,877 ......................................3,073,000 .............................................1,195 1............................... 3137BL MZ 8 FHMS K049 A2 - CMBS............................................................................................... ................ 03/07/2019........ MORGAN STANLEY CO..................................................................................... ....................................................... ......................................4,765,029 ......................................4,750,000 .............................................4,369 1............................... 3137F2 LJ 3140J5 FG 9 FN BM1066 - RMBS..................................................................................................... ................ 03/11/2019........ VARIOUS............................................................................................................ ....................................................... ......................................3,550,743 ......................................3,455,336 .............................................3,455 1............................... 3 FHMS K066 A2 - CMBS............................................................................................... ................ 03/08/2019........ BARCLAYS CAPITAL INC FIXED INC................................................................ ....................................................... .........................................999,883 ......................................1,000,000 .............................................1,039 1............................... 3140JA HE 1 FN BM5628 - RMBS..................................................................................................... ................ 03/07/2019........ MORGAN STANLEY CO..................................................................................... ....................................................... ......................................5,406,907 ......................................5,189,593 .............................................7,784 1............................... 574296 AW 9 MARYLAND ST STAD AUTH REV............................................................................... ................ 03/14/2019........ BB&T SECURITIES, LLC..................................................................................... ....................................................... ......................................4,495,640 ......................................4,000,000 ...........................................76,111 1FE.......................... 837151 JH 3 SOUTH CAROLINA ST PUB SVC AUTH REV............................................................. ................ 01/29/2019........ BB&T SECURITIES, LLC..................................................................................... ....................................................... ......................................1,597,095 ......................................1,500,000 ...........................................13,750 1FE.......................... 3199999. Total - Bonds - U.S. Special Revenue and Special Assessments................................................ ........................................................................................................................................................................... ....................................................... ....................................62,669,628 ....................................63,311,724 .........................................128,465 ............XXX.............. Bonds - Industrial and Miscellaneous 00182E BK 4 ANZ NEW ZEALAND (INT'L) LTD................................................................................ C............. 03/12/2019........ Citigroup (SSB).................................................................................................... ....................................................... ......................................1,999,820 ......................................2,000,000 ....................................................... 1FE.......................... 00206R CU 4 AT&T INC..................................................................................................................... ................ 03/01/2019........ BARCLAYS CAPITAL INC FIXED INC................................................................ ....................................................... ......................................1,573,200 ......................................1,500,000 .............................................4,708 2FE.......................... 00206R DG 4 AT&T INC..................................................................................................................... ................ 03/08/2019........ JP MORGAN SECURITIES LLC.......................................................................... ....................................................... ......................................2,385,579 ......................................2,100,000 .............................................4,091 2FE.......................... 00216L AA 1 ASB BANK LTD............................................................................................................ C............. 03/29/2019........ NATWEST SECURITIES..................................................................................... ....................................................... .........................................819,728 .........................................800,000 .............................................9,000 1FE.......................... 02582J HJ 2 AMXCA 176 A - ABS.................................................................................................... ................ 03/29/2019........ Citigroup (SSB).................................................................................................... ....................................................... ......................................1,995,789 ......................................2,010,000 .............................................1,936 1FE.......................... 035240 AQ 3 ANHEUSER-BUSCH INBEV WORLDWIDE INC.......................................................... C............. 01/10/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................................... ......................................5,108,856 ......................................5,125,000 ....................................................... 2FE.......................... 036752 AH 6 ANTHEM INC............................................................................................................... ................ 03/01/2019........ WELLS FARGO SECURITIES LLC..................................................................... ....................................................... ......................................1,923,402 ......................................1,950,000 ................................................986 2FE.......................... 03938L BA 1 ARCELORMITTAL SA.................................................................................................. C............. 03/06/2019........ Citigroup (SSB).................................................................................................... ....................................................... ......................................3,988,600 ......................................4,000,000 ....................................................... 2FE.......................... 05522R CZ 9 BACCT 18A2 A - ABS.................................................................................................. ................ 03/29/2019........ MIZUHO SECURITIES USA INC......................................................................... ....................................................... ......................................4,491,719 ......................................4,450,000 .............................................6,304 1FE.......................... 05968L AG 7 BANCOLOMBIA SA...................................................................................................... C............. 03/29/2019........ BANCO SANTANDER CENTRAL HISPANO....................................................... ....................................................... .........................................443,056 .........................................420,000 .............................................8,177 2FE.......................... 06035R BH 8 BANK 18BK14 XA - CMBS........................................................................................... ................ 03/15/2019........ GOLDMAN.......................................................................................................... ....................................................... ......................................1,218,269 ....................................................... .............................................8,503 1FE.......................... Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 CUSIP Identification Description 3 Foreign 4 Date Acquired 5 Name of Vendor 6 Number of Shares of Stock 7 Actual Cost 8 Par Value 9 10 NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) 065403 BD 8 BANK 19BN17 XA - CMBS........................................................................................... ................ 03/25/2019........ MORGAN STANLEY CO..................................................................................... ....................................................... ......................................6,737,443 ....................................................... .............................................6,929 1FE.......................... 06541K BB 3 BANK 18BK12 XA - CMBS........................................................................................... ................ 03/15/2019........ MORGAN STANLEY CO..................................................................................... ....................................................... ......................................6,406,077 ....................................................... ...........................................44,835 1FE.......................... 06650A AE 7 BANK 17BNK8 A4 - CMBS........................................................................................... ................ 03/25/2019........ MERRILL LYNCH PIERCE FENNER................................................................... ....................................................... .........................................143,150 .........................................140,000 ................................................353 1FM.......................... 08162V AF 5 BMARK 2019-B10 XA - CMBS..................................................................................... ................ 03/22/2019........ DEUTSCHE BANC ALEX. BROWN INST............................................................ ....................................................... ......................................5,103,756 ....................................................... ...........................................18,639 1FE.......................... 09659W 2D 5 BNP PARIBAS SA........................................................................................................ C............. 03/07/2019........ BNP PARIBAS NY BRANCH/PARIS BONDS...................................................... ....................................................... .........................................972,980 ......................................1,000,000 .............................................5,813 1FE.......................... 10112R AX 2 BOSTON PROPERTIES LP......................................................................................... ................ 03/04/2019........ BARCLAYS CAPITAL INC FIXED INC................................................................ ....................................................... ......................................3,917,373 ......................................3,950,000 ...........................................14,017 2FE.......................... 115236 AB 7 BROWN & BROWN INC............................................................................................... ................ 03/08/2019........ RBC CAPITAL MARKETS................................................................................... ....................................................... ......................................5,527,356 ......................................5,550,000 ................................................694 2FE.......................... 124857 AR 4 CBS CORP.................................................................................................................. ................ 03/04/2019........ BAIRD, ROBERT W., & COMPANY IN................................................................ ....................................................... ......................................3,582,151 ......................................3,925,000 ...........................................16,125 2FE.......................... 12632Q AX 1 COMM 14CR18 A5 - CMBS......................................................................................... ................ 03/07/2019........ DEUTSCHE BANC ALEX. BROWN INST............................................................ ....................................................... ......................................2,399,226 ......................................2,322,300 .............................................2,469 1FM.......................... 140420 NB 2 CAPITAL ONE BANK USA NA..................................................................................... ................ 03/07/2019........ KEYBANK CAPITAL MARKETS INC................................................................... ....................................................... ......................................2,475,000 ......................................2,500,000 .............................................6,094 2FE.......................... 224044 CK 1 COX COMMUNICATIONS INC.................................................................................... ................ 03/01/2019........ BARCLAYS CAPITAL INC FIXED INC................................................................ ....................................................... ......................................1,714,538 ......................................1,875,000 .............................................4,792 2FE.......................... 233851 DR 2 DAIMLER FINANCE NORTH AMERICA LLC............................................................... C............. 02/19/2019........ Citigroup (SSB).................................................................................................... ....................................................... ......................................3,994,000 ......................................4,000,000 ....................................................... 1FE.......................... QE04.2 24703D AY 7 DELL INTERNATIONAL LLC........................................................................................ ................ 03/06/2019........ JP MORGAN SECURITIES LLC.......................................................................... ....................................................... ......................................2,986,770 ......................................3,000,000 ....................................................... 2FE.......................... 254687 DE 3 WALT DISNEY CO....................................................................................................... ................ 03/20/2019........ CORPORATE ACTION........................................................................................ ....................................................... ......................................2,308,939 ......................................1,920,000 ...........................................57,493 1FE.......................... 25746U CE 7 DOMINION RESOURCES INC..................................................................................... ................ 03/07/2019........ JANE STREET EXECUTION SERVICES LLC..................................................... ....................................................... ......................................3,883,676 ......................................3,825,000 ...........................................66,300 2FE.......................... 26078J AE 0 DOWDUPONT INC...................................................................................................... ................ 03/07/2019........ GOLDMAN.......................................................................................................... ....................................................... ......................................5,309,050 ......................................5,000,000 ...........................................76,091 2FE.......................... 26884T AS 1 ERAC USA FINANCE LLC........................................................................................... ................ 03/04/2019........ US BANCORP INVESTMENTS INC.................................................................... ....................................................... ......................................1,685,424 ......................................1,850,000 ...........................................26,979 2FE.......................... 29279F AA 7 ENERGY TRANSFER OPERATING LP....................................................................... ................ 01/08/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................................... ......................................1,248,125 ......................................1,250,000 ....................................................... 2FE.......................... 314890 AA 2 FERGUSON FINANCE PLC......................................................................................... C............. 03/06/2019........ BNP PARIBAS NY BRANCH LONDON BONDS.................................................. ....................................................... ......................................2,354,219 ......................................2,375,000 ...........................................39,781 2FE.......................... 378272 AV 0 GLENCORE FUNDING LLC......................................................................................... C............. 03/05/2019........ JP MORGAN SECURITIES LLC.......................................................................... ....................................................... .........................................996,710 ......................................1,000,000 ....................................................... 2FE.......................... 38141G WM 2 GOLDMAN SACHS GROUP INC................................................................................. ................ 03/07/2019........ RBC CAPITAL MARKETS................................................................................... ....................................................... ......................................3,924,880 ......................................4,000,000 ...........................................15,171 1FE.......................... 40414L AN 9 HCP INC...................................................................................................................... ................ 03/05/2019........ Citigroup (SSB).................................................................................................... ....................................................... ......................................3,876,873 ......................................3,850,000 ...........................................41,067 2FE.......................... 404280 BZ 1 HSBC HOLDINGS PLC................................................................................................ C............. 03/07/2019........ HSBC SECURITIES............................................................................................ ....................................................... ......................................1,003,800 ......................................1,000,000 ....................................................... 1FE.......................... 42824C AW 9 HEWLETT PACKARD ENTERPRISE CO..................................................................... ................ 03/04/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................................... ......................................2,554,836 ......................................2,450,000 ...........................................47,020 2FE.......................... 445658 CF 2 J B HUNT TRANSPORT SERVICES INC..................................................................... ................ 02/26/2019........ BNY/SUNTRUST CAPITAL MARKETS............................................................... ....................................................... ......................................1,999,880 ......................................2,000,000 ....................................................... 2FE.......................... 45685N AA 4 ING GROEP NV........................................................................................................... C............. 03/01/2019........ CREDIT SUISSE SECURITIES (USA)................................................................. ....................................................... ......................................3,853,066 ......................................3,725,000 ...........................................52,641 1FE.......................... 45900T AA 0 INTERNATIONAL AIRPORT FINANCE SA.................................................................. C............. 03/08/2019........ Citigroup (SSB).................................................................................................... ....................................................... .........................................200,000 .........................................200,000 ....................................................... 4FE.......................... 476556 DC 6 JERSEY CENTRAL POWER & LIGHT CO................................................................... ................ 02/05/2019........ MORGAN STANLEY CO..................................................................................... ....................................................... ......................................3,906,634 ......................................3,850,000 ...........................................10,577 2FE.......................... 49836A AB 0 KLABIN AUSTRIA GMBH............................................................................................. C............. 03/27/2019........ Citigroup (SSB).................................................................................................... ....................................................... .........................................196,920 .........................................200,000 ....................................................... 3FE.......................... 50200F AC 3 LCM 26 A1 - CDO........................................................................................................ C............. 03/01/2019........ SG AMERICAS SECURITIES, LLC..................................................................... ....................................................... ......................................6,498,910 ......................................6,550,000 ...........................................29,275 1FE.......................... 571748 BF 8 MARSH & MCLENNAN COMPANIES INC................................................................... ................ 01/08/2019........ Citigroup (SSB).................................................................................................... ....................................................... ......................................1,679,076 ......................................1,680,000 ....................................................... 1FE.......................... 571900 BB 4 MARRIOTT INTERNATIONAL INC.............................................................................. ................ 03/06/2019........ WELLS FARGO SECURITIES LLC..................................................................... ....................................................... ......................................3,876,148 ......................................3,895,000 ....................................................... 2FE.......................... 600814 AQ 0 MILLICOM INTERNATIONAL CELLULAR SA.............................................................. C............. 03/14/2019........ GOLDMAN.......................................................................................................... ....................................................... .........................................200,000 .........................................200,000 ....................................................... 3FE.......................... 695114 CU 0 PACIFICORP............................................................................................................... ................ 02/25/2019........ MITSUBISHI UFJ SECURITIES.......................................................................... ....................................................... ......................................3,034,376 ......................................3,040,000 ....................................................... 1FE.......................... 71647N AY 5 PETROBRAS GLOBAL FINANCE BV.......................................................................... C............. 01/10/2019........ SANTANDER INVESTMENT SECURITIES, INC................................................. ....................................................... .........................................594,600 .........................................600,000 ...........................................16,697 3FE.......................... 71647N BD 0 PETROBRAS GLOBAL FINANCE BV.......................................................................... C............. 03/29/2019........ VARIOUS............................................................................................................ ....................................................... .........................................269,100 .........................................270,000 ................................................299 3FE.......................... 74988L AA 2 RRAM 3RR A1R - CDO................................................................................................ ................ 03/01/2019........ BNP Paribas........................................................................................................ ....................................................... ......................................6,600,125 ......................................6,650,000 ...........................................35,095 1FE.......................... 773903 AJ 8 ROCKWELL AUTOMATION INC.................................................................................. ................ 02/27/2019........ MERRILL LYNCH PIERCE FENNER................................................................... ....................................................... ......................................1,422,820 ......................................1,425,000 ....................................................... 1FE.......................... 834423 AB 1 SOLVAY FINANCE AMERICA LLC.............................................................................. C............. 03/08/2019........ BNP PARIBAS NY BRANCH LONDON BONDS.................................................. ....................................................... ......................................3,396,995 ......................................3,341,000 ...........................................40,885 2FE.......................... 84265V AJ 4 SOUTHERN COPPER CORP...................................................................................... C............. 02/06/2019........ GOLDMAN SACHS & CO, NY............................................................................. ....................................................... .........................................215,374 .........................................200,000 .............................................3,411 2FE.......................... 853254 BM 1 STANDARD CHARTERED PLC................................................................................... C............. 03/07/2019........ BARCLAYS CAPITAL INC FIXED INC................................................................ ....................................................... ......................................5,663,336 ......................................5,600,000 ...........................................33,693 1FE.......................... 87166P AE 1 SYNIT 191 A - ABS...................................................................................................... ................ 03/08/2019........ MERRILL LYNCH PIERCE FENNER................................................................... ....................................................... ......................................4,424,773 ......................................4,425,000 ....................................................... 1FE.......................... 889184 AC 1 TOLEDO HOSPITAL.................................................................................................... ................ 02/19/2019........ BB&T SECURITIES, LLC..................................................................................... ....................................................... ......................................2,587,250 ......................................2,500,000 ...........................................42,896 2FE.......................... 893574 AH 6 TRANSCONTINENTAL GAS PIPE LINE COMPANY L................................................. ................ 03/01/2019........ Citigroup (SSB).................................................................................................... ....................................................... ......................................2,577,330 ......................................2,100,000 ...........................................15,569 2FE.......................... 90011Q AC 4 TURK TELEKOMUNIKASYON AS............................................................................... C............. 02/21/2019........ JPMorgan Chase Bank/Euroclear Bank............................................................... ....................................................... .........................................198,792 .........................................200,000 ....................................................... 3FE.......................... Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 CUSIP Identification Description 3 Foreign 4 Date Acquired 5 Name of Vendor 6 Number of Shares of Stock 7 Actual Cost 8 Par Value 9 10 NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) 90352J AE 3 UBS GROUP FUNDING SWITZERLAND AG............................................................... C............. 03/18/2019........ UBS SECURITIES LLC....................................................................................... ....................................................... .........................................980,690 ......................................1,000,000 .............................................2,780 1FE.......................... 91324P DQ 2 UNITEDHEALTH GROUP INC..................................................................................... ................ 03/26/2019........ WELLS FARGO SECURITIES LLC..................................................................... ....................................................... ......................................1,078,160 ......................................1,000,000 ...........................................12,485 1FE.......................... 92857W BM 1 VODAFONE GROUP PLC............................................................................................ C............. 03/04/2019........ SEAPORT GROUP SECURITIES, LLC............................................................... ....................................................... ......................................2,159,753 ......................................2,250,000 ...........................................31,500 2FE.......................... 92939K AD 0 WFRBS 14C24 A4 - CMBS.......................................................................................... ................ 03/06/2019........ WELLS FARGO SECURITIES LLC..................................................................... ....................................................... ......................................2,716,664 ......................................2,700,000 .............................................1,755 1FE.......................... 92939K AF 5 WFRBS 14C24 ASB - CMBS........................................................................................ ................ 03/28/2019........ WELLS FARGO SECURITIES LLC..................................................................... ....................................................... ......................................2,059,251 ......................................2,025,000 ....................................................... 1FM.......................... G0719W AB 0 AVI FUNDING COMPANY LTD.................................................................................... D............. 03/12/2019........ BARCLAYS BANK PLC....................................................................................... ....................................................... .........................................302,412 .........................................300,000 .............................................5,637 1FE.......................... G1987Z AB 6 CDB LEASING CO LTD............................................................................................... D............. 03/07/2019........ UBS AG London.................................................................................................. ....................................................... .........................................201,822 .........................................200,000 .............................................2,338 1FE.......................... G6S79L AC 3 MINMETALS BOUNTEOUS FINANCE (BVI) LTD........................................................ ................ 03/12/2019........ NOMURA INTERNATIONAL PLC........................................................................ ....................................................... .........................................299,949 .........................................300,000 .............................................1,645 2FE.......................... G7303Z AF 1 QTEL INTERNATIONAL FINANCE LTD....................................................................... D............. 02/28/2019........ CITIGROUP GLOBAL MARKETS LIMITED......................................................... ....................................................... .........................................198,200 .........................................200,000 ................................................235 1FE.......................... G8185T AA 7 SINOCHEM OVERSEAS CAPITAL CO LTD................................................................ D............. 01/30/2019........ MERRILL LYNCH INTERNATIONAL................................................................... ....................................................... .........................................203,010 .........................................200,000 .............................................1,975 1FE.......................... G8449V AC 0 STATE GRID CORPORATION OF CHINA................................................................... D............. 03/13/2019........ WELLS FARGO SECURITIES INTERNATIONAL LTD........................................ ....................................................... .........................................419,716 .........................................400,000 .............................................5,493 1FE.......................... G8449W AC 8 STATE GRID OVERSEAS INVESTMENT 2014 LTD.................................................... D............. 03/12/2019........ BANK OF AMERICA NATL TR & SVGS, NEW YORK......................................... ....................................................... .........................................207,454 .........................................200,000 .............................................2,910 1FE.......................... G8450L AJ 3 STATE GRID OVERSEAS INVESTMENT (2016) LT.................................................... C............. 03/12/2019........ VARIOUS............................................................................................................ ....................................................... .........................................489,434 .........................................500,000 .............................................5,483 1FE.......................... G8850L AC 4 THREE GORGES FINANCE I (CAYMAN ISLANDS).................................................... C............. 01/31/2019........ BARCLAYS CAPITAL SECURITIES.................................................................... ....................................................... .........................................385,000 .........................................400,000 .............................................2,170 1FE.......................... M28505 AC 5 DP WORLD LTD.......................................................................................................... D............. 01/23/2019........ MIZUHO INTERNATIONAL PLC......................................................................... ....................................................... .........................................848,794 .........................................870,000 ...........................................16,313 2FE.......................... M6263A AA 0 KUWAIT PROJECTS CO SPC LTD............................................................................. D............. 01/29/2019........ CITIGROUP GLOBAL MARKETS LIMITED......................................................... ....................................................... .........................................492,900 .........................................530,000 ...........................................10,401 2FE.......................... QE04.3 M8T05R AA 1 TABREED SUKUK SPC LTD....................................................................................... D............. 01/18/2019........ MERRILL LYNCH INTERNATIONAL................................................................... ....................................................... .........................................225,500 .........................................220,000 .............................................2,790 2FE.......................... P0092A AC 3 AEROPUERTO INTERNACIONAL DE TOCUMEN SA................................................. D............. 01/29/2019........ CITIGROUP GLOBAL MARKETS INC................................................................. ....................................................... .........................................428,925 .........................................420,000 .............................................4,725 2FE.......................... P2205J AQ 3 CENCOSUD SA........................................................................................................... C............. 01/10/2019........ MERRILL LYNCH INTERNATIONAL................................................................... ....................................................... .........................................521,413 .........................................590,000 ...........................................12,691 2FE.......................... Y1670Y AB 1 CNAC HK FINBRIDGE CO LTD................................................................................... D............. 01/30/2019........ HSBC Bank PLC.................................................................................................. ....................................................... .........................................195,560 .........................................200,000 ................................................275 2FE.......................... Y1670Y AC 9 CNAC HK FINBRIDGE CO LTD................................................................................... D............. 03/12/2019........ VARIOUS............................................................................................................ ....................................................... .........................................590,572 .........................................600,000 .............................................1,536 2FE.......................... Y27187 AE 6 GLOBAL LOGISTIC PROPERTIES LTD...................................................................... D............. 01/02/2019........ CITIGROUP GLOBAL MARKETS LIMITED......................................................... ....................................................... .........................................213,072 .........................................240,000 ................................................775 2FE.......................... Y39427 DV 1 INDIAN RAILWAY FINANCE CORP LTD..................................................................... D............. 03/13/2019........ WELLS FARGO SECURITIES INTERNATIONAL LTD........................................ ....................................................... .........................................193,312 .........................................200,000 .............................................1,960 2FE.......................... Y68856 AQ 9 PETRONAS CAPITAL LTD.......................................................................................... C............. 03/19/2019........ VARIOUS............................................................................................................ ....................................................... .........................................965,496 .........................................900,000 ...........................................12,063 1FE.......................... Y7311H AK 0 RIZAL COMMERCIAL BANKING CORP...................................................................... D............. 02/15/2019........ GOLDMAN SACHS INTL..................................................................................... ....................................................... .........................................227,700 .........................................230,000 .............................................4,059 2FE.......................... 3899999. Total - Bonds - Industrial and Miscellaneous............................................................................... ........................................................................................................................................................................... ....................................................... ..................................171,054,634 ..................................150,463,300 .........................................959,398 ............XXX.............. Bonds - Hybrid Securities 05578Q AB 9 BPCE SA...................................................................................................................... C............. 03/07/2019........ CREDIT SUISSE SECURITIES (USA)................................................................. ....................................................... ......................................1,032,140 ......................................1,000,000 .............................................7,153 2FE.......................... 4899999. Total - Bonds - Hybrid Securities................................................................................................. ........................................................................................................................................................................... ....................................................... ......................................1,032,140 ......................................1,000,000 .............................................7,153 ............XXX.............. Bonds - SVO Identified Funds 92189H 30 0 VANECK VCTR J P MORGN LCL BND ETF................................................................ ................ 03/07/2019........ PERSHING DIV OF DLJ SEC LNDING............................................................... ....................................................... ......................................1,698,113 ....................................................... ....................................................... 2............................... 8199999. Total - Bonds - SVO Identified Funds.......................................................................................... ........................................................................................................................................................................... ....................................................... ......................................1,698,113 ....................................................0 ....................................................0 ............XXX.............. 8399997. Total - Bonds - Part 3.................................................................................................................. ........................................................................................................................................................................... ....................................................... ..................................394,006,304 ..................................373,966,219 ......................................1,769,140 ............XXX.............. 8399999. Total - Bonds.............................................................................................................................. ........................................................................................................................................................................... ....................................................... ..................................394,006,304 ..................................373,966,219 ......................................1,769,140 ............XXX.............. Preferred Stocks - Industrial and Miscellaneous 174610 20 4 CITIZENS FINANCIAL GROUP INC............................................................................. ................ 01/22/2019........ MORGAN STANLEY CO..................................................................................... ....................................40,000.000 ......................................1,000,000 ....................................................... ....................................................... ................................. 55261F 60 9 M&T BANK CORP........................................................................................................ ................ 01/28/2019........ BAIRD, ROBERT W., & COMPANY IN................................................................ ......................................2,392.000 ......................................2,421,900 ....................................................... ....................................................... ................................. 8499999. Total - Preferred Stocks - Industrial and Miscellaneous............................................................... ........................................................................................................................................................................... ....................................................... ......................................3,421,900 XXX ....................................................0 ............XXX.............. 8999997. Total - Preferred Stocks - Part 3.................................................................................................. ........................................................................................................................................................................... ....................................................... ......................................3,421,900 XXX ....................................................0 ............XXX.............. 8999999. Total - Preferred Stocks.............................................................................................................. ........................................................................................................................................................................... ....................................................... ......................................3,421,900 XXX ....................................................0 ............XXX.............. Common Stocks - Industrial and Miscellaneous 000957 10 0 ABM INDUSTRIES ORD.............................................................................................. ................ 03/25/2019........ Jefferies............................................................................................................... ......................................6,000.000 .........................................207,150 XXX ....................................................... L............................... 001228 10 5 AG MORTGAGE INVEST TRUST REIT ORD.............................................................. ................ 03/25/2019........ Jefferies............................................................................................................... ....................................10,000.000 .........................................174,512 XXX ....................................................... L............................... 00130H 10 5 AES ORD..................................................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ....................................15,000.000 .........................................230,175 XXX ....................................................... L............................... Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 3 4 5 6 7 8 9 10 Par Value NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) 00165C 10 4 AMC ENTERTAINMENT HOLDINGS CL A ORD......................................................... C............. 02/25/2019........ Jefferies............................................................................................................... ....................................15,000.000 .........................................204,675 XXX ....................................................... L............................... 00206R 10 2 AT&T ORD................................................................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ....................................88,000.000 ......................................2,655,310 XXX ....................................................... L............................... 002824 10 0 ABBOTT LABORATORIES ORD.................................................................................. ................ 03/25/2019........ Jefferies............................................................................................................... ....................................12,000.000 .........................................938,820 XXX ....................................................... L............................... 00287Y 10 9 ABBVIE ORD............................................................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................421,875 XXX ....................................................... L............................... 00507V 10 9 ACTIVISION BLIZZARD ORD...................................................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................5,000.000 .........................................213,925 XXX ....................................................... L............................... 009158 10 6 AIR PRODUCTS AND CHEMICALS ORD.................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................2,500.000 .........................................451,763 XXX ....................................................... L............................... 018802 10 8 ALLIANT ENERGY ORD.............................................................................................. ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................8,000.000 .........................................340,120 XXX ....................................................... L............................... 020002 10 1 ALLSTATE ORD........................................................................................................... ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................5,000.000 .........................................433,925 XXX ....................................................... L............................... 02005N 10 0 ALLY FINANCIAL ORD................................................................................................ ................ 03/25/2019........ VARIOUS............................................................................................................ ......................................9,000.000 .........................................224,025 XXX ....................................................... L............................... 023608 10 2 AMEREN ORD............................................................................................................. ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................3,000.000 .........................................213,915 XXX ....................................................... L............................... 025537 10 1 AMERICAN ELECTRIC POWER ORD......................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................5,000.000 .........................................373,625 XXX ....................................................... L............................... 026874 78 4 AMERICAN INTERNATIONAL GROUP ORD............................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ....................................11,000.000 .........................................482,185 XXX ....................................................... L............................... 030420 10 3 AMERICAN WATER WORKS ORD.............................................................................. ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................3,000.000 .........................................272,295 XXX ....................................................... L............................... 031162 10 0 AMGEN ORD............................................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................1,000.000 .........................................202,685 XXX ....................................................... L............................... 03748R 75 4 APARTMENT INVST MGT CL A REIT ORD................................................................. ................ 03/01/2019........ Not Available....................................................................................................... .........................................122.000 .............................................6,091 XXX ....................................................... L............................... 03762U 10 5 APOLLO COMM REAL EST FIN REIT ORD................................................................ ................ 03/25/2019........ Jefferies............................................................................................................... ....................................10,000.000 .........................................183,450 XXX ....................................................... L............................... 038222 10 5 APPLIED MATERIAL ORD........................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................5,000.000 .........................................173,825 XXX ....................................................... L............................... 039483 10 2 ARCHER DANIELS MIDLAND ORD............................................................................ ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................8,000.000 .........................................353,720 XXX ....................................................... L............................... 04316A 10 8 ARTISAN PARTNERS ASSET MGMT CL A ORD........................................................ ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................8,000.000 .........................................182,680 XXX ....................................................... L............................... 045487 10 5 ASSOCIATED BANCORP ORD................................................................................... ................ 01/18/2019........ VARIOUS............................................................................................................ ....................................11,000.000 .........................................229,075 XXX ....................................................... L............................... 053015 10 3 AUTOMATIC DATA PROCESSING ORD..................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................6,000.000 .........................................914,970 XXX ....................................................... L............................... 05351W 10 3 AVANGRID ORD.......................................................................................................... C............. 02/25/2019........ Jefferies............................................................................................................... ......................................3,000.000 .........................................147,555 XXX ....................................................... L............................... 053611 10 9 AVERY DENNISON ORD............................................................................................. ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................3,500.000 .........................................366,713 XXX ....................................................... L............................... 05379B 10 7 AVISTA ORD................................................................................................................ ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................5,000.000 .........................................207,875 XXX ....................................................... L............................... 054937 10 7 BB AND T ORD............................................................................................................ ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................10,000.000 .........................................487,950 XXX ....................................................... L............................... 05508R 10 6 B AND G FOODS ORD................................................................................................ ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................8,000.000 .........................................199,720 XXX ....................................................... L............................... 067774 10 9 BARNES AND NOBLE ORD........................................................................................ ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................15,000.000 ...........................................95,625 XXX ....................................................... L............................... 075896 10 0 BED BATH AND BEYOND ORD.................................................................................. ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................10,000.000 .........................................155,150 XXX ....................................................... L............................... 09247X 10 1 BLACKROCK ORD...................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ .........................................800.000 .........................................349,868 XXX ....................................................... L............................... 09257W 10 0 BLACKSTONE MORTGAGE CL A REIT ORD............................................................. ................ 03/25/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................173,575 XXX ....................................................... L............................... 097023 10 5 BOEING ORD.............................................................................................................. ................ 01/18/2019........ Jefferies............................................................................................................... .........................................800.000 .........................................291,788 XXX ....................................................... L............................... 105368 20 3 BRANDYWINE REALTY REIT ORD............................................................................. ................ 03/25/2019........ Jefferies............................................................................................................... ....................................28,000.000 .........................................379,520 XXX ....................................................... L............................... 109043 10 9 BRIGGS AND STRATTON ORD.................................................................................. ................ 02/11/2019........ BTIG LLC............................................................................................................ ....................................10,000.000 .........................................127,943 XXX ....................................................... L............................... 110122 10 8 BRISTOL MYERS SQUIBB ORD................................................................................. ................ 03/25/2019........ Jefferies............................................................................................................... ......................................6,000.000 .........................................284,970 XXX ....................................................... L............................... 11120U 10 5 BRIXMOR PROPERTY GROUP REIT ORD................................................................. ................ 03/25/2019........ Jefferies............................................................................................................... ....................................10,000.000 .........................................179,950 XXX ....................................................... L............................... 11133T 10 3 BROADRIDGE FINANCIAL SOLUTIONS ORD............................................................ ................ 01/18/2019........ Jefferies............................................................................................................... ......................................3,000.000 .........................................303,945 XXX ....................................................... L............................... 118440 10 6 BUCKLE ORD.............................................................................................................. ................ 01/02/2019........ Jefferies............................................................................................................... ....................................15,000.000 .........................................291,375 XXX ....................................................... L............................... 126117 10 0 CNA FINANCIAL ORD................................................................................................. ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................3,000.000 .........................................134,595 XXX ....................................................... L............................... 12662P 10 8 CVR ENERGY ORD..................................................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................206,475 XXX ....................................................... L............................... 126650 10 0 CVS HEALTH ORD...................................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................6,000.000 .........................................393,330 XXX ....................................................... L............................... 134429 10 9 CAMPBELL SOUP ORD............................................................................................... ................ 01/02/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................161,325 XXX ....................................................... L............................... 14040H 10 5 CAPITAL ONE FINANCIAL ORD.................................................................................. ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................3,000.000 .........................................239,865 XXX ....................................................... L............................... 14149Y 10 8 CARDINAL HEALTH ORD........................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................5,000.000 .........................................254,525 XXX ....................................................... L............................... 143658 30 0 CARNIVAL ORD.......................................................................................................... ................ 02/11/2019........ BTIG LLC............................................................................................................ ......................................6,000.000 .........................................340,950 XXX ....................................................... L............................... 149123 10 1 CATERPILLAR ORD.................................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................2,000.000 .........................................265,930 XXX ....................................................... L............................... CUSIP Identification Description Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost QE04.4 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 3 4 5 6 7 8 9 10 Par Value NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) 156700 10 6 CENTURYLINK ORD................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................12,000.000 .........................................145,860 XXX ....................................................... L............................... 166764 10 0 CHEVRON ORD.......................................................................................................... ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................15,000.000 ......................................1,792,275 XXX ....................................................... L............................... 16934Q 20 8 CHIMERA INVESTMENT REIT.................................................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................10,000.000 .........................................184,050 XXX ....................................................... L............................... 17275R 10 2 CISCO SYSTEMS ORD............................................................................................... ................ 01/02/2019........ Jefferies............................................................................................................... ....................................18,000.000 .........................................773,190 XXX ....................................................... L............................... 174610 10 5 CITIZENS FINANCIAL GROUP ORD........................................................................... ................ 01/18/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................177,175 XXX ....................................................... L............................... 191216 10 0 COCA-COLA ORD....................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................39,000.000 ......................................1,780,545 XXX ....................................................... L............................... 19239V 30 2 COGENT COMMUNICATIONS HOLDINGS ORD........................................................ ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................5,000.000 .........................................242,025 XXX ....................................................... L............................... 19247A 10 0 COHEN & STEERS ORD............................................................................................. ................ 02/25/2019........ Jefferies............................................................................................................... ......................................4,000.000 .........................................162,465 XXX ....................................................... L............................... 19626G 10 8 COLONY CAPITAL CL A ORD..................................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ....................................25,000.000 .........................................132,625 XXX ....................................................... L............................... 197236 10 2 COLUMBIA BANKING SYSTEM ORD.......................................................................... ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................5,000.000 .........................................184,025 XXX ....................................................... L............................... 20030N 10 1 COMCAST CL A ORD.................................................................................................. ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................4,000.000 .........................................156,700 XXX ....................................................... L............................... 200340 10 7 COMERICA ORD......................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................2,500.000 .........................................216,313 XXX ....................................................... L............................... 205887 10 2 CONAGRA BRANDS ORD........................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ....................................14,000.000 .........................................300,650 XXX ....................................................... L............................... 209034 10 7 CONSOLIDATED COMMUNICATIONS HLDG ORD.................................................... ................ 01/02/2019........ Jefferies............................................................................................................... ....................................16,000.000 .........................................161,520 XXX ....................................................... L............................... 21870Q 10 5 CORESITE REALTY REIT ORD................................................................................... ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................1,500.000 .........................................154,178 XXX ....................................................... L............................... 21871N 10 1 CORECIVIC REIT ORD............................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................11,000.000 .........................................231,825 XXX ....................................................... L............................... 22282E 10 2 COVANTA HOLDING ORD.......................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................15,000.000 .........................................250,125 XXX ....................................................... L............................... 22410J 10 6 CRACKER BARREL OLD COUNTRY STORE ORD.................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................1,000.000 .........................................159,655 XXX ....................................................... L............................... 22822V 10 1 CROWN CASTLE INTERNATIONAL REIT ORD.......................................................... ................ 03/11/2019........ VARIOUS............................................................................................................ ......................................4,000.000 .........................................486,120 XXX ....................................................... L............................... 233331 10 7 DTE ENERGY ORD..................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................4,000.000 .........................................492,460 XXX ....................................................... L............................... 237194 10 5 DARDEN RESTAURANTS ORD.................................................................................. ................ 03/25/2019........ Jefferies............................................................................................................... ......................................1,000.000 .........................................118,715 XXX ....................................................... L............................... 253868 10 3 DIGITAL REALTY REIT ORD....................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................2,000.000 .........................................226,810 XXX ....................................................... L............................... 257559 20 3 DOMTAR ORD............................................................................................................. C............. 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................3,000.000 .........................................151,545 XXX ....................................................... L............................... 25960P 10 9 DOUGLAS EMMETT REIT ORD.................................................................................. ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................5,000.000 .........................................199,575 XXX ....................................................... L............................... 25960R 10 5 DOUGLAS DYNAMICS ORD....................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................3,000.000 .........................................126,045 XXX ....................................................... L............................... 26441C 20 4 DUKE ENERGY ORD................................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................6,000.000 .........................................511,650 XXX ....................................................... L............................... 277432 10 0 EASTMAN CHEMICAL ORD........................................................................................ ................ 02/25/2019........ Jefferies............................................................................................................... ......................................5,500.000 .........................................464,668 XXX ....................................................... L............................... 283677 85 4 EL PASO ELECTRIC ORD........................................................................................... ................ 02/11/2019........ BTIG LLC............................................................................................................ ......................................4,000.000 .........................................211,740 XXX ....................................................... L............................... 29364G 10 3 ENTERGY ORD........................................................................................................... ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................4,200.000 .........................................374,619 XXX ....................................................... L............................... 29444U 70 0 EQUINIX REIT ORD..................................................................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ .........................................500.000 .........................................215,768 XXX ....................................................... L............................... 297178 10 5 ESSEX PROPERTY REIT ORD................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................1,500.000 .........................................423,053 XXX ....................................................... L............................... 30040W 10 8 EVERSOURCE ENERGY ORD.................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................5,000.000 .........................................330,275 XXX ....................................................... L............................... 30225T 10 2 EXTRA SPACE STORAGE REIT ORD......................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................2,000.000 .........................................192,610 XXX ....................................................... L............................... 302520 10 1 FNB ORD..................................................................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ....................................10,000.000 .........................................122,850 XXX ....................................................... L............................... 313747 20 6 FEDERAL REIT ORD................................................................................................... ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................2,000.000 .........................................265,810 XXX ....................................................... L............................... 337932 10 7 FIRSTENERGY ORD................................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................5,000.000 .........................................192,925 XXX ....................................................... L............................... 354613 10 1 FRANKLIN RESOURCES ORD.................................................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................13,000.000 .........................................424,125 XXX ....................................................... L............................... 36162J 10 6 GEO GROUP REIT ORD............................................................................................. ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................7,000.000 .........................................162,435 XXX ....................................................... L............................... 36467J 10 8 GAMING AND LEISURE PROPERTIES REIT ORD..................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................7,000.000 .........................................255,395 XXX ....................................................... L............................... 36467W 10 9 GAMESTOP CL A ORD............................................................................................... ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................6,000.000 ...........................................67,590 XXX ....................................................... L............................... 36473H 10 4 GANNETT ORD........................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................10,000.000 .........................................116,150 XXX ....................................................... L............................... 364760 10 8 GAP ORD..................................................................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ....................................12,000.000 .........................................302,480 XXX ....................................................... L............................... 369550 10 8 GENERAL DYNAMICS ORD........................................................................................ ................ 01/10/2019........ VARIOUS............................................................................................................ ......................................4,500.000 .........................................718,033 XXX ....................................................... L............................... 370334 10 4 GENERAL MILLS ORD................................................................................................ ................ 03/25/2019........ Jefferies............................................................................................................... ....................................20,000.000 .........................................907,960 XXX ....................................................... L............................... CUSIP Identification Description Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost QE04.5 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 3 4 5 6 7 8 9 10 Par Value NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) 379378 20 1 GLOBAL NET LEASE ORD.......................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................7,000.000 .........................................138,075 XXX ....................................................... L............................... 38267D 10 9 GOOSEHEAD INSURANCE CL A ORD....................................................................... ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................3,000.000 ...........................................83,311 XXX ....................................................... L............................... 410867 10 5 HANOVER INSURANCE GROUP ORD....................................................................... ................ 01/02/2019........ Jefferies............................................................................................................... ......................................2,500.000 .........................................288,438 XXX ....................................................... L............................... 412822 10 8 HARLEY DAVIDSON ORD........................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................4,000.000 .........................................150,180 XXX ....................................................... L............................... 416515 10 4 HARTFORD FINANCIAL SERVICES GRUP ORD....................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................9,000.000 .........................................442,575 XXX ....................................................... L............................... 418056 10 7 HASBRO ORD............................................................................................................. ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................3,000.000 .........................................255,765 XXX ....................................................... L............................... 42225P 50 1 HEALTHCAR TRST OF AM CL A REIT ORD............................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ......................................7,000.000 .........................................200,025 XXX ....................................................... L............................... 423452 10 1 HELMERICH AND PAYNE ORD.................................................................................. ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................5,000.000 .........................................269,875 XXX ....................................................... L............................... 42824C 10 9 HEWLETT PACKARD ENTERPRISE ORD.................................................................. ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................11,000.000 .........................................174,845 XXX ....................................................... L............................... 437076 10 2 HOME DEPOT ORD.................................................................................................... ................ 03/11/2019........ VARIOUS............................................................................................................ ....................................14,000.000 ......................................2,566,560 XXX ....................................................... L............................... 452308 10 9 ILLINOIS TOOL ORD................................................................................................... ................ 03/11/2019........ VARIOUS............................................................................................................ ......................................4,300.000 .........................................619,264 XXX ....................................................... L............................... 458140 10 0 INTEL ORD.................................................................................................................. ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................12,000.000 .........................................600,180 XXX ....................................................... L............................... 459200 10 1 INTERNATIONAL BUSINESS MACHINES ORD.......................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ....................................10,000.000 ......................................1,217,950 XXX ....................................................... L............................... 460146 10 3 INTERNATIONAL PAPER ORD................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................3,000.000 .........................................134,445 XXX ....................................................... L............................... 46620W 10 2 J JILL ORD................................................................................................................... ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ....................................10,000.000 ...........................................69,250 XXX ....................................................... L............................... 46625H 10 0 JPMORGAN CHASE ORD........................................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ....................................32,500.000 ......................................3,220,138 XXX ....................................................... L............................... 478160 10 4 JOHNSON & JOHNSON ORD..................................................................................... ................ 02/11/2019........ BTIG LLC............................................................................................................ ....................................10,000.000 ......................................1,320,050 XXX ....................................................... L............................... 483007 70 4 KAISER ALUMINUM ORD........................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................1,500.000 .........................................163,988 XXX ....................................................... L............................... 487836 10 8 KELLOGG ORD........................................................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................2,000.000 .........................................111,330 XXX ....................................................... L............................... 493267 10 8 KEYCORP ORD........................................................................................................... ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................10,000.000 .........................................163,650 XXX ....................................................... L............................... 49446R 10 9 KIMCO REALTY REIT ORD......................................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ......................................9,000.000 .........................................163,395 XXX ....................................................... L............................... 49803T 30 0 KITE REALTY GROUP REIT ORD............................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................10,000.000 .........................................152,850 XXX ....................................................... L............................... 498904 20 0 KNOLL ORD................................................................................................................. ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................6,000.000 .........................................126,510 XXX ....................................................... L............................... 500754 10 6 KRAFT HEINZ ORD..................................................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ....................................10,000.000 .........................................342,350 XXX ....................................................... L............................... 50105F 10 5 KRONOS WORLDWIDE ORD...................................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ....................................10,000.000 .........................................157,937 XXX ....................................................... L............................... 517834 10 7 LAS VEGAS SANDS ORD........................................................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................4,000.000 .........................................245,420 XXX ....................................................... L............................... 524660 10 7 LEGGETT & PLATT ORD............................................................................................. ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................7,000.000 .........................................308,245 XXX ....................................................... L............................... 532457 10 8 ELI LILLY ORD............................................................................................................. ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................7,000.000 .........................................811,615 XXX ....................................................... L............................... 539830 10 9 LOCKHEED MARTIN ORD.......................................................................................... ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................2,000.000 .........................................584,110 XXX ....................................................... L............................... 55261F 10 4 M&T BANK ORD.......................................................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................4,000.000 .........................................689,900 XXX ....................................................... L............................... 55272X 10 2 MFA FINANCIAL REIT ORD........................................................................................ ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................7,000.000 ...........................................51,135 XXX ....................................................... L............................... 554382 10 1 MACERICH REIT ORD................................................................................................ ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................5,000.000 .........................................227,475 XXX ....................................................... L............................... 554489 10 4 MACK CALI REALTY REIT ORD.................................................................................. ................ 03/25/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................108,275 XXX ....................................................... L............................... 55608B 10 5 MACQUARIE INFRASTRUCTURE ORD...................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................6,000.000 .........................................247,050 XXX ....................................................... L............................... 55616P 10 4 MACYS ORD................................................................................................................ ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................6,000.000 .........................................146,190 XXX ....................................................... L............................... 571748 10 2 MARSH & MCLENNAN ORD....................................................................................... ................ 01/18/2019........ Jefferies............................................................................................................... ......................................3,000.000 .........................................252,195 XXX ....................................................... L............................... 580135 10 1 MCDONALD'S ORD..................................................................................................... ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................7,000.000 ......................................1,243,025 XXX ....................................................... L............................... 58933Y 10 5 MERCK & CO ORD...................................................................................................... ................ 03/11/2019........ VARIOUS............................................................................................................ ....................................25,000.000 ......................................1,938,675 XXX ....................................................... L............................... 589433 10 1 MEREDITH ORD.......................................................................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................3,000.000 .........................................171,015 XXX ....................................................... L............................... 589584 10 1 MERIDIAN BIOSCIENCE ORD.................................................................................... ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................5,000.000 ...........................................80,419 XXX ....................................................... L............................... 594918 10 4 MICROSOFT ORD....................................................................................................... ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................25,000.000 ......................................2,573,625 XXX ....................................................... L............................... 59522J 10 3 MID AMERICA APT COMMUNITI REIT ORD.............................................................. ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................3,000.000 .........................................289,725 XXX ....................................................... L............................... 60871R 20 9 MOLSON COORS BREWING NONVTG CL B ORD..................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................2,000.000 .........................................122,090 XXX ....................................................... L............................... 609207 10 5 MONDELEZ INTERNATIONAL CL A ORD................................................................... ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ....................................10,000.000 .........................................471,250 XXX ....................................................... L............................... 620076 30 7 MOTOROLA SOLUTIONS ORD................................................................................... ................ 01/18/2019........ Jefferies............................................................................................................... ......................................3,000.000 .........................................346,815 XXX ....................................................... L............................... CUSIP Identification Description Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost QE04.6 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 3 4 5 6 7 8 9 10 Par Value NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) 637215 10 4 NATIONAL PRESTO INDUSTRIES ORD..................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................1,000.000 .........................................119,176 XXX ....................................................... L............................... 63938C 10 8 NAVIENT ORD............................................................................................................. ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ....................................20,000.000 .........................................209,100 XXX ....................................................... L............................... 64110D 10 4 NETAPP ORD.............................................................................................................. ................ 01/02/2019........ Jefferies............................................................................................................... ......................................4,000.000 .........................................241,380 XXX ....................................................... L............................... 64704V 10 6 NEW MEDIA INVESTMENT GROUP ORD.................................................................. ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................6,000.000 ...........................................77,850 XXX ....................................................... L............................... 64828T 20 1 NEW RESIDENTIAL INVESTMENT REIT ORD........................................................... ................ 01/18/2019........ Jefferies............................................................................................................... ......................................7,000.000 .........................................113,295 XXX ....................................................... L............................... 649445 10 3 NEW YORK COMMUNITY BANCORP ORD................................................................ ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................16,000.000 .........................................189,200 XXX ....................................................... L............................... 651639 10 6 NEWMONT MINING ORD............................................................................................ ................ 03/25/2019........ Jefferies............................................................................................................... ......................................7,000.000 .........................................244,335 XXX ....................................................... L............................... 655844 10 8 NORFOLK SOUTHERN ORD...................................................................................... ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................6,000.000 ......................................1,001,610 XXX ....................................................... L............................... 665859 10 4 NORTHERN TRUST ORD........................................................................................... ................ 02/11/2019........ BTIG LLC............................................................................................................ ......................................4,000.000 .........................................358,540 XXX ....................................................... L............................... 668074 30 5 NORTHWESTERN ORD.............................................................................................. ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................2,500.000 .........................................173,738 XXX ....................................................... L............................... 674599 10 5 OCCIDENTAL PETROLEUM ORD............................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................4,000.000 .........................................269,820 XXX ....................................................... L............................... 681919 10 6 OMNICOM GROUP ORD............................................................................................. ................ 01/18/2019........ Jefferies............................................................................................................... ......................................4,000.000 .........................................304,020 XXX ....................................................... L............................... 69007J 10 6 OUTFRONT MEDIA ORD............................................................................................ ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................8,000.000 .........................................182,840 XXX ....................................................... L............................... 700416 20 9 PARK ELECTROCHEM ORD....................................................................................... ................ 01/29/2019........ VARIOUS............................................................................................................ ......................................8,000.000 .........................................177,875 XXX ....................................................... L............................... 704326 10 7 PAYCHEX ORD........................................................................................................... ................ 01/18/2019........ Jefferies............................................................................................................... ......................................2,500.000 .........................................174,763 XXX ....................................................... L............................... 704551 10 0 PEABODY ENERGY ORD........................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................5,000.000 .........................................156,225 XXX ....................................................... L............................... 709102 10 7 PENNSYLVANIA REIT ORD........................................................................................ ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................20,000.000 .........................................133,278 XXX ....................................................... L............................... 713448 10 8 PEPSICO ORD............................................................................................................ ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................14,000.000 ......................................1,621,690 XXX ....................................................... L............................... 716382 10 6 PETMED EXPRESS ORD............................................................................................ ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................5,000.000 .........................................111,625 XXX ....................................................... L............................... 723484 10 1 PINNACLE WEST ORD............................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................3,000.000 .........................................258,225 XXX ....................................................... L............................... 736508 84 7 PORTLAND GENERAL ELECTRIC ORD..................................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................3,000.000 .........................................148,725 XXX ....................................................... L............................... 74144T 10 8 T ROWE PRICE GROUP ORD.................................................................................... ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................6,000.000 .........................................594,570 XXX ....................................................... L............................... 742718 10 9 PROCTER & GAMBLE ORD........................................................................................ ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ....................................22,000.000 ......................................2,005,850 XXX ....................................................... L............................... 743315 10 3 PROGRESSIVE ORD................................................................................................... ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................17,000.000 ......................................1,118,855 XXX ....................................................... L............................... 74340W 10 3 PROLOGIS REIT.......................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................8,000.000 .........................................562,760 XXX ....................................................... L............................... 744573 10 6 PUBLIC SERVICE ENTERPRISE GROUP ORD.......................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................286,675 XXX ....................................................... L............................... 747525 10 3 QUALCOMM ORD....................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................5,000.000 .........................................268,925 XXX ....................................................... L............................... 74834L 10 0 QUEST DIAGNOSTICS ORD....................................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ......................................3,000.000 .........................................265,365 XXX ....................................................... L............................... 755111 50 7 RAYTHEON ORD......................................................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ......................................2,000.000 .........................................361,250 XXX ....................................................... L............................... 7591EP 10 0 REGIONS FINANCIAL ORD......................................................................................... ................ 02/11/2019........ BTIG LLC............................................................................................................ ....................................10,000.000 .........................................153,650 XXX ....................................................... L............................... 80283M 10 1 SANTANDER CONSUMER USA HOLDINGS ORD...................................................... C............. 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................8,000.000 .........................................153,320 XXX ....................................................... L............................... 806857 10 8 SCHLUMBERGER ORD.............................................................................................. C............. 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................5,000.000 .........................................225,725 XXX ....................................................... L............................... 816851 10 9 SEMPRA ENERGY ORD.............................................................................................. ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................4,000.000 .........................................485,340 XXX ....................................................... L............................... 81721M 10 9 SENIOR HOUSING REIT ORD.................................................................................... ................ 01/18/2019........ Jefferies............................................................................................................... ....................................15,000.000 .........................................195,825 XXX ....................................................... L............................... 828806 10 9 SIMON PROP GRP REIT ORD.................................................................................... ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................4,400.000 .........................................788,502 XXX ....................................................... L............................... 84860W 30 0 SPIRIT REALTY CAPITAL REIT ORD.......................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ......................................4,000.000 .........................................151,020 XXX ....................................................... L............................... 84861U 10 5 SPIRIT MTA REIT ORD............................................................................................... ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................7,000.000 ...........................................51,858 XXX ....................................................... L............................... 855244 10 9 STARBUCKS ORD....................................................................................................... ................ 02/05/2019........ VARIOUS............................................................................................................ ....................................12,000.000 .........................................808,940 XXX ....................................................... L............................... 857477 10 3 STATE STREET ORD.................................................................................................. ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................6,000.000 .........................................412,170 XXX ....................................................... L............................... 862121 10 0 STORE CAPITAL ORD................................................................................................ ................ 03/25/2019........ Jefferies............................................................................................................... ......................................8,000.000 .........................................267,640 XXX ....................................................... L............................... 87161C 50 1 SYNOVUS FINANCIAL ORD........................................................................................ ................ 03/11/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................5,000.000 .........................................189,925 XXX ....................................................... L............................... 87165B 10 3 SYNCHRONY FINANCIAL ORD.................................................................................. ................ 01/18/2019........ Jefferies............................................................................................................... ......................................3,000.000 ...........................................78,855 XXX ....................................................... L............................... 871829 10 7 SYSCO ORD................................................................................................................ ................ 03/25/2019........ Jefferies............................................................................................................... ....................................15,600.000 .........................................992,958 XXX ....................................................... L............................... 87403A 10 7 TAILORED BRANDS ORD........................................................................................... ................ 02/11/2019........ BTIG LLC............................................................................................................ ....................................13,000.000 .........................................166,075 XXX ....................................................... L............................... CUSIP Identification Description Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost QE04.7 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 3 4 5 6 7 8 9 10 Par Value NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) 876030 10 7 TAPESTRY ORD.......................................................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................180,825 XXX ....................................................... L............................... 87612G 10 1 TARGA RESOURCES ORD......................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................5,000.000 .........................................207,875 XXX ....................................................... L............................... 886885 10 2 TILLY'S CL A ORD....................................................................................................... ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................10,000.000 .........................................129,976 XXX ....................................................... L............................... 88870P 10 6 TIVO ORD.................................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................15,000.000 .........................................146,025 XXX ....................................................... L............................... 902494 10 3 TYSON FOODS CL A ORD.......................................................................................... ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................9,500.000 .........................................586,103 XXX ....................................................... L............................... 911312 10 6 UNITED PARCEL SERVICE CL B ORD....................................................................... ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................2,000.000 .........................................202,610 XXX ....................................................... L............................... 91913Y 10 0 VALERO ENERGY ORD.............................................................................................. ................ 01/29/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................3,000.000 .........................................243,435 XXX ....................................................... L............................... 92276F 10 0 VENTAS REIT ORD..................................................................................................... ................ 02/11/2019........ BTIG LLC............................................................................................................ ......................................4,000.000 .........................................255,020 XXX ....................................................... L............................... 92339V 10 0 VEREIT ORD............................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................15,000.000 .........................................119,925 XXX ....................................................... L............................... 92343V 10 4 VERIZON COMMUNICATIONS ORD........................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ....................................12,000.000 .........................................696,660 XXX ....................................................... L............................... 92826C 83 9 VISA CL A ORD........................................................................................................... ................ 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ......................................5,000.000 .........................................693,375 XXX ....................................................... L............................... 93964W 10 8 WASHINGTON PRIME GROUP ORD.......................................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................20,000.000 .........................................115,576 XXX ....................................................... L............................... 94106L 10 9 WASTE MANAGEMENT ORD...................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................3,000.000 .........................................300,735 XXX ....................................................... L............................... 942622 20 0 WATSCO ORD............................................................................................................. ................ 01/02/2019........ Jefferies............................................................................................................... ......................................3,000.000 .........................................417,585 XXX ....................................................... L............................... 95040Q 10 4 WELLTOWER ORD..................................................................................................... ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................2,000.000 .........................................151,510 XXX ....................................................... L............................... 961765 10 4 WESTWOOD HOLDINGS GROUP ORD...................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................3,000.000 .........................................118,282 XXX ....................................................... L............................... 962166 10 4 WEYERHAEUSER REIT.............................................................................................. ................ 02/20/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ....................................15,000.000 .........................................388,125 XXX ....................................................... L............................... 969904 10 1 WILLIAMS SONOMA ORD........................................................................................... ................ 03/25/2019........ Jefferies............................................................................................................... ......................................4,000.000 .........................................231,780 XXX ....................................................... L............................... 98389B 10 0 XCEL ENERGY ORD................................................................................................... ................ 03/04/2019........ BTIG LLC............................................................................................................ ....................................10,000.000 .........................................550,850 XXX ....................................................... L............................... 988498 10 1 YUM BRANDS ORD..................................................................................................... ................ 02/05/2019........ DEUTSCHE BANK SECURITIES, INC................................................................ ......................................6,000.000 .........................................566,670 XXX ....................................................... L............................... 98983V 10 6 ZUORA CL A ORD....................................................................................................... ................ 02/14/2019........ MORGAN STANLEY DW INC/ALGO/SOFT......................................................... ....................................34,135.000 .........................................727,076 XXX ....................................................... L............................... G29183 10 3 EATON ORD................................................................................................................ C............. 03/04/2019........ BTIG LLC............................................................................................................ ......................................6,000.000 .........................................487,830 XXX ....................................................... L............................... G6518L 10 8 NIELSEN HOLDINGS ORD.......................................................................................... ................ 02/25/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................128,375 XXX ....................................................... L............................... G81075 10 6 SHIP FINANCE INT ORD............................................................................................. C............. 03/04/2019........ BTIG LLC............................................................................................................ ......................................7,000.000 ...........................................86,835 XXX ....................................................... L............................... L9340P 10 1 TRINSEO ORD............................................................................................................ ................ 03/04/2019........ BTIG LLC............................................................................................................ ......................................2,500.000 .........................................127,388 XXX ....................................................... L............................... N53745 10 0 LYONDELLBASELL INDUSTRIES CL A ORD.............................................................. C............. 02/25/2019........ Jefferies............................................................................................................... ......................................5,000.000 .........................................442,975 XXX ....................................................... L............................... Y1771G 10 2 COSTAMARE ORD...................................................................................................... D............. 01/10/2019........ BARCLAYS CAPITAL INC./LE............................................................................. ....................................15,000.000 ...........................................75,507 XXX ....................................................... L............................... 9099999. Total - Common Stocks - Industrial and Miscellaneous............................................................... ........................................................................................................................................................................... ....................................................... ....................................80,665,391 XXX ....................................................0 ............XXX.............. CUSIP Identification Description Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost QE04.8 Common Stocks - Parent, Subsidiaries and Affiliates 000000 00 0 BEACON HEALTH....................................................................................................... ................ 03/31/2019........ Unknown............................................................................................................. ....................................................... ......................................1,826,082 XXX ....................................................... ................................. 65511# 10 1 NOBLE HEALTH.......................................................................................................... ................ 03/06/2019........ Unknown............................................................................................................. ....................................................... ......................................4,111,830 XXX ....................................................... ................................. 9199999. Total - Common Stocks - Parent, Subsidiaries and Affiliates....................................................... ........................................................................................................................................................................... ....................................................... ......................................5,937,912 XXX ....................................................0 ............XXX.............. Common Stocks - Mutual Funds 001421 58 5 INVESCO REAL ESTATE R6....................................................................................... ................ 03/21/2019........ Unknown............................................................................................................. ...........................................96.167 .............................................2,021 XXX ....................................................... V.............................. 003021 71 4 ABERDEEN:EM MKT I................................................................................................. C............. 02/15/2019........ Unknown............................................................................................................. .........................................253.455 .............................................3,650 XXX ....................................................... U.............................. 233203 42 1 DFA EMG MKTS CORE EQ I....................................................................................... ................ 03/28/2019........ Unknown............................................................................................................. ...........................................99.367 .............................................2,101 XXX ....................................................... U.............................. 256206 10 3 DODGE & COX INTL STOCK...................................................................................... ................ 03/20/2019........ Unknown............................................................................................................. .........................................293.283 ...........................................11,820 XXX ....................................................... U.............................. 315792 23 4 FIDELITY ABERDEEN STREET TRUST...................................................................... ................ 03/20/2019........ Unknown............................................................................................................. .........................................778.481 ...........................................12,300 XXX ....................................................... L............................... 315792 24 2 FIDELITY ABERDEEN STREET TRUST...................................................................... ................ 02/15/2019........ Unknown............................................................................................................. ......................................1,012.440 ...........................................15,600 XXX ....................................................... L............................... 316146 18 2 FIDELITY SMALL CAP INDEX..................................................................................... ................ 03/20/2019........ Unknown............................................................................................................. ...........................................67.239 .............................................1,330 XXX ....................................................... V.............................. 316146 26 5 FIDELITY MID CAP INDEX.......................................................................................... ................ 03/20/2019........ Unknown............................................................................................................. .........................................161.005 .............................................3,460 XXX ....................................................... V.............................. 316146 35 6 FIDELITY US B ID IP................................................................................................... ................ 03/29/2019........ Unknown............................................................................................................. .........................................323.995 .............................................3,708 XXX ....................................................... U.............................. 316345 80 0 FIDELITY LOW-PRCD STK K...................................................................................... ................ 03/20/2019........ Unknown............................................................................................................. ...........................................41.696 .............................................1,980 XXX ....................................................... U.............................. 413838 40 0 OAKMARK EQTY & INC INV........................................................................................ ................ 03/20/2019........ Unknown............................................................................................................. ......................................1,176.107 ...........................................34,320 XXX ....................................................... U.............................. 592905 76 4 MET WEST:TOTAL RETURN PL................................................................................. ................ 03/29/2019........ Unknown............................................................................................................. .........................................429.306 .............................................4,242 XXX ....................................................... U.............................. Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE D - PART 3 Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter 1 2 3 4 5 6 7 8 9 10 Par Value NAIC Designation and Administrative Symbol/Market Indicator Paid for Accrued Interest and Dividends (a) 921937 60 3 VANGUARD TOT BD ADM.......................................................................................... ................ 03/10/2019........ Unknown............................................................................................................. .........................................634.725 .............................................6,662 XXX ....................................................... U.............................. 922040 20 9 VANGUARD INSTL INDX INSP................................................................................... ................ 03/27/2019........ Unknown............................................................................................................. ......................................6,019.585 ......................................1,527,229 XXX ....................................................... U.............................. 922908 39 7 VANGUARD SM-CP IDX INS+..................................................................................... ................ 03/27/2019........ Unknown............................................................................................................. ......................................1,270.289 .........................................264,868 XXX ....................................................... U.............................. 922908 64 5 VANGUARD MD-CP IDX ADM..................................................................................... ................ 02/15/2019........ Unknown............................................................................................................. ...........................................37.123 .............................................7,070 XXX ....................................................... U.............................. 922908 68 6 VANGUARD SM-CP IDX ADM..................................................................................... ................ 02/15/2019........ Unknown............................................................................................................. ...........................................26.498 .............................................1,910 XXX ....................................................... U.............................. 922908 71 0 VANGUARD 500 INDEX ADM...................................................................................... ................ 03/20/2019........ Unknown............................................................................................................. ...........................................95.204 ...........................................24,365 XXX ....................................................... U.............................. 9299999. Total - Common Stocks - Mutual Funds...................................................................................... ........................................................................................................................................................................... ....................................................... ......................................1,928,636 XXX ....................................................0 ............XXX.............. 9799997. Total - Common Stocks - Part 3.................................................................................................. ........................................................................................................................................................................... ....................................................... ....................................88,531,939 XXX ....................................................0 ............XXX.............. 9799999. Total - Common Stocks.............................................................................................................. ........................................................................................................................................................................... ....................................................... ....................................88,531,939 XXX ....................................................0 ............XXX.............. 9899999. Total - Preferred and Common Stocks........................................................................................ ........................................................................................................................................................................... ....................................................... ....................................91,953,839 XXX ....................................................0 ............XXX.............. 9999999. Total - Bonds, Preferred and Common Stocks............................................................................ ........................................................................................................................................................................... ....................................................... ..................................485,960,143 XXX ......................................1,769,140 ............XXX.............. CUSIP Identification (a) Description For all common stock bearing NAIC market indicator "U" provide the number of such issues:.....13. Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost QE04.9 Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) QE05 Bonds - U.S. Government 36176W 7E 5 GN 778793 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........117,548 ..........117,548 ..........122,259 ..............122,368 .................... .................(8) .................. ...................(8) .................... ..............122,360 ................... ........(4,811) ..........(4,811) ............285 01/15/2042. 1................ 36179M NH 9 G2 MA0392 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............70,008 ............70,008 ............72,524 ................72,571 .................... .................(5) .................. ...................(5) .................... ................72,566 ................... ........(2,558) ..........(2,558) ............196 09/20/2042. 1................ 36179M X4 7 G2 MA0699 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............84,880 ............84,880 ............90,066 ................90,648 .................... ...............(11) .................. .................(11) .................... ................90,637 ................... ........(5,757) ..........(5,757) ............240 01/20/2043. 1................ 36179Q 6P 1 G2 MA2678 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............94,241 ............94,241 ..........100,094 ..............101,626 .................... ...............(12) .................. .................(12) .................... ..............101,614 ................... ........(7,373) ..........(7,373) ............280 03/20/2045. 1................ 36179R 7K 9 G2 MA3598 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............87,542 ............87,542 ............92,350 ................92,814 .................... .................(6) .................. ...................(6) .................... ................92,807 ................... ........(5,265) ..........(5,265) ............286 04/20/2046. 1................ 36179R F9 5 G2 MA2892 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............71,530 ............71,530 ............74,458 ................74,765 .................... .................(5) .................. ...................(5) .................... ................74,759 ................... ........(3,230) ..........(3,230) ............207 06/20/2045. 1................ 36179R LQ 0 G2 MA3035 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............63,284 ............63,284 ............67,496 ................68,674 .................... .................(7) .................. ...................(7) .................... ................68,667 ................... ........(5,383) ..........(5,383) ............212 08/20/2045. 1................ 36179R Q2 8 G2 MA3173 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........146,324 ..........146,324 ..........148,268 ..............148,316 .................... .................(6) .................. ...................(6) .................... ..............148,311 ................... ........(1,986) ..........(1,986) ............420 10/20/2045. 1................ 36179T CZ 6 G2 MA4588 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........175,424 ..........175,424 ..........182,002 ..............182,143 .................... ...............(24) .................. .................(24) .................... ..............182,119 ................... ........(6,695) ..........(6,695) ............695 07/20/2047. 1................ 38379R G5 6 GNR 17109 A - CMBS............................... .. 03/01/2019. VARIOUS....................................... ........................... .......3,388,162 .......3,505,103 .......3,512,770 ...........3,509,047 .................... .............(318) .................. ...............(318) .................... ...........3,508,729 ................... ....(120,567) ......(120,567) .......21,509 09/16/2045. 1................ 38380Y CR 4 GNR 18112C PA - CMO/RMBS................. .. 03/01/2019. Paydown........................................ ........................... ..........222,043 ..........222,043 ..........223,699 ..............223,626 .................... ...............(17) .................. .................(17) .................... ..............223,609 ................... ........(1,566) ..........(1,566) ............679 07/20/2047. 1................ 912810 QA 9 UNITED STATES TREASURY................... .. 03/22/2019. JP MORGAN SECURITIES LLC..... ........................... .......4,370,742 .......3,900,000 .......4,569,585 ...........4,501,390 .................... ..........(5,303) .................. .............(5,303) .................... ...........4,496,088 ................... ....(125,345) ......(125,345) .......82,956 02/15/2039. 1................ 912810 RB .......2,425,000 .......2,492,238 ...........2,489,600 .................... .............(194) .................. ...............(194) .................... ...........2,489,406 ................... ....(127,815) ......(127,815) .......16,444 05/15/2043. 1................ 912810 RK 6 UNITED STATES TREASURY................... .. 02/27/2019. VARIOUS....................................... ........................... .......2,361,591 MERRILL LYNCH PIERCE 6 UNITED STATES TREASURY................... .. 03/26/2019. FENNER ........................... ..........934,727 .......1,000,000 ..........921,350 ..............480,463 .................... ..............272 .................. .................272 .................... ..............922,467 ................... .......12,260 .........12,260 .........9,394 02/15/2045. 1................ 912810 SF NOMURA SECURITIES/FIXED 6 UNITED STATES TREASURY................... .. 03/08/2019. INCOME ........................... .......5,469,727 .......5,500,000 .......5,428,672 ............................ .................... ................15 .................. ...................15 .................... ...........5,428,686 ................... .......41,040 .........41,040 .......11,064 02/15/2049. 1................ 912828 3F 5 UNITED STATES TREASURY................... .. 03/05/2019. Citigroup (SSB)............................... ........................... ..........989,766 .......1,025,000 ..........990,847 ..............990,847 .................... ..............604 .................. .................604 .................... ..............991,451 ................... ........(1,686) ..........(1,686) .........7,135 11/15/2027. 1................ 912828 6B NOMURA SECURITIES/FIXED 1 UNITED STATES TREASURY................... .. 03/11/2019. INCOME ........................... .......2,196,883 .......2,200,000 .......2,187,711 ............................ .................... ................15 .................. ...................15 .................... ...........2,187,726 ................... .........9,157 ...........9,157 .........4,097 02/15/2029. 1................ 912828 6G 0 UNITED STATES TREASURY................... .. 03/08/2019. VARIOUS....................................... ........................... .....39,594,480 .....39,700,000 .....39,478,238 ............................ .................... ..............417 .................. .................417 .................... .........39,478,655 ................... .....115,826 .......115,826 .......29,778 02/29/2024. 1................ 912828 J7 6 UNITED STATES TREASURY................... .. 02/19/2019. GOLDMAN..................................... ........................... .......3,768,338 .......3,850,000 .......3,797,226 ...........3,809,977 .................... ...........1,671 .................. ..............1,671 .................... ...........3,811,648 ................... ......(43,310) ........(43,310) .......26,654 03/31/2022. 1................ 912828 M5 DEUTSCHE BANC ALEX. BROWN 6 UNITED STATES TREASURY................... .. 03/01/2019. INST ........................... .......1,965,156 .......2,000,000 .......1,965,703 ..............704,041 .................... ..............317 .................. .................317 .................... ...........1,966,020 ................... ...........(864) .............(864) .......13,052 11/15/2025. 1................ 912828 U2 4 UNITED STATES TREASURY................... .. 02/08/2019. JP MORGAN SECURITIES LLC..... ........................... .......1,848,902 .......1,925,000 .......1,818,080 ...........1,826,381 .................... ...........1,309 .................. ..............1,309 .................... ...........1,827,690 ................... .......21,212 912828 W8 9 UNITED STATES TREASURY................... .. 03/29/2019. VARIOUS....................................... ........................... .......3,047,577 .......3,075,000 .......3,040,056 ...........3,048,007 .................... ...........1,995 .................. ..............1,995 .................... ...........3,050,001 ................... ........(2,424) ..........(2,424) ............214 03/31/2022. 1................ 912828 WJ 5 UNITED STATES TREASURY................... .. 03/12/2019. VARIOUS....................................... ........................... .......7,029,020 .......7,025,000 .......7,015,646 ............................ .................... ................30 .................. ...................30 .................... ...........7,015,675 ................... .......13,344 Total - Bonds - U.S. Government................................................. ..................................................................................... .....78,097,895 .....78,262,927 .....78,391,338 0599999. .........22,537,304 .................0 ..............729 ...............0 .................729 .................0 .........21,212 .........9,465 11/15/2026. 1................ .........13,344 .......56,060 05/15/2024. 1................ .........78,351,691 ................0 ....(253,796) ......(253,796) .....291,322 XXX XXX Bonds - All Other Government CU COLOMBIA, REPUBLIC OF 7 (GOVERNMENT) CITIGROUP GLOBAL MARKETS C 03/07/2019. INC. ........................... ..........200,300 ..........200,000 ..........204,375 ..............204,303 .................... ...............(16) .................. .................(16) .................... ..............204,287 ................... ........(3,987) ..........(3,987) .........2,389 06/15/2045. 2FE............ AD BANK OF AMERICA NATL TR & 8 MONGOLIA (GOVERNMENT)................... C 01/25/2019. SVGS, NEW YORK ........................... ..........333,531 ..........300,000 ..........345,750 ..............331,470 ..........4,013 ..........(1,139) .................. ..............2,874 .................... ..............334,344 ................... ...........(813) .............(813) .......10,241 04/06/2021. 4FE............ AJ NIGERIA, FEDERAL REPUBLIC OF 2 (GOVERNMENT STANDARD CHARTERED BANK C 01/24/2019. LONDON ........................... ..........298,787 ..........290,000 ..........290,000 ..............280,787 ..........9,213 ..................... .................. ..............9,213 .................... ..............290,000 ................... .........8,787 ...........8,787 .........4,115 11/21/2025. 4FE............ BD PANAMA, REPUBLIC OF 5 (GOVERNMENT) C 01/10/2019. MORGAN STANLEY CO................ ........................... ..........203,036 ..........200,000 ..........201,500 ..............201,492 .................... .................(8) .................. ...................(8) .................... ..............201,485 ................... .........1,551 ...........1,551 .........2,489 09/22/2024. 2FE............ 71654Q AX BNYM/DBAG LONDON GLOBAL 0 PETROLEOS MEXICANOS....................... C 02/01/2019. MARKET ........................... ..........902,250 ..........900,000 ..........923,850 ..............919,320 .................... .............(762) .................. ...............(762) .................... ..............918,559 ................... ......(16,309) ........(16,309) .......26,125 01/21/2021. 2FE............ 71654Q CC 4 PETROLEOS MEXICANOS....................... C 03/01/2019. VARIOUS....................................... ........................... ..........196,457 ..........220,000 ..........229,238 ..............229,100 .................... ...............(16) .................. .................(16) .................... ..............229,084 ................... ......(32,627) ........(32,627) .........6,186 09/21/2047. 2FE............ BZ PHILIPPINES, REPUBLIC OF THE 9 (GOVERNMENT .......2,500,000 .......2,460,125 ...........1,552,335 .................... ..............193 .................. .................193 .................... ...........2,460,402 ................... .......93,848 195325 60937G 65412J 698299 718286 C 02/12/2019. VARIOUS....................................... ........................... .......2,554,250 .........93,848 .......37,196 01/20/2040. 2FE............ Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) 731011 AT 9 POLAND, REPUBLIC OF (GOVERNMENT) C 03/20/2019. GOLDMAN..................................... ........................... .......1,094,000 .......1,100,000 .......1,130,455 ...........1,123,036 .................... .............(584) .................. ...............(584) .................... ...........1,122,453 ................... ......(28,453) ........(28,453) .......13,558 03/17/2023. 1FE............ 760942 BB URUGUAY, ORIENTAL REPUBLIC OF 7 (GOVERNMEN C 01/10/2019. MORGAN STANLEY CO................ ........................... ..........712,866 ..........700,000 ..........753,700 ..............746,448 .................... .............(186) .................. ...............(186) .................... ..............746,262 ................... ......(33,396) ........(33,396) .........6,550 10/27/2027. 2FE............ AE ROMANIA, REPUBLIC OF 6 (GOVERNMENT) D 03/15/2019. BARCLAYS BANK PLC.................. ........................... ..........226,500 ..........200,000 ..........254,777 ..............253,176 .................... .............(251) .................. ...............(251) .................... ..............252,925 ................... ......(26,425) ........(26,425) .........8,065 01/22/2044. 2FE............ AL SAUDI ARABIA, KINGDOM OF 3 (GOVERNMENT) C 01/23/2019. HSBC Bank PLC............................ ........................... ..........302,250 ..........300,000 ..........295,842 ............................ .................... ..................1 .................. ....................1 .................... ..............295,843 ................... .........6,407 ...........6,407 ............394 01/16/2050. 1FE............ 85227S AZ SRI LANKA, DEMOCRATIC SOCIALIST 9 REPUBLIC BANK OF NEW YORK/BARCLAYS C 03/12/2019. LONDON, NY ........................... ..........313,568 ..........310,000 ..........310,000 ............................ .................... ..................... .................. ....................0 .................... ..............310,000 ................... .........3,568 ...........3,568 ................... 03/14/2029. 4FE............ 903724 BW 1 UKRAINE (GOVERNMENT)...................... C 01/24/2019. GOLDMAN SACHS & CO, NY........ ........................... ..........277,928 ..........280,000 ..........280,000 ..............261,940 M0153C AB 0 ABU DHABI, EMIRATE OF........................ D 03/20/2019. BARCLAYS BANK PLC.................. ........................... ..........196,000 ..........200,000 ..........195,960 ............................ .................... ................56 .................. ...................56 .................... ..............196,016 ................... .............(16) ...............(16) .........2,795 10/11/2027. 1FE............ M56820 AB 5 IRAQ, REPUBLIC OF (GOVERNMENT).... D 01/16/2019. NOMURA INTERNATIONAL PLC.. ........................... ..........195,500 ..........200,000 ..........199,000 ..............190,262 AB SAUDI ARABIA, KINGDOM OF 5 (GOVERNMENT) ........................... ..........393,600 ..........400,000 ..........386,960 ..............387,117 .................... ...........1,102 .................. ..............1,102 .................... ..............388,219 ................... .........5,381 M6S21B AG LEBANON, REPUBLIC OF 8 (GOVERNMENT) ..........123,620 ..............118,724 ..........6,147 AW .......2,200,000 .......2,089,700 ...........1,910,018 ......186,185 ...........1,052 .................. ..........187,237 .................... ...........2,097,255 ................... ....(126,605) ......(126,605) .......14,224 06/15/2026. 3FE............ M75242 BH D 03/05/2019. GOLDMAN SACHS & CO, NY........ ........................... ..........121,450 MERRILL LYNCH 3 OMAN, SULTANATE OF (GOVERNMENT) D 01/31/2019. INTERNATIONAL ........................... .......1,970,650 MERRILL LYNCH 5 OMAN, SULTANATE OF (GOVERNMENT) D 03/11/2019. INTERNATIONAL ........................... .......1,548,544 ..........140,000 M75242 .......1,800,000 .......1,578,441 ..............907,500 ........74,885 ..............309 .................. ............75,194 .................... ...........1,578,944 ................... ......(30,400) ........(30,400) .......65,200 01/17/2048. 3FE............ M75242 BJ 1 OMAN, SULTANATE OF (GOVERNMENT) D 03/12/2019. VARIOUS....................................... ........................... ..........463,710 ..........500,000 ..........460,000 ............................ .................... ..............169 .................. .................169 .................... ..............460,169 ................... .........3,541 ...........3,541 .........3,422 01/17/2028. 3FE............ M8489S AF CITIGROUP GLOBAL MARKETS 4 QATAR, STATE OF (GOVERNMENT)....... D 03/29/2019. INC. ........................... .......1,028,750 .......1,000,000 ..........998,000 ..............998,236 .................... ................94 .................. ...................94 .................... ..............998,330 ................... .......30,420 .........30,420 .......17,115 04/23/2023. 1FE............ M87883 DJ 6 LEBANESE REPUBLIC.............................. D 03/05/2019. GOLDMAN SACHS & CO, NY........ ........................... ..........290,500 ..........350,000 ..........257,250 ............................ .................... ...........1,072 .................. ..............1,072 .................... ..............258,322 ................... .......32,178 .........32,178 .........6,353 11/27/2026. 4FE............ M87883 DN LEBANON, REPUBLIC OF 7 (GOVERNMENT) D 03/05/2019. GOLDMAN SACHS & CO, NY........ ........................... ..........192,375 ..........225,000 ..........184,408 ..............184,349 ...........6,704 .........5,611 04/22/2024. 4FE............ N6497T AA 6 NORTHERN LIGHTS III BV....................... D 02/16/2019. Paydown........................................ ........................... ............15,625 ............15,625 ............16,203 ................15,708 .............136 ...............(31) .................. .................105 .................... ................15,813 ................... ...........(188) .............(188) ................... 08/16/2019. 4FE............ P19110 AG SANTANDER INVESTMENT 3 BUENOS AIRES, PROVINCE OF.............. D 03/05/2019. SECURITIES, INC. ........................... ..........436,212 ..........456,042 ..........523,909 ..............430,390 P19111 BF 2 BUENOS AIRES, PROVINCE OF.............. D 02/19/2019. VARIOUS....................................... ........................... ............83,563 ..........131,250 ............83,322 ............................ .................... ..............149 .................. .................149 .................... ................83,471 ................... ..............91 ................91 .........1,332 05/15/2035. 4FE............ P3579E AY 3 DOMINICAN REPUBLIC (GOVERNMENT) C 01/25/2019. CIBC WORLD MARKETS CORP... ........................... ..........217,750 ..........200,000 ..........212,320 ..............208,500 ..........3,756 ...............(14) .................. ..............3,742 .................... ..............212,242 ................... .........5,508 ...........5,508 .........3,684 04/30/2044. 3FE............ P3579E BE 6 DOMINICAN REPUBLIC (GOVERNMENT) C 01/25/2019. CIBC WORLD MARKETS CORP... ........................... ..........102,875 ..........100,000 ............96,750 ................96,757 .................... ................10 .................. ...................10 .................... ................96,766 ................... .........6,109 ...........6,109 .........3,463 01/27/2045. 3FE............ P5178R AA 6 HONDURAS, REPUBLIC OF..................... D 01/23/2019. Jefferies.......................................... ........................... ..........217,022 ..........200,000 ..........215,000 ..............210,954 ..........2,338 .............(186) .................. ..............2,152 .................... ..............213,105 ................... .........3,917 ...........3,917 .........5,417 03/15/2024. 3FE............ P5178R AC HONDURAS, REPUBLIC OF 2 (GOVERNMENT) C 01/23/2019. Jefferies.......................................... ........................... ..........205,540 ..........200,000 ..........200,400 ..............198,520 ..........1,891 ..................2 .................. ..............1,893 .................... ..............200,414 ................... .........5,126 ...........5,126 .........6,458 01/19/2027. 3FE............ P7808B AB 3 PETROLEOS DEL PERU PETROPERU SA C 03/07/2019. BARCLAYS BANK PLC.................. ........................... ..........607,500 ..........600,000 ..........637,008 ..............636,340 .................... .............(108) .................. ...............(108) .................... ..............636,232 ................... ......(28,732) ........(28,732) .........7,688 06/19/2047. 2FE............ AW ECUADOR, REPUBLIC OF 3 (GOVERNMENT) NOMURA SECURITIES D 03/11/2019. INTERNATIONAL ........................... ..........469,550 ..........500,000 ..........463,350 ............................ .................... ..............160 .................. .................160 .................... ..............463,510 ................... .........6,040 ...........6,040 .........5,469 01/23/2028. 4FE............ AB ANGOLA, REPUBLIC OF 7 (GOVERNMENT) D 03/12/2019. BARCLAYS BANK PLC.................. ........................... ..........211,770 ..........200,000 ..........209,750 ............................ .................... ................12 .................. ...................12 .................... ..............209,762 ................... .........2,008 ...........2,008 .........4,635 05/08/2048. 4FE............ AB CITIGROUP GLOBAL MARKETS 3 KENYA, REPUBLIC OF (GOVERNMENT). D 03/12/2019. INC. ........................... ..........400,760 ..........400,000 ..........373,500 ..............358,608 ........15,444 ..............388 .................. ............15,832 .................... ..............374,440 ................... .......26,320 .........26,320 .......15,789 02/28/2028. 4FE............ AA ETHIOPIA, FEDERAL DEMOCRATIC 0 REPUBLIC OF D 02/07/2019. HSBC SECURITIES (USA), INC..... ........................... ..........201,000 ..........200,000 ..........200,500 ..............191,840 ..........8,663 .................(8) .................. ..............8,655 .................... ..............200,495 ................... ............505 ..............505 .........2,208 12/11/2024. 4FE............ 77586T 80413T M6320U QE05.1 P8054Q V21735 V50249 V6745W MERRILL LYNCH D 03/29/2019. INTERNATIONAL ........18,060 ..................... .................. ............18,060 .................... ..............280,000 ................... ........(2,072) ..........(2,072) .........6,086 02/01/2024. 4FE............ ..........8,845 ..................9 .................. ..............8,854 .................... ..............199,116 ................... ........(3,616) ..........(3,616) .........4,839 03/09/2023. 4FE............ .............281 ...........5,381 .........4,117 10/26/2021. 1FE............ ..............557 .................. ..............6,704 .................... ..............125,428 ................... ........(3,978) ..........(3,978) .........5,133 01/27/2023. 4FE............ ...........1,042 .................. ..............1,323 .................... ..............185,671 ................... .........6,704 ........65,270 ..........(3,461) .................. ............61,809 .................... ..............492,199 ................... ......(55,987) ........(55,987) .......11,028 06/09/2021. 4FE............ Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser AD COTE D'IVOIRE, REPUBLIC OF 7 (GOVERNMENT) UE CITIGROUP GLOBAL MARKETS 9 UKRAINE, REPUBLIC OF (GOVERMENT) D 01/24/2019. LIMITED AK BELARUS, REPUBLIC OF 9 (GOVERNMENT) X7344W AL BELARUS, REPUBLIC OF 7 (GOVERNMENT) X7360W AV V73789 X5S005 X7344W Number of Shares of Stock Consideration D 03/12/2019. MORGAN STANLEY AND CO INC. ........................... ..........386,500 Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) ..........400,000 ..........395,000 ..............359,960 ........35,341 ................87 .................. ............35,428 .................... ..............395,388 ................... ........(8,888) ..........(8,888) .......13,529 03/03/2028. 4FE............ ........................... ..........597,060 ..........600,000 ..........637,978 ..............580,104 ........43,833 ..........(1,025) .................. ............42,808 .................... ..............622,912 ................... ......(25,852) ........(25,852) .......18,988 09/01/2020. 4FE............ D 01/25/2019. GOLDMAN SACHS & CO, NY........ ........................... ..........211,750 ..........200,000 ..........224,400 ..............205,346 ........16,588 .............(155) .................. ............16,433 .................... ..............221,778 ................... ......(10,028) ........(10,028) .........1,271 06/29/2027. 4FE............ D 01/25/2019. GOLDMAN SACHS & CO, NY........ ........................... ..........207,750 ..........200,000 ..........213,000 ..............204,604 ..........6,651 .............(183) .................. ..............6,468 .................... ..............211,071 ................... ........(3,321) ..........(3,321) .........5,767 02/28/2023. 4FE............ 4 ROMANIA (GOVERNMENT)...................... D 03/15/2019. BARCLAYS BANK PLC.................. ........................... ............98,125 ..........100,000 ............98,990 ................99,002 .................... ..................3 .................. ....................3 .................... ................99,005 ................... ...........(880) .............(880) .........1,338 06/15/2048. 2FE............ QE05.2 X74351 BC 4 RUSSIAN FEDERATION (GOVERNMENT) D 03/21/2019. Jefferies.......................................... ........................... ..........407,800 ..........400,000 ..........407,500 ..............407,380 .................... ..........(1,242) .................. .............(1,242) .................... ..............406,139 ................... .........1,661 X7S904 BF 7 LATVIA, REPUBLIC OF (GOVERNMENT). D 03/20/2019. GOLDMAN SACHS & CO, NY........ ........................... ..........399,100 ..........400,000 ..........398,600 ..............399,058 .................... ..............200 .................. .................200 .................... ..............399,258 ................... ...........(158) .............(158) .........7,639 01/12/2020. 1FE............ Y20721 AU INDONESIA, REPUBLIC OF 3 (GOVERNMENT) BANK OF AMERICA NATL TR & D 03/20/2019. SVGS, NEW YORK ........................... ..........414,200 ..........400,000 ..........431,280 ..............419,148 .................... ..........(1,754) .................. .............(1,754) .................... ..............417,394 ................... ........(3,194) ..........(3,194) .........7,421 05/05/2021. 2FE............ BC INDONESIA, REPUBLIC OF 2 (GOVERNMENT) C 03/20/2019. ING FINANCIAL MARKETS LLC.... ........................... ..........404,440 ..........400,000 ..........397,000 ..............397,391 .................... ..............163 .................. .................163 .................... ..............397,554 ................... .........6,886 DC KAZAKHSTAN, REPUBLIC OF 9 (GOVERNMENT) Credit Suisse Securities (Europe) D 03/20/2019. LT Y20721 Y7276L ...........1,661 .........8,111 04/29/2020. 2FE............ ...........6,886 .........6,125 04/25/2022. 2FE............ ........................... ..........410,200 ..........400,000 ..........414,950 ..............412,403 .................... .............(429) .................. ...............(429) .................... ..............411,974 ................... ........(1,774) ..........(1,774) .........6,803 10/14/2024. 2FE............ Total - Bonds - All Other Government.......................................... ..................................................................................... .....20,722,894 .....21,217,917 .....21,003,661 Bonds - U.S. States, Territories and Possessions 605581 GY 7 MISSISSIPPI ST........................................ .. 03/05/2019. MESIROW FINANCIAL INC........... ........................... .......3,478,680 .......3,000,000 .......3,530,070 ...........3,381,769 .................... ..........(9,093) .................. .............(9,093) .................... ...........3,372,676 ................... .....106,004 .......106,004 .......52,500 11/01/2031. 1FE............ 1799999. Total - Bonds - U.S. States, Territories & Possessions................. ..................................................................................... .......3,478,680 .......3,000,000 .......3,530,070 ...........3,381,769 .................0 ..........(9,093) ...............0 .............(9,093) .................0 .......106,004 .......52,500 Bonds - U.S. Political Subdivisions of States 108151 4F 5 BRIDGEPORT CONN................................ .. 03/04/2019. Loop Capital Markets...................... ........................... .......3,430,222 1099999. .........16,631,626 ......507,540 ..........(4,728) ...............0 ..........502,812 .................0 .........20,914,036 ................0 ....(191,143) ......(191,143) .....396,366 ...........3,372,676 ................0 .....106,004 XXX XXX XXX XXX .......3,120,000 .......3,632,803 ...........3,377,445 .................... ........(11,491) .................. ...........(11,491) .................... ...........3,365,954 ................... .......64,268 .........64,268 .......67,167 10/01/2022. 1FE............ 414004 3W 9 HARRIS CNTY TEX................................... .. 03/14/2019. WELLS FARGO SECURITIES LLC ........................... .......4,980,400 .......4,000,000 .......4,390,520 ...........4,238,801 .................... ..........(4,760) .................. .............(4,760) .................... ...........4,234,041 ................... .....746,359 .......746,359 .....124,250 08/15/2027. 1FE............ 642713 6D 8 NEW BRITAIN CONN................................ .. 02/01/2019. Maturity @ 100.00.......................... ........................... ..........300,000 ..........300,000 ..........300,000 ..............300,000 .................... ..................... .................. ....................0 .................... ..............300,000 ................... ................... ..................0 .........4,167 02/01/2019. 1FE............ 833715 EZ 4 SOCORRO TEX INDPT SCH DIST............ .. 02/28/2019. JP MORGAN SECURITIES LLC..... ........................... .......5,676,600 .......5,000,000 .......5,863,106 ...........5,788,620 .................... ........(14,357) .................. ...........(14,357) .................... ...........5,774,263 ................... ......(97,663) ........(97,663) .....268,056 08/15/2040. 1FE............ SA WHATCOM CNTY WASH SCH DIST NO 0 501 BELLIN .. 02/28/2019. Piper Jaffray Co.............................. ........................... .......1,175,430 .......1,000,000 .......1,204,460 ...........1,181,070 .................... ..........(3,076) .................. .............(3,076) .................... ...........1,177,994 ................... ........(2,564) ..........(2,564) .......12,917 12/01/2034. 1FE............ Total - Bonds - U.S. Political Subdivisions of States..................... ..................................................................................... .....15,562,652 .....13,420,000 .....15,390,889 962506 2499999. Bonds - U.S. Special Revenue and Special Assessment 167593 QJ 4 CHICAGO ILL O HARE INTL ARPT REV... .. 03/05/2019. MORGAN STANLEY CO................ ........................... .......1,689,660 .........14,885,936 .................0 ........(33,684) ...............0 ...........(33,684) .................0 .........14,852,252 ................0 .....710,400 .......710,400 .....476,557 XXX XXX .......1,500,000 .......1,789,110 ...........1,707,732 .................... ..........(5,801) .................. .............(5,801) .................... ...........1,701,931 ................... ......(12,271) ........(12,271) .......51,250 01/01/2028. 1FE............ 196479 B9 9 COLORADO HSG & FIN AUTH................. .. 01/08/2019. Call @ 100.00................................. ........................... ..........150,000 ..........150,000 ..........150,000 ..............150,000 .................... ..................... .................. ....................0 .................... ..............150,000 ................... ................... ..................0 ................... 11/01/2044. 1FE............ 196479 E6 2 COLORADO HSG & FIN AUTH................. .. 01/08/2019. Call @ 100.00................................. ........................... ..........110,000 ..........110,000 ..........119,437 ..............118,473 .................... ...............(71) .................. .................(71) .................... ..............118,401 ................... ........(8,401) ..........(8,401) ................... 05/01/2048. 1FE............ XL CONNECTICUT ST HSG FIN AUTH HSG 3 MTG FIN .. 03/11/2019. Call @ 100.00................................. ........................... ............20,000 ............20,000 ............21,793 ................21,604 .................... ...............(46) .................. .................(46) .................... ................21,558 ................... ........(1,558) ..........(1,558) ................... 05/15/2047. 1FE............ LA DELAWARE RIV JT TOLL BRDG COMMN 3 PA BRDG .. 02/28/2019. MESIROW FINANCIAL INC........... ........................... ..........832,790 ..........700,000 ..........810,754 ..............793,626 .................... ..........(1,657) .................. .............(1,657) .................... ..............791,969 ................... .......40,821 .........40,821 .......23,625 07/01/2030. 1FE............ .......418,196 .....136,944 06/01/2038. 1FE............ 20775C 246343 266780 BW DURHAM N C CAP FING CORP LTD 4 OBLIG .. 03/25/2019. FUNB-FUNDS II............................. ........................... .......9,433,980 .......8,500,000 .......9,637,640 ...........9,042,533 .................... ........(26,750) .................. ...........(26,750) .................... ...........9,015,784 ................... .....418,196 3128MA BS 7 FH G07849 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............64,562 ............64,562 ............68,143 ................68,203 .................... .................(7) .................. ...................(7) .................... ................68,196 ................... ........(3,634) ..........(3,634) ............193 05/01/2044. 1................ 3128MA GC 7 FH G07995 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............41,437 ............41,437 ............46,875 ................47,156 .................... ...............(19) .................. .................(19) .................... ................47,136 ................... ........(5,700) ..........(5,700) ............178 01/01/2039. 1................ Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) QE05.3 3128ME 6K 2 FH G16074 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........143,924 ..........143,924 ..........148,437 ..............148,095 .................... ...............(23) .................. .................(23) .................... ..............148,072 ................... ........(4,149) ..........(4,149) ............373 02/01/2032. 1................ 3128MJ 3D 0 FH G08795 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........188,190 ..........188,190 ..........182,889 ..............182,957 .................... ................15 .................. ...................15 .................... ..............182,972 ................... .........5,219 3128MJ 3H 1 FH G08799 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........201,957 ..........201,957 ..........196,374 ..............196,448 .................... ................19 .................. ...................19 .................... ..............196,467 ................... .........5,491 ...........5,491 ............531 02/01/2048. 1................ 3128MJ S6 8 FH G08540 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............38,824 ............38,824 ............38,351 ................38,369 .................... ..................... .................. ....................0 .................... ................38,369 ................... ............454 ..............454 ..............95 08/01/2043. 1................ 3128MJ T6 7 FH G08572 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........108,154 ..........108,154 ..........108,289 ..............107,214 .................... .................(2) .................. ...................(2) .................... ..............107,212 ................... ............942 ..............942 ............297 02/01/2044. 1................ 3128MJ TA 8 FH G08544 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............45,877 ............45,877 ............45,002 ................45,055 .................... ..................1 .................. ....................1 .................... ................45,056 ................... ............820 ..............820 ............107 09/01/2043. 1................ 3128MJ UV 0 FH G08595 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........105,333 ..........105,333 ..........111,266 ..............111,915 .................... ...............(11) .................. .................(11) .................... ..............111,905 ................... ........(6,572) ..........(6,572) ............359 07/01/2044. 1................ 3128MJ XL 9 FH G08682 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............63,405 ............63,405 ............64,297 ................64,301 .................... .................(8) .................. ...................(8) .................... ................64,293 ................... ...........(887) .............(887) ............204 12/01/2045. 1................ 3128MJ Y5 3 FH G08731 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........171,348 ..........171,348 ..........160,850 ..............123,999 .................... ................16 .................. ...................16 .................... ..............160,926 ................... .......10,423 3128MJ YC 8 FH G08706 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........145,200 ..........145,200 ..........150,009 ..............150,218 .................... .................(8) .................. ...................(8) .................... ..............150,210 ................... ........(5,011) ..........(5,011) ............380 05/01/2046. 1................ 3128MJ YW 4 FH G08724 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............63,227 ............63,227 ............59,607 ................59,623 .................... ..................4 .................. ....................4 .................... ................59,628 ................... .........3,600 ...........3,600 ............120 09/01/2046. 1................ 3128MJ ZE 3 FH G08740 - RMBS................................... .. 03/01/2019. VARIOUS....................................... ........................... .......1,393,212 .......1,448,626 .......1,389,557 ............................ .................... ................20 .................. ...................20 .................... ...........1,389,578 ................... .........3,635 ...........3,635 ............428 12/01/2046. 1................ 3128MJ ZL 7 FH G08746 - RMBS................................... .. 03/01/2019. VARIOUS....................................... ........................... .......3,831,554 .......3,961,090 .......3,829,602 ............................ .................... ..................5 .................. ....................5 .................... ...........3,829,608 ................... .........1,947 ...........1,947 ............834 01/01/2047. 1................ 3128P7 TC 7 FH C91447 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............49,865 ............49,865 ............53,230 ................53,001 .................... ...............(12) .................. .................(12) .................... ................52,989 ................... ........(3,125) ..........(3,125) ............126 05/01/2032. 1................ 3128P8 EX 5 FH C91950 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............62,441 ............62,441 ............65,397 ................65,157 .................... ...............(16) .................. .................(16) .................... ................65,141 ................... ........(2,700) ..........(2,700) ............188 09/01/2037. 1................ 312936 6F 9 FH A89870 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............92,362 ............92,362 ............99,925 ..............101,703 .................... ...............(24) .................. .................(24) .................... ..............101,678 ................... ........(9,316) ..........(9,316) ............389 11/01/2039. 1................ 312943 UJ 0 FH A95085 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........117,928 ..........117,928 ..........124,506 ..............124,748 .................... ...............(16) .................. .................(16) .................... ..............124,732 ................... ........(6,804) ..........(6,804) ............388 11/01/2040. 1................ 3132HN H4 4 FH Q12051 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........104,605 ..........104,605 ..........105,455 ..............105,442 .................... .................(3) .................. ...................(3) .................... ..............105,439 ................... ...........(835) .............(835) ............284 10/01/2042. 1................ 3132HR MY 3 FH Q14875 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............63,334 ............63,334 ............65,798 ................65,982 .................... .................(6) .................. ...................(6) .................... ................65,976 ................... ........(2,642) ..........(2,642) ............160 01/01/2043. 1................ 3132J7 TM 4 FH Q16455 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............37,710 ............37,710 ............37,080 ................37,067 .................... ..................1 .................. ....................1 .................... ................37,068 ................... ............642 3132L7 F9 5 FH V81992 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............87,085 ............87,085 ............91,854 ................92,172 .................... .................(5) .................. ...................(5) .................... ................92,166 ................... ........(5,081) ..........(5,081) ............218 10/01/2045. 1................ 3132XC R9 8 FH G67712 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............83,140 ............83,140 ............83,945 ................83,220 .................... .................(5) .................. ...................(5) .................... ................83,215 ................... .............(76) ...............(76) ............270 06/01/2048. 1................ 3132XC RW 7 FH G67701 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........142,923 ..........142,923 ..........138,593 ..............138,560 .................... ..................4 .................. ....................4 .................... ..............138,564 ................... .........4,358 ...........4,358 ............362 10/01/2046. 1................ 3132XV 4U 4 FH Q53534 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........174,431 ..........174,431 ..........169,777 ..............169,814 .................... ................13 .................. ...................13 .................... ..............169,828 ................... .........4,604 ...........4,604 ............370 01/01/2048. 1................ 31335A CA 4 FH G60065 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............55,915 ............55,915 ............58,885 ................58,967 .................... .................(4) .................. ...................(4) .................... ................58,963 ................... ........(3,048) ..........(3,048) ............115 09/01/2043. 1................ 31335A MN 5 FH G60365 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........137,221 ..........137,221 ..........148,864 ..............148,876 .................... ...............(35) .................. .................(35) .................... ..............148,841 ................... ......(11,620) ........(11,620) ............493 02/01/2038. 1................ 31335A NJ 3 FH G60393 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............72,323 ............72,323 ............76,007 ................75,797 .................... .................(5) .................. ...................(5) .................... ................75,791 ................... ........(3,468) ..........(3,468) ............192 01/01/2046. 1................ 31335A PZ 5 FH G60440 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............51,594 ............51,594 ............51,594 ................51,594 .................... ..................... .................. ....................0 .................... ................51,594 ................... ................... ..................0 ............145 03/01/2046. 1................ 31335A WL 8 FH G60651 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............70,093 ............70,093 ............73,740 ................73,825 .................... .................(2) .................. ...................(2) .................... ................73,823 ................... ........(3,730) ..........(3,730) ..............70 06/01/2046. 1................ 31335B C7 9 FH G60994 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........125,505 ..........125,505 ..........125,721 ..............125,713 .................... .................(2) .................. ...................(2) .................... ..............125,711 ................... ...........(206) .............(206) ............300 01/01/2045. 1................ 31335B CZ 7 FH G60988 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............83,463 ............83,463 ............84,363 ................84,340 .................... .................(2) .................. ...................(2) .................... ................84,338 ................... ...........(874) .............(874) ............198 05/01/2047. 1................ ...........5,219 ............426 01/01/2048. 1................ .........10,423 ............275 11/01/2046. 1................ ..............642 ..............94 03/01/2043. 1................ 31335B Z4 1 FH G61663 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........177,508 ..........177,508 ..........165,942 ..............165,932 .................... ................18 .................. ...................18 .................... ..............165,950 ................... .......11,558 3136AK 5X 7 FNR 1467A PL - CMO/RMBS.................... .. 03/01/2019. Paydown........................................ ........................... ..........131,494 ..........131,494 ..........131,529 ..............131,510 .................... .................(5) .................. ...................(5) .................... ..............131,505 ................... .............(10) ...............(10) ............388 04/25/2043. 1................ .........11,558 ............363 12/01/2046. 1................ 3136AT TD 6 FNA 16M09A FA - CMBS........................... .. 03/01/2019. Paydown........................................ ........................... ..........175,376 ..........175,376 ..........175,815 ..............176,227 .................... ................13 .................. ...................13 .................... ..............176,240 ................... ...........(864) .............(864) ............337 09/25/2023. 1................ 3136B3 BA 7 FNR 1880B GD - CMO/RMBS................... .. 03/01/2019. Paydown........................................ ........................... ............71,084 ............71,084 ............70,365 ................70,373 .................... ..................6 .................. ....................6 .................... ................70,379 ................... ............705 3137A7 NU 0 FHMS K011 A2 - CMBS............................. .. 03/01/2019. Paydown........................................ ........................... ............18,332 ............18,332 ............20,189 ................19,121 .................... ...............(38) .................. .................(38) .................... ................19,083 ................... ...........(750) .............(750) ..............67 11/25/2020. 1................ 3137BJ PH 0 FHMS KF08 A - CMBS............................... .. 03/25/2019. Paydown........................................ ........................... ..........776,086 ..........776,086 ..........777,177 ..............777,135 .................... ...............(45) .................. .................(45) .................... ..............777,090 ................... ........(1,004) ..........(1,004) .........1,777 01/25/2022. 1................ 3137F2 3E 4 FHMS KF32 A - CMBS............................... .. 03/25/2019. Paydown........................................ ........................... ..........113,767 ..........113,767 ..........113,927 ..............113,947 .................... ................13 .................. ...................13 .................... ..............113,960 ................... ...........(193) .............(193) ............125 05/25/2024. 1................ 3137FG ZN 8 FHMS KI02 A - CMBS................................ .. 02/25/2019. Paydown........................................ ........................... ............68,971 ............68,971 ............68,949 ................68,965 .................... ..................1 .................. ....................1 .................... ................68,966 ................... ................5 ..................5 ............151 02/25/2023. 1................ 3138AM UJ 2 FN AI7784 - RMBS.................................... .. 03/01/2019. Paydown........................................ ........................... ............24,134 ............24,134 ............26,004 ................26,202 .................... .................(4) .................. ...................(4) .................... ................26,198 ................... ........(2,064) ..........(2,064) ..............83 07/01/2041. 1................ ..............705 ............213 12/25/2047. 1................ Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification 3138E0 Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) QE05.4 RA 9 FN AJ7680 - RMBS.................................... .. 03/01/2019. Paydown........................................ ........................... ............82,497 ............82,497 ............84,733 ................84,548 .................... .................(6) .................. ...................(6) .................... ................84,542 ................... ........(2,045) ..........(2,045) ............238 12/01/2041. 1................ 3138EH B8 4 FN AL0962 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............12,024 ............12,024 ............13,217 ................13,266 .................... .................(2) .................. ...................(2) .................... ................13,264 ................... ........(1,240) ..........(1,240) ..............38 10/01/2041. 1................ 3138EP EP 5 FN AL6441 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............34,972 ............34,972 ............37,283 ................37,230 .................... .................(5) .................. ...................(5) .................... ................37,225 ................... ........(2,253) ..........(2,253) ............156 02/01/2045. 1................ 3138EP N9 1 FN AL6715 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........132,129 ..........132,129 ..........135,432 ..............133,236 .................... .................(8) .................. ...................(8) .................... ..............133,228 ................... ........(1,099) ..........(1,099) ............406 02/01/2045. 1................ 3138EQ 5E 8 FN AL8044 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............51,273 ............51,273 ............55,263 ................55,656 .................... ...............(12) .................. .................(12) .................... ................55,645 ................... ........(4,371) ..........(4,371) ............250 11/01/2042. 1................ 3138EQ RG 9 FN AL7686 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........129,489 ..........129,489 ..........135,619 ..............134,332 .................... ...............(30) .................. .................(30) .................... ..............134,302 ................... ........(4,813) ..........(4,813) ............364 12/01/2030. 1................ 3138EQ TZ 5 FN AL7767 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............68,667 ............68,667 ............74,139 ................74,615 .................... ...............(11) .................. .................(11) .................... ................74,603 ................... ........(5,936) ..........(5,936) ............233 06/01/2044. 1................ 3138EQ VQ 2 FN AL7822 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............33,586 ............33,586 ............36,242 ................36,365 .................... .................(4) .................. ...................(4) .................... ................36,361 ................... ........(2,775) ..........(2,775) ..............74 07/01/2043. 1................ 3138ES B6 4 FN AL9960 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............93,738 ............93,738 ............94,485 ................94,459 .................... .................(3) .................. ...................(3) .................... ................94,456 ................... ...........(718) .............(718) ............197 02/01/2044. 1................ 3138L1 WL 9 FN AM1550 - CMBS/RMBS....................... .. 03/01/2019. Paydown........................................ ........................... ............15,063 ............15,063 ............15,141 ................15,112 .................... .................(3) .................. ...................(3) .................... ................15,110 ................... .............(47) ...............(47) ..............34 12/01/2023. 1................ 3138LG X9 2 FN AN4303 - CMBS/RMBS........................ .. 03/01/2019. BANK OF OKLAHOMA NA............. ........................... .......3,489,746 .......3,500,000 .......3,686,895 ...........3,665,618 .................... ..........(3,771) .................. .............(3,771) .................... ...........3,661,846 ................... ....(172,100) ......(172,100) .......30,664 01/01/2029. 1................ 3138LY 5E 3 FN AO8044 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........173,027 ..........173,027 ..........170,473 ..............170,478 .................... .................(1) .................. ...................(1) .................... ..............170,478 ................... .........2,550 3138W7 GD 0 FN AR9195 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............56,192 ............56,192 ............56,824 ................56,826 .................... .................(2) .................. ...................(2) .................... ................56,823 ................... ...........(632) .............(632) ............149 03/01/2043. 1................ 3138WF AD 8 FN AS5403 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............34,338 ............34,338 ............34,676 ................34,571 .................... .................(2) .................. ...................(2) .................... ................34,569 ................... ...........(232) .............(232) ..............58 07/01/2030. 1................ 3138WF HA 7 FN AS5624 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............52,021 ............52,021 ............54,187 ................53,633 .................... ...............(10) .................. .................(10) .................... ................53,623 ................... ........(1,603) ..........(1,603) ............132 08/01/2030. 1................ 3138WH NY 4 FN AS7606 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............95,290 ............95,290 ............92,431 ................92,419 .................... ..................9 .................. ....................9 .................... ................92,429 ................... .........2,862 3138WN 5P 0 FN AT1753 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........121,606 ..........121,606 ..........124,751 ..............124,760 .................... .................(8) .................. ...................(8) .................... ..............124,752 ................... ........(3,146) ..........(3,146) ............340 04/01/2043. 1................ 3138WQ AW 2 FN AT2720 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........118,205 ..........118,205 ..........120,415 ..............120,454 .................... .................(7) .................. ...................(7) .................... ..............120,447 ................... ........(2,242) ..........(2,242) ............313 05/01/2043. 1................ 3138WQ AX 0 FN AT2721 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............26,661 ............26,661 ............26,740 ................26,734 .................... .................(1) .................. ...................(1) .................... ................26,733 ................... .............(73) ...............(73) ..............63 05/01/2043. 1................ 3138WT RW 8 FN AT5900 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........120,660 ..........120,660 ..........119,133 ..............119,076 .................... ..................1 .................. ....................1 .................... ..............119,077 ................... .........1,583 ...........1,583 ............349 06/01/2043. 1................ 3138X0 Y3 6 FN AU1629 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............44,456 ............44,456 ............43,880 ................43,873 .................... ..................... .................. ....................0 .................... ................43,873 ................... ............583 ..............583 ............108 07/01/2043. 1................ ...........2,550 ............465 07/01/2042. 1................ ...........2,862 ............189 07/01/2031. 1................ 3138Y6 4A 9 FN AX5316 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............26,220 ............26,220 ............28,563 ................28,886 .................... .................(4) .................. ...................(4) .................... ................28,882 ................... ........(2,662) ..........(2,662) ..............79 01/01/2042. 1................ 31402R RN 1 FN 735893 - RMBS.................................... .. 03/01/2019. Paydown........................................ ........................... ............72,192 ............72,192 ............79,524 ................79,699 .................... ...............(22) .................. .................(22) .................... ................79,677 ................... ........(7,484) ..........(7,484) ............286 10/01/2035. 1................ 3140E2 TX 9 FN AZ9565 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............53,860 ............53,860 ............55,653 ................55,616 .................... .................(3) .................. ...................(3) .................... ................55,613 ................... ........(1,753) ..........(1,753) ............144 12/01/2045. 1................ 3140EV TB 3 FN BC1445 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............59,046 ............59,046 ............59,110 ................59,087 .................... .................(1) .................. ...................(1) .................... ................59,086 ................... .............(40) ...............(40) ............170 07/01/2046. 1................ 3140FQ TZ 0 FN BE5067 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............68,389 ............68,389 ............70,260 ................70,204 .................... .................(4) .................. ...................(4) .................... ................70,200 ................... ........(1,810) ..........(1,810) ............213 11/01/2046. 1................ 3140J5 5P 0 FN BM1753 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ..........115,221 ..........115,221 ..........119,128 ..............118,985 .................... ...............(20) .................. .................(20) .................... ..............118,966 ................... ........(3,745) ..........(3,745) ............382 05/01/2037. 1................ 3140J5 EV 7 FN BM1047 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ..........107,264 ..........107,264 ..........113,708 ..............113,933 .................... ...............(16) .................. .................(16) .................... ..............113,917 ................... ........(6,654) ..........(6,654) ............366 02/01/2045. 1................ 3140J5 SS 9 FN BM1428 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ..........116,017 ..........116,017 ..........119,860 ..............119,894 .................... ...............(11) .................. .................(11) .................... ..............119,884 ................... ........(3,867) ..........(3,867) ............383 09/01/2043. 1................ 3140J7 N2 7 FN BM3108 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ............61,657 ............61,657 ............65,954 ................66,260 .................... .................(7) .................. ...................(7) .................... ................66,253 ................... ........(4,595) ..........(4,595) ............210 08/01/2046. 1................ 31410K HA 5 FN 889525 - RMBS.................................... .. 03/01/2019. Paydown........................................ ........................... ..............9,197 ..............9,197 ............10,295 ................10,537 .................... .................(4) .................. ...................(4) .................... ................10,533 ................... ........(1,336) ..........(1,336) ..............36 05/01/2036. 1................ 31417F SA 7 FN AB8612 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............99,715 ............99,715 ..........100,369 ..............100,329 .................... .................(2) .................. ...................(2) .................... ..............100,327 ................... ...........(612) .............(612) ............192 03/01/2043. 1................ 31418A AV 0 FN MA0919 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ............60,568 ............60,568 ............64,325 ................64,138 .................... ...............(15) .................. .................(15) .................... ................64,122 ................... ........(3,554) ..........(3,554) ............159 12/01/2031. 1................ 31418A BT 4 FN MA0949 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ..........108,764 ..........108,764 ..........112,733 ..............112,526 .................... ...............(20) .................. .................(20) .................... ..............112,507 ................... ........(3,742) ..........(3,742) ............312 01/01/2032. 1................ 31418A CM 8 FN MA0975 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ............46,077 ............46,077 ............48,158 ................48,288 .................... .................(7) .................. ...................(7) .................... ................48,281 ................... ........(2,204) ..........(2,204) ............175 02/01/2042. 1................ 31418A M3 9 FN MA1277 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ..........156,886 ..........156,886 ..........159,165 ..............158,392 .................... ...............(17) .................. .................(17) .................... ..............158,374 ................... ........(1,489) ..........(1,489) ............358 12/01/2027. 1................ 31418C EP 5 FN MA2841 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ............41,930 ............41,930 ............41,609 ................41,616 .................... ..................... .................. ....................0 .................... ................41,616 ................... ............313 ..............313 ..............88 12/01/2036. 1................ 31418C P9 9 FN MA3147 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ..........135,878 ..........135,878 ..........132,118 ..............132,158 .................... ..................9 .................. ....................9 .................... ..............132,167 ................... .........3,711 ...........3,711 ............337 10/01/2047. 1................ 31418C Q9 8 FN MA3179 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ..........178,682 ..........178,682 ..........173,994 ..............174,073 .................... ................10 .................. ...................10 .................... ..............174,083 ................... .........4,599 ...........4,599 ............380 11/01/2047. 1................ 31418C RD 8 FN MA3183 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ..........126,532 ..........126,532 ..........129,893 ..............129,819 .................... ...............(18) .................. .................(18) .................... ..............129,801 ................... ........(3,269) ..........(3,269) ............449 11/01/2047. 1................ 31418C U6 9 FN MA3304 - RMBS.................................. .. 03/01/2019. Paydown........................................ ........................... ..........160,753 ..........160,753 ..........156,053 ..............156,118 .................... ................16 .................. ...................16 .................... ..............156,134 ................... .........4,619 ...........4,619 ............420 03/01/2048. 1................ Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification 31418M Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) GG 1 FN AD0198 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ..........112,103 ..........112,103 ..........125,275 ..............126,186 .................... ...............(38) .................. .................(38) .................... ..............126,148 ................... ......(14,045) ........(14,045) ............469 09/01/2038. 1................ 31418U EL 4 FN AD6438 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............44,031 ............44,031 ............48,833 ................49,835 .................... ...............(10) .................. .................(10) .................... ................49,826 ................... ........(5,794) ..........(5,794) ............156 06/01/2040. 1................ 31419B CT 0 FN AE0981 - RMBS................................... .. 03/01/2019. Paydown........................................ ........................... ............33,348 ............33,348 ............35,005 ................35,102 .................... .................(5) .................. ...................(5) .................... ................35,097 ................... ........(1,749) ..........(1,749) ..............97 03/01/2041. 1................ 387883 VS GRANT CNTY WASH PUB UTIL DIST NO 7 2 PRIES .. 02/28/2019. Stifel Nicolaus & Co........................ ........................... .......2,496,501 .......2,205,000 .......2,595,241 ...........2,441,740 .................... ..........(6,857) .................. .............(6,857) .................... ...........2,434,883 ................... .......61,618 56052F JS 5 MAINE ST HSG AUTH MTG PUR.............. .. 02/11/2019. Call @ 100.00................................. ........................... ............10,000 ............10,000 ............10,733 ................10,647 .................... ...............(14) .................. .................(14) .................... ................10,633 ................... ...........(633) .............(633) ................... 11/15/2047. 1FE............ 575579 PZ MASSACHUSETTS BAY TRANSN AUTH 4 MASS SALE JANNEY MONTGOMERY SCOTT .. 03/07/2019. INC ........................... .......7,019,845 .......5,540,000 .......5,953,229 ...........5,805,941 .................... ..........(4,123) .................. .............(4,123) .................... ...........5,801,818 ................... ..1,218,027 .....1,218,027 .....199,555 07/01/2028. 1FE............ RE METROPOLITAN TRANSN AUTH N Y 1 REV .. 03/21/2019. BB&T SECURITIES, LLC............... ........................... .......2,180,100 .......2,000,000 .......2,079,900 ...........2,037,279 .................... ..........(2,036) .................. .............(2,036) .................... ...........2,035,242 ................... .....144,858 59261A PG METROPOLITAN TRANSN AUTH N Y 6 REV CITIGROUP GLOBAL MARKETS, .. 03/01/2019. INC ........................... .......1,278,608 .......1,805,000 .......1,252,399 ...........1,293,269 .................... ...........7,069 .................. ..............7,069 .................... ...........1,300,339 ................... ......(21,731) ........(21,731) ................... 11/15/2029. 1FE............ 59447P 7Q 8 MICHIGAN FIN AUTH REV....................... .. 03/04/2019. Piper Jaffray Co.............................. ........................... .......2,901,519 .......2,675,000 .......2,993,940 ...........2,833,882 .................... ..........(7,793) .................. .............(7,793) .................... ...........2,826,089 ................... .......75,430 .........75,430 .......35,295 12/01/2030. 1FE............ 646140 CA 9 NEW JERSEY ST TPK AUTH TPK REV.... .. 02/28/2019. GOLDMAN..................................... ........................... .......1,996,245 .......1,690,000 .......2,005,472 ...........1,976,646 .................... ..........(4,824) .................. .............(4,824) .................... ...........1,971,823 ................... .......24,422 .........24,422 .......57,038 01/01/2031. 1FE............ 646140 CB 7 NEW JERSEY ST TPK AUTH TPK REV.... .. 02/28/2019. Loop Capital Markets...................... ........................... .......1,176,310 .......1,000,000 .......1,181,880 ...........1,165,300 .................... ..........(2,776) .................. .............(2,776) .................... ...........1,162,525 ................... .......13,785 .........13,785 .......33,750 01/01/2032. 1FE............ 647200 6Y 5 NEW MEXICO MTG FIN AUTH................. .. 02/01/2019. Call @ 100.00................................. ........................... ............45,000 ............45,000 ............48,543 ................48,158 .................... ...............(56) .................. .................(56) .................... ................48,102 ................... ........(3,102) ..........(3,102) ................... 03/01/2048. 1FE............ 649883 2J NEW YORK ST MTG AGY HOMEOWNER 3 MTG REV .. 03/05/2019. Call @ 100.00................................. ........................... ..............5,000 ..............5,000 ..............5,436 ..................5,386 .................... ...............(11) .................. .................(11) .................... ..................5,375 ................... ...........(375) .............(375) ................3 04/01/2040. 1FE............ 649883 F2 NEW YORK ST MTG AGY HOMEOWNER 6 MTG REV .. 03/05/2019. Call @ 100.00................................. ........................... ............85,000 83712D TF SOUTH CAROLINA ST HSG FIN & DEV 3 AUTH MTG .. 03/04/2019. Call @ 100.00................................. ........................... ..........110,000 ..........110,000 ..........119,782 ..............115,984 .................... .............(251) .................. ...............(251) .................... ..............115,733 ................... ........(5,733) ..........(5,733) .........2,310 07/01/2041. 1FE............ 83756C TC 9 SOUTH DAKOTA HSG DEV AUTH............ .. 01/29/2019. Call @ 100.00................................. ........................... ............55,000 ............55,000 ............59,973 ................59,472 .................... ...............(75) .................. .................(75) .................... ................59,397 ................... ........(4,397) ..........(4,397) ................... 11/01/2047. 1FE............ 880558 JR 3 TENNESSEE ST SCH BD AUTH............... .. 03/25/2019. Loop Capital Markets...................... ........................... .......3,589,800 .......3,000,000 .......3,618,690 ...........3,549,103 .................... ........(12,991) .................. ...........(12,991) .................... ...........3,536,113 ................... .......53,687 914460 QE 3 UNIVERSITY MINN................................... .. 03/04/2019. Piper Jaffray Co.............................. ........................... .......1,166,780 .......1,000,000 .......1,205,820 ...........1,182,482 .................... ..........(3,310) .................. .............(3,310) .................... ...........1,179,172 ................... ......(12,392) ........(12,392) .......25,694 09/01/2036. 1FE............ 944514 MN 5 WAYNE CNTY MICH ARPT AUTH REV.... .. 02/28/2019. SAMUEL A RAMIREZ & CO INC.... ........................... .......3,942,649 .......3,655,000 .......4,051,019 ...........3,849,171 .................... ........(10,905) .................. ...........(10,905) .................... ...........3,838,266 ................... .....104,383 FK WISCONSIN HSG & ECONOMIC DEV 7 AUTH HOME O .. 02/01/2019. Call @ 100.00................................. ........................... ..........125,000 ..........125,000 ..........135,593 ..............134,397 .................... .............(166) .................. ...............(166) .................... ..............134,231 ................... ........(9,231) ..........(9,231) ................... 03/01/2048. 1FE............ Total - Bonds - U.S. Special Revenue and Special Assessments. ..................................................................................... .....57,174,651 .....52,935,068 .....57,002,095 59259Y QE05.5 97689Q 3199999. ............85,000 .........61,618 .......74,419 01/01/2027. 1FE............ .......144,858 .......36,111 11/15/2032. 1FE............ ............89,988 ................88,029 .................... .............(133) .................. ...............(133) .................... ................87,896 ................... ........(2,896) ..........(2,896) ............115 10/01/2034. 1FE............ .........50,218,739 .................0 ........(87,800) ...............0 ...........(87,800) .................0 .........53,687 .......60,833 11/01/2036. 1FE............ .......104,383 .......47,210 12/01/2022. 1FE............ .........55,387,016 ................0 ..1,787,638 .....1,787,638 .....837,499 XXX XXX Bonds - Industrial and Miscellaneous 00206R GL 0 AT&T INC.................................................. .. 01/10/2019. Citigroup (SSB)............................... ........................... .......6,551,415 .......6,750,000 .......6,603,609 ...........6,605,138 .................... ..............513 .................. .................513 .................... ...........6,605,651 ................... ......(54,236) ........(54,236) .....114,544 02/15/2028. 2FE............ 02665W BH 3 AMERICAN HONDA FINANCE CORP....... C 03/01/2019. MILLENNIUM ADVISORS LLC....... ........................... ..........565,702 ..........615,000 ..........613,143 ..............613,535 .................... ................30 .................. ...................30 .................... ..............613,566 ................... ......(47,864) ........(47,864) .........6,915 09/09/2026. 1FE............ 03523T BP ANHEUSER-BUSCH INBEV 2 WORLDWIDE INC C 01/22/2019. MORGAN STANLEY CO................ ........................... .......1,695,820 .......1,750,000 .......1,625,208 ...........1,695,016 .................... ..............919 .................. .................919 .................... ...........1,695,936 ................... ...........(116) .............(116) .......22,969 07/15/2022. 2FE............ 05363U AS 2 AVERY 4R AR - CDO................................ C 01/25/2019. Paydown........................................ ........................... ............15,614 ............15,614 ............15,685 ................15,694 .................... .................(2) .................. ...................(2) .................... ................15,692 ................... .............(77) ...............(77) ................... 04/27/2026. 1FE............ 05502J AA 8 AZURE POWER ENERGY LTD................. C 02/12/2019. BARCLAYS CAPITAL SECURITIES ........................... ..........253,485 ..........258,000 ..........262,484 ..............242,711 056059 AA 6 BX 18IND A - CMBS.................................. .. 03/15/2019. Paydown........................................ ........................... ..........733,812 ..........733,812 ..........733,812 ..............733,812 .................... ..................... .................. ....................0 .................... ..............733,812 ................... ................... ..................0 .........3,911 11/15/2035. 1FM........... ........18,812 .............(102) .................. ............18,710 .................... ..............261,421 ................... ........(7,936) ..........(7,936) .........3,981 11/03/2022. 3FE............ 12550T AA 3 CIFC 154 A1A - CDO................................. C 01/28/2019. Paydown........................................ ........................... .......4,875,000 .......4,875,000 .......4,866,225 ...........4,924,852 .................... .............(932) .................. ...............(932) .................... ...........4,923,921 ................... ......(48,921) ........(48,921) .......48,700 10/20/2027. 1FE............ 12595X AV 5 CSAIL 18CX12 XA - CMBS........................ .. 03/01/2019. Direct.............................................. ........................... ........................ ........................ ..............1,335 ..................1,287 .................... ..................... .................. ....................0 .................... ..................1,274 ................... ........(1,274) ..........(1,274) ................... 08/17/2051. 1FE............ 12596G BB 4 CSAIL 18C14 XA - CMBS.......................... .. 03/01/2019. Direct.............................................. ........................... ........................ ........................ ..............1,772 ..................1,755 .................... ..................... .................. ....................0 .................... ..................1,739 ................... ........(1,739) ..........(1,739) ................... 11/17/2051. 1FE............ 126650 BQ 2 CVSPAS 07 CTF - ABS............................. .. 03/10/2019. Paydown........................................ ........................... ............12,455 ............12,455 ............13,621 ................13,193 .................... .................(6) .................. ...................(6) .................... ................13,186 ................... ...........(731) .............(731) ..............73 01/10/2030. 2FE............ 126650 BV 1 CVSPAS 10B CTF - ABS........................... .. 03/10/2019. Paydown........................................ ........................... ............31,190 ............31,190 ............34,959 ................34,614 .................... ...............(38) .................. .................(38) .................... ................34,576 ................... ........(3,386) ..........(3,386) ............151 01/10/2033. 2FE............ Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) 14312Q AC 0 CARMX 164 A3 - ABS................................ .. 03/15/2019. Paydown........................................ ........................... ..........721,314 ..........721,314 ..........715,905 ..............719,216 .................... ..............145 .................. .................145 .................... ..............719,360 ................... .........1,954 151020 AF 1 CELGENE CORP....................................... .. 01/10/2019. VARIOUS....................................... ........................... .......2,356,173 .......2,225,000 .......2,733,079 ...........2,702,702 .................... .............(405) .................. ...............(405) .................... ...........2,702,297 ................... ....(346,124) ......(346,124) .......30,619 10/15/2040. 2FE............ ...........1,954 ............893 08/16/2021. 1FE............ ..........315,840 ..............315,840 .................... ..................... .................. ....................0 .................... ..............315,840 ................... ......(13,423) ........(13,423) .........6,879 04/24/2035. 2FE............ 20039F AA 7 COMETA ENERGIA SA DE CV................. C 02/25/2019. CITIBANK, NA................................ ........................... ..........302,417 ..........315,840 26444H AA 9 DUKE ENERGY FLORIDA LLC................. .. 03/06/2019. SCOTIA CAPITAL USA INC........... ........................... .......2,437,160 .......2,750,000 .......2,734,545 ...........2,735,308 .................... ................58 .................. ...................58 .................... ...........2,735,365 ................... ....(298,205) ......(298,205) .......40,776 10/01/2046. 1FE............ 29372E BV 9 EFF 171 A2 - ABS...................................... .. 03/20/2019. Paydown........................................ ........................... ..........227,120 ..........227,120 ..........228,095 ..............227,544 .................... ...............(44) .................. .................(44) .................... ..............227,500 ................... ...........(381) .............(381) ............424 07/20/2022. 1FE............ 31446Y AB 8 FENIX POWER PERU SA.......................... C 03/20/2019. Paydown........................................ ........................... ............17,471 ............17,471 ............16,588 ................16,627 .................... ................17 .................. ...................17 .................... ................16,643 ................... ............827 ..............827 ................... 09/20/2027. 2FE............ 36250H AB 9 GSMS 14GC26 A2 - CMBS........................ .. 03/01/2019. Paydown........................................ ........................... .......1,095,902 .......1,095,902 .......1,093,290 ...........1,093,362 .................... ...............(20) .................. .................(20) .................... ...........1,093,341 ................... .........2,560 ...........2,560 ............535 11/13/2047. 1FE............ ........................... ..........186,234 QE05.6 42953L AA HIDROVIAS INTERNATIONAL FINANCE 0 SARL ..........200,000 ..........200,000 ..............182,752 ........17,248 ..................... .................. ............17,248 .................... ..............200,000 ................... ......(13,766) ........(13,766) .........7,041 01/24/2025. 3FE............ 46590P AB 9 JSL EUROPE SA....................................... C 02/06/2019. INTERNATIONAL ........................... ..........348,250 ..........350,000 ..........347,680 ..............323,316 ........24,742 ................29 .................. ............24,771 .................... ..............348,087 ................... ............163 46636V AD 8 JPMCC 11C5 ASB - CMBS........................ .. 03/01/2019. Paydown........................................ ........................... ..........114,924 ..........114,924 ..........115,261 ..............115,231 .................... ................30 .................. ...................30 .................... ..............115,260 ................... ...........(336) .............(336) ............436 08/17/2046. 1FM........... 53227Q AA 6 LIGHT SERVICOS DE ELETRICIDADE SA C 03/29/2019. BANCO BRADESCO S A............... ........................... ..........201,800 ..........200,000 ..........198,970 ..............191,752 ..........7,336 ................45 .................. ..............7,381 .................... ..............199,133 ................... .........2,667 591555 AE 7 METINVEST BV......................................... C 02/11/2019. GOLDMAN SACHS INTL................ ........................... ..........186,000 ..........200,000 ..........197,166 ..............180,772 ........16,571 ................31 .................. ............16,602 .................... ..............197,374 ................... ......(11,374) ........(11,374) .........5,194 04/23/2026. 4FE............ 595620 AJ 4 MIDAMERICAN ENERGY CO................... .. 02/15/2019. Call @ 100.00................................. ........................... ..........750,000 ..........750,000 ..........756,683 ..............750,177 .................... .............(177) .................. ...............(177) .................... ..............750,000 ................... ................... ..................0 .........7,500 03/15/2019. 1FE............ 602736 AA 8 MINEJESA CAPITAL BV............................ C 01/16/2019. VARIOUS....................................... ........................... ..........767,128 ..........840,000 ..........831,110 ..............831,396 .................... ................26 .................. ...................26 .................... ..............831,421 ................... ......(64,294) ........(64,294) .......17,007 08/10/2030. 2FE............ 61761D AD 4 MSBAM 12C6 A4 - CMBS.......................... .. 03/01/2019. Paydown........................................ ........................... ............38,799 ............38,799 ............38,553 ................38,653 .................... ..................1 .................. ....................1 .................... ................38,654 ................... ............145 ..............145 ..............43 11/17/2045. 1FM........... 67778M 2D OIL AND GAS HOLDING CO BSC 1 CLOSED C 01/03/2019. GOLDMAN SACHS INTL................ ........................... ..........204,000 ..........200,000 ..........200,000 ..............200,000 .................... ..................... .................. ....................0 .................... ..............200,000 ................... .........4,000 ...........4,000 .........2,652 11/07/2028. 3FE............ 695114 CK 2 PACIFICORP............................................. .. 01/15/2019. Maturity @ 100.00.......................... ........................... .......1,900,000 .......1,900,000 .......2,121,392 ...........1,901,230 .................... ..........(1,230) .................. .............(1,230) .................... ...........1,900,000 ................... ................... ..................0 .......52,250 01/15/2019. 1FE............ 71647N AY 5 PETROBRAS GLOBAL FINANCE BV........ C 03/28/2019. VARIOUS....................................... ........................... ..........526,333 ..........528,000 ..........523,248 ............................ .................... ................44 .................. ...................44 .................... ..............523,292 ................... .........3,041 71647N BD 0 PETROBRAS GLOBAL FINANCE BV........ C 03/22/2019. JEFFERIES INTERNATIONAL LTD ........................... ..........149,699 ..........150,000 ..........150,000 ............................ .................... ..................... .................. ....................0 .................... ..............150,000 ................... ...........(302) .............(302) ............201 03/19/2049. 3FE............ 78447A AA 2 SLMA 123 A - ABS..................................... .. 03/25/2019. Paydown........................................ ........................... ..........103,958 ..........103,958 ..........104,559 ..............104,457 .................... ...............(11) .................. .................(11) .................... ..............104,446 ................... ...........(488) .............(488) ............299 12/26/2025. 1FE............ AC BNY MELLON/NOMURA INT'L 9 SANDS CHINA LTD................................... .. 01/02/2019. PLC REPO ........................... ..........198,016 ..........200,000 ..........199,826 ..............200,000 .................... ..................... .................. ....................0 .................... ..............200,000 ................... ........(1,984) ..........(1,984) .........4,128 08/08/2025. 2FE............ AL SIEMENS 7 FINANCIERINGSMAATSCHAPPIJ NV C 03/01/2019. GOLDMAN..................................... ........................... .......2,530,853 .......2,750,000 .......2,742,108 ...........2,743,774 .................... ..............126 .................. .................126 .................... ...........2,743,900 ................... ....(213,047) ......(213,047) .......25,132 10/15/2026. 1FE............ 80007R 82620K JPMorgan Chase Bank/Euroclear C 02/25/2019. Bank MERRILL LYNCH ..............163 .......14,467 07/26/2024. 3FE............ ...........2,667 .........6,001 05/03/2023. 3FE............ ...........3,041 .......17,044 01/27/2028. 3FE............ 87876T AE JPMorgan Chase Bank/Euroclear 4 TECPETROL INTERNATIONAL S.A.......... C 02/28/2019. Bank ........................... ............65,013 ............70,000 ............70,000 ................64,750 90131H AX 3 21ST CENTURY FOX AMERICA INC........ .. 03/20/2019. CORPORATE ACTION.................. ........................... .......2,308,939 .......1,920,000 .......2,471,504 ...........2,319,843 .................... ........(10,904) .................. ...........(10,904) .................... ...........2,308,939 ................... ................... ..................0 .....114,987 10/30/2025. 1FE............ 91911T AH BANK OF NOVA SCOTIA, NEW 6 VALE OVERSEAS LTD.............................. C 02/06/2019. YORK ........................... ............48,898 ............44,000 ............46,842 ................46,721 .................... .................(9) .................. ...................(9) .................... ................46,712 ................... .........2,186 91911T AP 8 VALE OVERSEAS LTD.............................. C 03/06/2019. VARIOUS....................................... ........................... ..........284,860 ..........271,000 ..........292,777 ..............292,440 .................... .............(342) .................. ...............(342) .................... ..............292,098 ................... ........(7,238) ..........(7,238) .........9,260 08/10/2026. 2FE............ 92348M AA 7 VZOT 162 A - ABS..................................... .. 03/20/2019. Paydown........................................ ........................... ..........831,401 ..........831,401 ..........831,466 ..............831,417 .................... .................(2) .................. ...................(2) .................... ..............831,414 ................... .............(14) ...............(14) .........1,232 05/20/2021. 1FE............ 95000G AY 0 WFCM 16BNK1 A3 - CMBS....................... .. 03/01/2019. Citigroup (SSB)............................... ........................... .......3,422,074 .......3,605,000 .......3,713,042 ...........3,688,392 .................... ..........(1,896) .................. .............(1,896) .................... ...........3,686,496 ................... ....(264,422) ......(264,422) .......24,963 08/17/2049. 1FM........... 96328D AZ 7 WHLS 171 A2 - ABS.................................. .. 03/20/2019. Paydown........................................ ........................... ..........123,892 ..........123,892 ..........123,891 ..............123,891 .................... ..................... .................. ....................0 .................... ..............123,891 ................... ................1 ..................1 ............218 04/20/2026. 1FE............ G0066R AB CITIGROUP GLOBAL MARKETS 0 ABQ FINANCE LTD................................... D 02/28/2019. LIMITED ........................... ..........198,250 ..........200,000 ..........197,500 ..............198,270 .................... ................88 .................. ...................88 .................... ..............198,358 ................... ...........(108) .............(108) .........3,733 02/22/2022. 1FE............ AA CITIGROUP GLOBAL MARKETS 0 EZDAN SUKUK COMPANY LTD............... D 03/27/2019. LIMITED ........................... ..........176,940 ..........200,000 ..........191,000 ..............164,206 AE CITIGROUP GLOBAL MARKETS 8 KUWAIT PROJECTS CO (CAYMAN)......... D 02/28/2019. LIMITED ........................... ..........835,575 ..........780,000 ..........927,242 ..............857,876 .................... ..........(8,505) .................. .............(8,505) .................... ..............849,371 ................... ......(13,796) ........(13,796) .......46,521 07/15/2020. 2FE............ G5278K G5332X ..........5,250 ..................... .................. ..............5,250 .................... ................70,000 ................... ........(4,988) ..........(4,988) ............745 12/12/2022. 3FE............ ........30,093 ...........2,186 ............647 11/21/2036. 2FE............ ..............543 .................. ............30,636 .................... ..............194,842 ................... ......(17,902) ........(17,902) .........3,184 05/18/2021. 4FE............ Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) G5332X AG CITIGROUP GLOBAL MARKETS 3 KUWAIT PROJECTS CO CAYMAN........... D 01/29/2019. LIMITED ........................... ..........665,610 ..........660,000 ..........702,411 ..............692,085 .................... .............(584) .................. ...............(584) .................... ..............691,501 ................... ......(25,891) ........(25,891) .......12,375 03/15/2023. 2FE............ G6389W AF 7 NAN FUNG TREASURY LTD.................... .. 03/25/2019. CREDIT AGRICOLE CIB................ ........................... ..........189,960 ..........200,000 ..........185,964 ..............186,933 .................... ..............281 .................. .................281 .................... ..............187,214 ................... .........2,746 G8763J AB 7 TEWOO GROUP FINANCE NO 3 LTD...... .. 01/30/2019. CSI GLOBAL MARKETS LIMITED. ........................... ..........411,725 ..........430,000 ..........434,001 ..............432,407 .................... .............(159) .................. ...............(159) .................... ..............432,249 ................... ......(20,524) ........(20,524) .........6,353 04/06/2020. 2FE............ G9328D AJ 9 VEDANTA RESOURCES PLC................... C 02/11/2019. BNP PARIBAS, S.A........................ ........................... ..........186,510 ..........200,000 ..........209,250 ..............180,350 G9600G AA CITIGROUP GLOBAL MARKETS 0 WTT INVESTMENT LTD............................ D 02/12/2019. LIMITED ........................... ..........199,000 ..........200,000 ..........198,600 ..............195,642 ..........3,026 ................38 .................. ..............3,064 .................... ..............198,705 ................... ............295 M5318P AM 8 IDBI BANK (DUBAI BRANCH)................... D 01/25/2019. Maturity @ 100.00.......................... ........................... ..........400,000 ..........400,000 ..........401,206 ..............399,404 .............651 ...............(55) .................. .................596 .................... ..............400,000 ................... ................... ..................0 .........7,500 01/25/2019. 3FE............ P1265V AD 4 BANCO GNB SUDAMERIS SA.................. C 02/06/2019. JEFFERIES INTERNATIONAL LTD ........................... ............76,093 ............75,000 ............77,588 ................73,688 ..........3,149 ...............(49) .................. ..............3,100 .................... ................76,788 ................... ...........(695) .............(695) .........1,646 04/03/2027. 4FE............ P3716X AA EMPRESA NACIONAL DE AUTOPISTA 7 SA (ENA) P7464E AA V6560A ...........2,746 .........3,746 10/03/2027. 2FE............ ........26,829 .............(169) .................. ............26,660 .................... ..............207,009 ................... ......(20,499) ........(20,499) .........2,771 05/31/2023. 4FE............ ..............295 .........2,536 11/21/2022. 3FE............ QE05.7 C 01/25/2019. Paydown........................................ ........................... ............11,172 ............11,172 ............11,490 ................11,412 .................... .................(3) .................. ...................(3) .................... ................11,409 ................... ...........(237) .............(237) ................... 04/25/2028. 2FE............ ..........350,000 ..........375,315 ..............294,945 AD 4 PAMPA ENERGIA SA................................ C 02/13/2019. GOLDMAN SACHS INTL................ ........................... ..........317,125 MERRILL LYNCH 4 OCP SA..................................................... D 02/01/2019. INTERNATIONAL ........................... ..........420,080 ..........400,000 ..........453,499 ..............452,201 .................... ...............(33) .................. .................(33) .................... ..............452,169 ................... ......(32,089) ........(32,089) .........6,035 04/25/2044. 2FE............ Y1R03H AV 3 CHINA MINMETALS CORP....................... D 01/04/2019. NOMURA INTERNATIONAL PLC.. ........................... ..........732,038 ..........810,000 ..........798,087 ..............798,308 .................... ..................4 .................. ....................4 .................... ..............798,312 ................... ......(66,274) ........(66,274) .........4,641 11/13/2049. 2FE............ Y39428 AB 6 INDIAN RAILWAY FINANCE CORP LTD... D 02/26/2019. Maturity @ 100.00.......................... ........................... ..........200,000 ..........200,000 ..........205,592 ..............200,507 .................... .............(507) .................. ...............(507) .................... ..............200,000 ................... ................... ..................0 .........3,917 02/26/2019. 2FE............ Y44680 GC CITIGROUP GLOBAL MARKETS 7 JSW STEEL LTD....................................... D 02/13/2019. LIMITED ........................... ..........200,500 ..........200,000 ..........203,750 ..............193,566 ..........9,089 ...............(93) .................. ..............8,996 .................... ..............202,562 ................... ........(2,062) ..........(2,062) .........3,558 04/13/2022. 3FE............ Y8564S AC 6 THETA CAPITAL PTE LTD........................ D 01/25/2019. UBS AG London............................. ........................... ..........146,000 ..........200,000 ..........210,860 ..............148,982 ........55,492 .............(273) .................. ............55,219 .................... ..............204,201 ................... ......(58,201) ........(58,201) .........4,200 04/11/2022. 4FE............ AE YANGZHOU URBAN CONSTRUCTION 6 STATE-OWNED D 01/15/2019. BARCLAYS CAPITAL SECURITIES ........................... ..........760,890 ..........780,000 ..........786,318 ..............784,469 .................... ...............(97) .................. .................(97) .................... ..............784,372 ................... ......(23,482) ........(23,482) .........2,654 12/19/2020. 2FE............ Total - Bonds - Industrial and Miscellaneous................................ ..................................................................................... .....43,310,589 .....44,080,864 .....45,454,946 Y97284 3899999. Bonds - Hybrid Securities 29250R AK 2 ENBRIDGE ENERGY PARTNERS LP....... C 02/28/2019. Call @ 100.00................................. ........................... .......1,900,000 .........44,088,421 ........76,938 .............(317) .................. ............76,621 .................... ..............371,566 ................... ......(54,441) ........(54,441) .......14,615 01/24/2027. 4FE............ ......295,226 ........(23,996) ...............0 ..........271,230 .................0 .........45,032,865 ................0 .(1,722,282) ...(1,722,282) .....722,802 ..............122 .................. ............21,122 .................... ...........1,885,740 ................... .......14,260 XXX XXX .......1,900,000 .......1,942,623 ...........1,864,618 ........21,000 7 WOORI BANK............................................ C 01/18/2019. BARCLAYS CAPITAL SECURITIES ........................... ..........235,320 ..........240,000 ..........243,840 ..............234,835 ..........8,126 ...............(49) .................. ..............8,077 .................... ..............242,912 ................... ........(7,592) ..........(7,592) .........2,345 05/16/2022. 3FE............ 4899999. Total - Bonds - Hybrid Securities.................................................. ..................................................................................... .......2,135,320 .......2,140,000 .......2,186,463 ...........2,099,453 ........29,126 ................73 ...............0 ............29,199 .................0 ...........2,128,652 ................0 .........6,668 ...........6,668 .......52,604 XXX XXX 8399997. Total - Bonds - Part 4................................................................... ..................................................................................... ....220,482,681 ....215,056,776 ....222,959,462 .......153,843,248 ......831,892 ......(158,499) ...............0 ..........673,393 .................0 .......220,039,188 ................0 .....443,489 .......443,489 ..2,829,650 XXX XXX 8399999. Total - Bonds............................................................................... ..................................................................................... ....220,482,681 ....215,056,776 ....222,959,462 .......153,843,248 ......831,892 ......(158,499) ...............0 ..........673,393 .................0 .......220,039,188 ................0 .....443,489 .......443,489 ..2,829,650 XXX XXX 98105H AF Preferred Stocks - Industrial and Miscellaneous 316773 60 5 FIFTH THIRD BANCORP.......................... .. 03/01/2019. CABRERA CAPITAL MARKETS..... ..........8,500.000 ........20,072 ..................... .................. ............20,072 .................... ..............239,967 ................... .........2,960 ...........2,960 ................... XXX .................. 8499999. Total - Preferred Stocks - Industrial and Miscellaneous................ ..................................................................................... ..........242,927 XXX ..........239,967 ..............219,895 ........20,072 ..................0 ...............0 ............20,072 .................0 ..............239,967 ................0 .........2,960 ...........2,960 ................0 XXX XXX 8999997. Total - Preferred Stocks - Part 4................................................... ..................................................................................... ..........242,927 XXX ..........239,967 ..............219,895 ........20,072 ..................0 ...............0 ............20,072 .................0 ..............239,967 ................0 .........2,960 ...........2,960 ................0 XXX XXX 8999999. Total - Preferred Stocks............................................................... ..................................................................................... ..........242,927 XXX ..........239,967 ..............219,895 ........20,072 ..................0 ...............0 ............20,072 .................0 ..............239,967 ................0 .........2,960 ...........2,960 ................0 XXX XXX Common Stocks - Industrial and Miscellaneous 00130H 10 5 AES ORD................................................... .. 02/25/2019. Jefferies.......................................... ........15,000.000 ..........242,927 ........................ ..........239,967 ..............219,895 .........14,260 .......50,259 10/01/2077. 2FE............ ..........259,872 XXX ..........230,175 ............................ .................... ..................... .................. ....................0 .................... ..............230,175 ................... .......29,697 .........29,697 .........2,048 XXX L................ 10 2 AT&T ORD................................................. .. 02/11/2019. VARIOUS....................................... ........48,000.000 .......1,424,221 XXX .......1,612,960 ...........1,369,920 ......243,040 ..................... .................. ..........243,040 .................... ...........1,612,960 ................... ....(188,739) ......(188,739) .......24,480 XXX L................ 10 DEUTSCHE BANK SECURITIES, 9 ABBVIE ORD............................................. .. 02/20/2019. INC. ..........2,500.000 ..........199,960 XXX ..........223,088 ............................ .................... ..................... .................. ....................0 .................... ..............223,088 ................... ......(23,128) ........(23,128) .........2,675 XXX L................ 009158 10 DEUTSCHE BANK SECURITIES, 6 AIR PRODUCTS AND CHEMICALS ORD. .. 01/29/2019. INC. ..........2,800.000 ..........457,052 XXX ..........466,550 ..............448,140 ........18,410 ..................... .................. ............18,410 .................... ..............466,550 ................... ........(9,498) ..........(9,498) ................... XXX L................ 018802 10 8 ALLIANT ENERGY ORD............................ .. 03/04/2019. BTIG LLC....................................... ..........6,000.000 ..........277,646 XXX ..........256,800 ..............126,750 ..........2,505 ..................... .................. ..............2,505 .................... ..............256,800 ................... .......20,846 .........20,846 .........2,130 XXX L................ 10 DEUTSCHE BANK SECURITIES, 2 AMEREN ORD........................................... .. 01/29/2019. INC. ..........269,856 XXX ..........279,220 ..............260,920 ........18,300 ..................... .................. ............18,300 .................... ..............279,220 ................... ........(9,364) ..........(9,364) ................... XXX L................ 00206R 00287Y 023608 ..........4,000.000 Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 F o r ei g n Prior Year Book/Adjusted Carrying Value 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) Number of Shares of Stock Consideration Par Value 10 1 AMERICAN ELECTRIC POWER ORD....... .. 02/25/2019. Jefferies.......................................... ..........5,000.000 ..........403,870 XXX ..........373,625 ............................ .................... ..................... .................. ....................0 .................... ..............373,625 ................... .......30,245 .........30,245 .........3,350 XXX L................ 10 DEUTSCHE BANK SECURITIES, 4 AMERICAN FINANCIAL GROUP ORD...... .. 01/29/2019. INC. ..........3,000.000 ..........283,091 XXX ..........222,881 ..............271,590 .........60,211 .........1,200 XXX L................ 026874 78 AMERICAN INTERNATIONAL GROUP 4 ORD .. 01/02/2019. Jefferies.......................................... ........13,000.000 ..........514,988 XXX ..........685,425 ..............512,330 ......173,095 ..................... .................. ..........173,095 .................... ..............685,425 ................... ....(170,437) ......(170,437) ................... XXX L................ 03027X 10 0 AMERICAN TOWER REIT......................... .. 01/18/2019. Jefferies.......................................... ..........3,000.000 ..........493,989 XXX ..........502,905 ..............474,570 ........28,335 ..................... .................. ............28,335 .................... ..............502,905 ................... ........(8,916) ..........(8,916) .........2,520 XXX L................ 03071H 10 DEUTSCHE BANK SECURITIES, 0 AMERISAFE ORD..................................... .. 02/05/2019. INC. ..........3,000.000 ..........178,078 XXX ..........191,865 ..............170,070 ........21,795 ..................... .................. ............21,795 .................... ..............191,865 ................... ......(13,787) ........(13,787) ................... XXX L................ 031162 10 0 AMGEN ORD............................................. .. 03/04/2019. BTIG LLC....................................... ..........1,000.000 ..........189,773 XXX ..........202,685 ............................ .................... ..................... .................. ....................0 .................... ..............202,685 ................... ......(12,912) ........(12,912) .........1,450 XXX L................ 03748R 75 APARTMENT INVST MGT CL A REIT 4 ORD .. 03/04/2019. VARIOUS....................................... ..........3,879.014 ..........192,222 XXX ..........182,929 ..............170,000 ..........6,838 ..................... .................. ..............6,838 .................... ..............182,929 ................... .........9,293 ...........9,293 ................... XXX L................ 038222 10 5 APPLIED MATERIAL ORD........................ .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........5,000.000 ..........192,523 XXX ..........173,825 ............................ .................... ..................... .................. ....................0 .................... ..............173,825 ................... .......18,698 .........18,698 .........1,000 XXX L................ 039483 10 2 ARCHER DANIELS MIDLAND ORD.......... .. 03/04/2019. BTIG LLC....................................... ..........7,000.000 ..........295,641 XXX ..........349,825 ..............286,790 ........63,035 ..................... .................. ............63,035 .................... ..............349,825 ................... ......(54,184) ........(54,184) .........2,450 XXX L................ 042315 50 DEUTSCHE BANK SECURITIES, 7 ARMOUR RESIDENTIAL REIT ORD......... .. 02/20/2019. INC. ..........6,000.000 ..........121,168 XXX ..........134,310 ..............123,000 ........11,310 ..................... .................. ............11,310 .................... ..............134,310 ................... ......(13,142) ........(13,142) .........2,280 XXX L................ 045487 10 5 ASSOCIATED BANCORP ORD................. .. 03/25/2019. VARIOUS....................................... ........11,000.000 ..........235,812 XXX ..........229,075 ............................ .................... ..................... .................. ....................0 .................... ..............229,075 ................... .........6,737 ...........6,737 .........1,870 XXX L................ 053015 10 3 AUTOMATIC DATA PROCESSING ORD.. .. 01/18/2019. VARIOUS....................................... ..........6,000.000 ..........800,160 XXX ..........768,750 ..............786,720 .........31,410 .........4,740 XXX L................ 054937 10 7 BB AND T ORD......................................... .. 03/25/2019. Jefferies.......................................... ........10,000.000 ..........448,644 XXX ..........487,950 ............................ .................... ..................... .................. ....................0 .................... ..............487,950 ................... ......(39,306) ........(39,306) .........4,050 XXX L................ 05508R 10 DEUTSCHE BANK SECURITIES, 6 B AND G FOODS ORD.............................. .. 01/29/2019. INC. ..........5,000.000 ..........136,023 XXX ..........150,575 ..............144,550 ..........6,025 ..................... .................. ..............6,025 .................... ..............150,575 ................... ......(14,552) ........(14,552) .........2,375 XXX L................ 05541T 10 1 BGC PARTNERS CL A ORD..................... .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ........12,000.000 ............73,979 XXX ............81,218 ................62,040 ........19,178 ..................... .................. ............19,178 .................... ................81,218 ................... ........(7,239) ..........(7,239) ................... XXX L................ 075896 10 0 BED BATH AND BEYOND ORD................ .. 03/25/2019. Jefferies.......................................... ........10,000.000 ..........138,648 XXX ..........155,150 ............................ .................... ..................... .................. ....................0 .................... ..............155,150 ................... ......(16,502) ........(16,502) ................... XXX L................ 086516 10 1 BEST BUY ORD........................................ .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........2,500.000 ..........142,161 XXX ..........155,238 ..............132,400 ........22,838 ..................... .................. ............22,838 .................... ..............155,238 ................... ......(13,077) ........(13,077) ................... XXX L................ 09247X 10 DEUTSCHE BANK SECURITIES, 1 BLACKROCK ORD.................................... .. 01/29/2019. INC. ..........1,000.000 ..........407,610 XXX ..........434,875 ..............392,820 ........42,055 ..................... .................. ............42,055 .................... ..............434,875 ................... ......(27,265) ........(27,265) ................... XXX L................ 097023 10 5 BOEING ORD............................................ .. 03/25/2019. VARIOUS....................................... ..........1,800.000 ..........648,961 XXX ..........424,176 ..............322,500 .....(190,113) ..................... .................. .........(190,113) .................... ..............424,176 ................... .....224,785 .......224,785 .........1,644 XXX L................ 105368 20 DEUTSCHE BANK SECURITIES, 3 BRANDYWINE REALTY REIT ORD.......... .. 02/05/2019. INC. ........18,000.000 ..........279,806 XXX ..........225,270 ............................ .................... ..................... .................. ....................0 .................... ..............225,270 ................... .......54,536 .........54,536 .........3,420 XXX L................ 11135F 10 1 BROADCOM ORD..................................... .. 03/25/2019. Jefferies.......................................... ..........1,000.000 ..........292,151 XXX ..........254,135 ..............254,280 ............(145) ..................... .................. ...............(145) .................... ..............254,135 ................... .......38,016 .........38,016 .........2,650 XXX L................ 118440 10 DEUTSCHE BANK SECURITIES, 6 BUCKLE ORD............................................ .. 02/20/2019. INC. ........15,000.000 ..........274,823 XXX ..........291,375 ............................ .................... ..................... .................. ....................0 .................... ..............291,375 ................... ......(16,552) ........(16,552) .......18,750 XXX L................ 125269 10 0 CF INDUSTRIES HOLDINGS ORD........... .. 03/04/2019. BTIG LLC....................................... ..........5,000.000 ..........210,372 XXX ..........224,175 ..............217,550 ..........6,625 ..................... .................. ..............6,625 .................... ..............224,175 ................... ......(13,803) ........(13,803) .........1,500 XXX L................ 12572Q 10 5 CME GROUP CL A ORD........................... .. 03/25/2019. VARIOUS....................................... ..........5,000.000 ..........883,534 XXX ..........919,385 ..............940,600 .......(21,215) ..................... .................. ...........(21,215) .................... ..............919,385 ................... ......(35,851) ........(35,851) .........8,750 XXX L................ 125896 10 0 CMS ENERGY ORD.................................. .. 02/25/2019. Jefferies.......................................... ..........8,000.000 ..........430,514 XXX ..........398,360 ..............397,200 ..........1,160 ..................... .................. ..............1,160 .................... ..............398,360 ................... .......32,154 .........32,154 .........3,060 XXX L................ 126117 10 0 CNA FINANCIAL ORD............................... .. 03/04/2019. VARIOUS....................................... ..........6,000.000 ..........260,157 XXX ..........261,600 ..............132,450 .........(5,445) ..................... .................. .............(5,445) .................... ..............261,600 ................... ........(1,443) ..........(1,443) .......14,100 XXX L................ 126650 10 0 CVS HEALTH ORD.................................... .. 03/04/2019. BTIG LLC....................................... ........10,675.000 ..........640,041 XXX ..........748,957 ..............306,306 XXX L................ 134429 10 9 CAMPBELL SOUP ORD............................ .. 03/04/2019. BTIG LLC....................................... ..........5,000.000 ..........179,973 XXX ..........161,325 ............................ .................... ..................... .................. ....................0 .................... ..............161,325 ................... .......18,648 .........18,648 .........1,750 XXX L................ 14040H 10 5 CAPITAL ONE FINANCIAL ORD............... .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........3,000.000 ..........248,532 XXX ..........239,865 ............................ .................... ..................... .................. ....................0 .................... ..............239,865 ................... .........8,667 ...........8,667 .........1,200 XXX L................ 14149Y 10 DEUTSCHE BANK SECURITIES, 8 CARDINAL HEALTH ORD......................... .. 01/29/2019. INC. ..........5,000.000 ..........246,672 XXX ..........281,025 ..............223,000 ........58,025 ..................... .................. ............58,025 .................... ..............281,025 ................... ......(34,353) ........(34,353) .........2,382 XXX L................ 143658 30 0 CARNIVAL ORD........................................ .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........7,000.000 ..........365,990 XXX ..........403,245 ..............345,100 ........58,145 ..................... .................. ............58,145 .................... ..............403,245 ................... ......(37,255) ........(37,255) ................... XXX L................ 149123 10 1 CATERPILLAR ORD.................................. .. 03/04/2019. BTIG LLC....................................... ..........2,000.000 ..........276,686 XXX ..........265,930 ............................ .................... ..................... .................. ....................0 .................... ..............265,930 ................... .......10,756 XXX L................ CUSIP Identification 025537 025932 Description Disposal Date Change in Book/Adjusted Carrying Value 12 13 14 Name of Purchaser Actual Cost .......(48,710) ..................... .................. ...........(48,710) .................... ..............222,881 ................... .......60,211 QE05.8 .......(17,970) ..................... .................. ...........(17,970) .................... ..............768,750 ................... .......31,410 ........49,321 ..................... .................. ............49,321 .................... ..............748,957 ................... ....(108,916) ......(108,916) .........5,338 .........10,756 .........1,720 Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Disposal Date Actual Cost 17 18 19 20 21 22 Prior Year Book/Adjusted Carrying Value Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) Consideration Par Value 10 7 CENTERPOINT ENERGY ORD................. .. 03/14/2019. BTIG LLC....................................... ........16,000.000 ..........485,354 XXX ..........343,280 ..............451,680 .....(108,400) ..................... .................. .........(108,400) .................... ..............343,280 ................... .....142,074 .......142,074 .........4,600 XXX L................ 166764 10 0 CHEVRON ORD........................................ .. 01/02/2019. Jefferies.......................................... ........14,000.000 .......1,549,570 XXX .......1,658,230 ...........1,523,060 ......135,170 ..................... .................. ..........135,170 .................... ...........1,658,230 ................... ....(108,660) ......(108,660) ................... XXX L................ 172062 10 1 CINCINNATI FINANCIAL ORD.................. .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........2,500.000 ..........193,235 XXX ..........175,163 ..............193,550 .......(18,388) ..................... .................. ...........(18,388) .................... ..............175,163 ................... .......18,072 .........18,072 .........1,325 XXX L................ 172967 42 DEUTSCHE BANK SECURITIES, 4 CITIGROUP ORD...................................... .. 02/20/2019. INC. ..........3,000.000 ..........193,902 XXX ..........193,065 ..............156,180 ........36,885 ..................... .................. ............36,885 .................... ..............193,065 ................... ............837 ..............837 .........1,350 XXX L................ 174610 10 5 CITIZENS FINANCIAL GROUP ORD........ .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........5,000.000 ..........175,473 XXX ..........177,175 ............................ .................... ..................... .................. ....................0 .................... ..............177,175 ................... ........(1,702) ..........(1,702) .........1,600 XXX L................ 18539C 20 4 CLEARWAY ENERGY CL C ORD............. .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ........12,000.000 ..........197,217 XXX ..........214,260 ..............207,000 ..........7,260 ..................... .................. ..............7,260 .................... ..............214,260 ................... ......(17,043) ........(17,043) ................... XXX L................ 191216 10 0 COCA-COLA ORD..................................... .. 01/02/2019. Jefferies.......................................... ........37,000.000 .......1,736,202 XXX .......1,686,868 ...........1,751,950 .......(65,083) ..................... .................. ...........(65,083) .................... ...........1,686,868 ................... .......49,335 .........49,335 ................... XXX L................ 19247A 10 0 COHEN & STEERS ORD........................... .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........2,500.000 ............85,461 XXX ............96,402 ................85,800 ........10,602 ..................... .................. ............10,602 .................... ................96,402 ................... ......(10,940) ........(10,940) ................... XXX L................ 194162 10 3 COLGATE PALMOLIVE ORD.................... .. 03/04/2019. BTIG LLC....................................... ..........3,000.000 ..........198,072 XXX ..........201,225 ..............178,560 ........22,665 ..................... .................. ............22,665 .................... ..............201,225 ................... ........(3,153) ..........(3,153) .........1,260 XXX L................ 197236 10 2 COLUMBIA BANKING SYSTEM ORD....... .. 03/25/2019. Jefferies.......................................... ..........5,000.000 ..........155,323 XXX ..........184,025 ............................ .................... ..................... .................. ....................0 .................... ..............184,025 ................... ......(28,702) ........(28,702) .........2,100 XXX L................ 10 DEUTSCHE BANK SECURITIES, 1 COMCAST CL A ORD............................... .. 01/29/2019. INC. ........20,000.000 ..........721,491 XXX ..........783,100 ..............681,000 ......102,100 ..................... .................. ..........102,100 .................... ..............783,100 ................... ......(61,609) ........(61,609) .........3,800 XXX L................ 20451N 10 COMPASS MINERALS INTERNATIONAL 1 ORD .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........3,000.000 ..........133,183 XXX ..........155,385 ..............125,070 ........30,315 ..................... .................. ............30,315 .................... ..............155,385 ................... ......(22,202) ........(22,202) ................... XXX L................ 205887 10 2 CONAGRA BRANDS ORD........................ .. 03/04/2019. BTIG LLC....................................... ........20,000.000 ..........461,134 XXX ..........501,380 ..............128,160 ........72,570 ..................... .................. ............72,570 .................... ..............501,380 ................... ......(40,246) ........(40,246) .........4,250 XXX L................ 209034 10 CONSOLIDATED COMMUNICATIONS 7 HLDG ORD .. 03/04/2019. BTIG LLC....................................... ........16,000.000 ..........154,958 XXX ..........161,520 ............................ .................... ..................... .................. ....................0 .................... ..............161,520 ................... ........(6,562) ..........(6,562) .........6,198 XXX L................ 209115 10 4 CONSOLIDATED EDISON ORD................ .. 02/25/2019. Jefferies.......................................... ..........3,500.000 ..........285,649 XXX ..........270,926 ..............267,610 ..........3,316 ..................... .................. ..............3,316 .................... ..............270,926 ................... .......14,723 .........14,723 ................... XXX L................ 10 CROWN CASTLE INTERNATIONAL REIT 1 ORD .. 03/25/2019. Jefferies.......................................... ..........6,000.000 ..........698,631 XXX ..........695,030 ..............325,890 ..........2,535 ..................... .................. ..............2,535 .................... ..............695,030 ................... .........3,601 ...........3,601 .........2,250 XXX L................ 233331 10 DEUTSCHE BANK SECURITIES, 7 DTE ENERGY ORD................................... .. 01/29/2019. INC. ..........4,500.000 ..........517,156 XXX ..........525,398 ..............496,350 ........29,048 ..................... .................. ............29,048 .................... ..............525,398 ................... ........(8,242) ..........(8,242) .........4,253 XXX L................ 247361 70 2 Delta Air Lines, Inc..................................... .. 03/04/2019. BTIG LLC....................................... ..........4,000.000 ..........195,137 XXX ..........207,180 ..............199,600 ..........7,580 ..................... .................. ..............7,580 .................... ..............207,180 ................... ......(12,043) ........(12,043) .........1,400 XXX L................ QE05.9 22822V Name of Purchaser Number of Shares of Stock 16 15 15189T 20030N Description F o r ei g n Change in Book/Adjusted Carrying Value 12 13 14 254423 10 DEUTSCHE BANK SECURITIES, 6 DINE BRANDS GLOBAL ORD................... .. 01/29/2019. INC. ..........3,000.000 ..........229,272 XXX ..........194,355 ..............202,020 .........(7,665) ..................... .................. .............(7,665) .................... ..............194,355 ................... .......34,917 .........34,917 .........1,890 XXX L................ 25746U 10 9 DOMINION ENERGY ORD........................ .. 03/04/2019. BTIG LLC....................................... ........10,000.000 ..........752,640 XXX ..........733,550 ..............714,600 ........18,950 ..................... .................. ............18,950 .................... ..............733,550 ................... .......19,090 .........19,090 .........9,175 XXX L................ 257559 20 3 DOMTAR ORD.......................................... C 02/11/2019. BTIG LLC....................................... ..........3,000.000 ..........151,033 XXX ..........110,625 ..............105,390 ..........5,235 ..................... .................. ..............5,235 .................... ..............110,625 ................... .......40,408 .........40,408 .........1,305 XXX L................ 26441C 20 4 DUKE ENERGY ORD................................ .. 02/25/2019. Jefferies.......................................... ..........6,000.000 ..........536,843 XXX ..........511,650 ............................ .................... ..................... .................. ....................0 .................... ..............511,650 ................... .......25,193 .........25,193 .........5,565 XXX L................ 29444U 70 0 EQUINIX REIT ORD.................................. .. 03/25/2019. Jefferies.......................................... .............500.000 ..........223,085 XXX ..........215,768 ............................ .................... ..................... .................. ....................0 .................... ..............215,768 ................... .........7,317 ...........7,317 .........1,230 XXX L................ 29530P 10 2 ERIE INDEMNITY CL A ORD.................... .. 02/25/2019. Jefferies.......................................... .............700.000 ..........126,100 XXX ............79,504 ................93,317 .......(13,813) ..................... .................. ...........(13,813) .................... ................79,504 ................... .......46,596 .........46,596 ............630 XXX L................ 30034W 10 6 EVERGY ORD........................................... .. 03/11/2019. VARIOUS....................................... ..........5,000.000 ..........278,481 XXX ..........291,775 ..............283,850 ..........7,925 ..................... .................. ..............7,925 .................... ..............291,775 ................... ......(13,294) ........(13,294) ................... XXX L................ 30040W 10 8 EVERSOURCE ENERGY ORD................. .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........5,000.000 ..........351,370 XXX ..........330,275 ............................ .................... ..................... .................. ....................0 .................... ..............330,275 ................... .......21,095 .........21,095 .........2,675 XXX L................ 30231G 10 2 EXXON MOBIL ORD.................................. .. 03/04/2019. VARIOUS....................................... ........50,000.000 .......3,801,901 XXX .......4,131,950 ...........3,409,500 ......722,450 ..................... .................. ..........722,450 .................... ...........4,131,950 ................... ....(330,049) ......(330,049) .......27,060 XXX L................ 313747 20 6 FEDERAL REIT ORD................................ .. 03/25/2019. Jefferies.......................................... ..........2,000.000 ..........270,366 XXX ..........265,810 ............................ .................... ..................... .................. ....................0 .................... ..............265,810 ................... .........4,556 ...........4,556 ................... XXX L................ 337932 10 7 FIRSTENERGY ORD................................. .. 02/25/2019. Jefferies.......................................... ..........5,000.000 ..........202,122 XXX ..........192,925 ............................ .................... ..................... .................. ....................0 .................... ..............192,925 ................... .........9,197 ...........9,197 .........1,900 XXX L................ 344849 10 DEUTSCHE BANK SECURITIES, 4 FOOT LOCKER ORD................................. .. 01/29/2019. INC. ..........6,000.000 ..........339,266 XXX ..........206,310 ..............319,200 .......132,956 .........2,070 XXX L................ 36162J 10 6 GEO GROUP REIT ORD........................... .. 03/04/2019. BTIG LLC....................................... ..........7,000.000 ..........160,473 XXX ..........162,435 ............................ .................... ..................... .................. ....................0 .................... ..............162,435 ................... ........(1,962) ..........(1,962) .........3,360 XXX L................ 10 GAMING AND LEISURE PROPERTIES 8 REIT ORD ..........254,762 XXX ..........255,395 ............................ .................... ..................... .................. ....................0 .................... ..............255,395 ................... ...........(633) .............(633) .........4,760 XXX L................ 36467J .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........7,000.000 .....(112,890) ..................... .................. .........(112,890) .................... ..............206,310 ................... .....132,956 Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) QE05.10 364760 10 DEUTSCHE BANK SECURITIES, 8 GAP ORD.................................................. .. 02/20/2019. INC. ..........7,000.000 ..........176,203 XXX ..........186,225 ................51,520 ..........5,930 ..................... .................. ..............5,930 .................... ..............186,225 ................... ......(10,022) ........(10,022) .........1,698 XXX L................ 369550 10 8 GENERAL DYNAMICS ORD..................... .. 02/11/2019. BTIG LLC....................................... ..........1,000.000 ..........170,923 XXX ..........189,105 ..............157,210 ........31,895 ..................... .................. ............31,895 .................... ..............189,105 ................... ......(18,182) ........(18,182) ............930 XXX L................ 370334 10 DEUTSCHE BANK SECURITIES, 4 GENERAL MILLS ORD.............................. .. 02/05/2019. INC. ........11,000.000 ..........490,649 XXX ..........469,425 ..............428,340 ........41,085 ..................... .................. ............41,085 .................... ..............469,425 ................... .......21,224 .........21,224 .........5,390 XXX L................ 372460 10 5 GENUINE PARTS ORD............................. .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........2,000.000 ..........212,707 XXX ..........208,410 ..............192,040 ........16,370 ..................... .................. ............16,370 .................... ..............208,410 ................... .........4,297 ...........4,297 .........1,440 XXX L................ 375558 10 3 GILEAD SCIENCES ORD.......................... .. 03/25/2019. Jefferies.......................................... ..........4,400.000 ..........280,650 XXX ..........293,546 ..............275,220 ........18,326 ..................... .................. ............18,326 .................... ..............293,546 ................... ......(12,896) ........(12,896) .........2,772 XXX L................ 379378 20 1 GLOBAL NET LEASE ORD........................ .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........7,000.000 ..........127,363 XXX ..........138,075 ............................ .................... ..................... .................. ....................0 .................... ..............138,075 ................... ......(10,712) ........(10,712) .........3,728 XXX L................ 384313 50 8 GRAFTECH INTERNATIONAL ORD......... .. 03/04/2019. BTIG LLC....................................... ........10,000.000 ..........142,248 XXX ..........160,150 ..............114,400 ........45,750 ..................... .................. ............45,750 .................... ..............160,150 ................... ......(17,902) ........(17,902) ............850 XXX L................ 40434L 10 5 HP ORD..................................................... .. 03/25/2019. Jefferies.......................................... ........12,000.000 ..........227,577 XXX ..........255,660 ..............245,520 ........10,140 ..................... .................. ............10,140 .................... ..............255,660 ................... ......(28,083) ........(28,083) .........1,922 XXX L................ 410867 10 5 HANOVER INSURANCE GROUP ORD..... .. 03/25/2019. Jefferies.......................................... ..........2,500.000 ..........284,784 XXX ..........288,438 ............................ .................... ..................... .................. ....................0 .................... ..............288,438 ................... ........(3,654) ..........(3,654) .......13,375 XXX L................ 423452 10 1 HELMERICH AND PAYNE ORD................ .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........5,000.000 ..........271,321 XXX ..........269,875 ............................ .................... ..................... .................. ....................0 .................... ..............269,875 ................... .........1,446 ...........1,446 .........3,550 XXX L................ 427866 10 8 HERSHEY FOODS ORD........................... .. 02/25/2019. Jefferies.......................................... ..........3,000.000 ..........328,391 XXX ..........303,285 ..............321,540 .........25,106 .........2,166 XXX L................ 42824C 10 9 HEWLETT PACKARD ENTERPRISE ORD .. 03/25/2019. Jefferies.......................................... ........11,000.000 ..........166,593 XXX ..........174,845 ............................ .................... ..................... .................. ....................0 .................... ..............174,845 ................... ........(8,252) ..........(8,252) ................... XXX L................ 10 DEUTSCHE BANK SECURITIES, 2 HOME DEPOT ORD.................................. .. 01/29/2019. INC. ..........5,000.000 ..........898,413 XXX ..........781,025 ..............859,100 .......(78,075) ..................... .................. ...........(78,075) .................... ..............781,025 ................... .....117,388 .......117,388 ................... XXX L................ 10 DEUTSCHE BANK SECURITIES, 9 ILLINOIS TOOL ORD................................. .. 01/29/2019. INC. ..........4,100.000 ..........553,226 XXX ..........571,725 ..............519,429 ........52,296 ..................... .................. ............52,296 .................... ..............571,725 ................... ......(18,498) ........(18,498) .........4,100 XXX L................ 459200 10 INTERNATIONAL BUSINESS MACHINES 1 ORD .. 02/25/2019. Jefferies.......................................... ........10,000.000 .......1,394,532 XXX .......1,446,750 ...........1,136,700 ......310,050 ..................... .................. ..........310,050 .................... ...........1,446,750 ................... ......(52,218) ........(52,218) .......15,700 XXX L................ 460146 10 3 INTERNATIONAL PAPER ORD................. .. 03/04/2019. BTIG LLC....................................... ..........6,000.000 ..........275,606 XXX ..........265,380 ..............121,080 ..........9,855 ..................... .................. ..............9,855 .................... ..............265,380 ................... .......10,226 .........10,226 .........3,000 XXX L................ 10 INTERPUBLIC GROUP OF COMPANIES 0 ORD ..........202,902 XXX ..........203,515 ..............185,670 ........17,845 ..................... .................. ............17,845 .................... ..............203,515 ................... ...........(613) .............(613) .........2,115 XXX L................ 461804 10 DEUTSCHE BANK SECURITIES, 6 INVESTORS TITLE ORD........................... .. 01/29/2019. INC. .............200.000 ............33,908 XXX ............38,894 ................35,336 ..........3,558 ..................... .................. ..............3,558 .................... ................38,894 ................... ........(4,986) ..........(4,986) ................... XXX L................ 46284V 10 1 IRON MOUNTAIN ORD............................. .. 03/25/2019. Jefferies.......................................... ..........7,000.000 ..........246,152 XXX ..........228,025 ..............226,870 ..........1,155 ..................... .................. ..............1,155 .................... ..............228,025 ................... .......18,127 .........18,127 .........4,277 XXX L................ 46625H 10 DEUTSCHE BANK SECURITIES, 0 JPMORGAN CHASE ORD......................... .. 02/20/2019. INC. ........19,500.000 .......2,030,431 XXX .......2,043,503 ...........1,903,590 ......139,913 ..................... .................. ..........139,913 .................... ...........2,043,503 ................... ......(13,071) ........(13,071) .......15,600 XXX L................ 478160 10 4 JOHNSON & JOHNSON ORD................... .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ........15,000.000 .......1,945,550 XXX .......1,990,625 ...........1,935,750 ........54,875 ..................... .................. ............54,875 .................... ...........1,990,625 ................... ......(45,075) ........(45,075) ................... XXX L................ 48203R 10 4 JUNIPER NETWORKS ORD..................... .. 03/25/2019. Jefferies.......................................... ..........7,000.000 ..........181,613 XXX ..........186,655 ..............188,370 .........(1,715) ..................... .................. .............(1,715) .................... ..............186,655 ................... ........(5,042) ..........(5,042) .........1,330 XXX L................ 487836 10 8 KELLOGG ORD......................................... .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........3,000.000 ..........174,853 XXX ..........191,505 ..............171,030 XXX L................ 494368 10 3 KIMBERLY CLARK ORD........................... .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........3,000.000 ..........352,750 XXX ..........339,585 ..............341,820 .........(2,235) ..................... .................. .............(2,235) .................... ..............339,585 ................... .......13,165 .........13,165 .........3,000 XXX L................ 500754 10 6 KRAFT HEINZ ORD................................... .. 01/02/2019. Jefferies.......................................... ..........6,000.000 ..........260,007 XXX ..........323,970 ..............258,240 ........65,730 ..................... .................. ............65,730 .................... ..............323,970 ................... ......(63,963) ........(63,963) ................... XXX L................ 501797 10 4 L BRANDS ORD........................................ .. 03/04/2019. BTIG LLC....................................... ..........5,000.000 ..........134,023 XXX ..........156,675 ..............128,350 ........28,325 ..................... .................. ............28,325 .................... ..............156,675 ................... ......(22,652) ........(22,652) .........1,500 XXX L................ 10 DEUTSCHE BANK SECURITIES, 7 LAS VEGAS SANDS ORD......................... .. 02/05/2019. INC. ..........3,000.000 ..........178,933 XXX ..........140,715 ..............156,150 .......(15,435) ..................... .................. ...........(15,435) .................... ..............140,715 ................... .......38,218 .........38,218 ................... XXX L................ 525327 10 DEUTSCHE BANK SECURITIES, 2 LEIDOS HOLDINGS ORD.......................... .. 01/29/2019. INC. ..........3,000.000 ..........172,513 XXX ..........185,655 ..............158,160 ........27,495 ..................... .................. ............27,495 .................... ..............185,655 ................... ......(13,142) ........(13,142) ................... XXX L................ 532457 10 8 ELI LILLY ORD.......................................... .. 03/04/2019. VARIOUS....................................... ........17,000.000 .......2,040,908 XXX .......1,879,165 ...........1,157,200 .......(89,650) ..................... .................. ...........(89,650) .................... ...........1,879,165 ................... .....161,743 .......161,743 .........4,515 XXX L................ 539830 10 9 LOCKHEED MARTIN ORD........................ .. 03/25/2019. Jefferies.......................................... ..........2,000.000 ..........588,222 XXX ..........584,110 ............................ .................... ..................... .................. ....................0 .................... ..............584,110 ................... .........4,112 ...........4,112 .........4,400 XXX L................ 552690 10 9 MDU RESOURCES GROUP ORD............. .. 03/25/2019. Jefferies.......................................... ..........4,000.000 ..........101,979 XXX ..........103,300 ................95,360 ..........7,940 ..................... .................. ..............7,940 .................... ..............103,300 ................... ........(1,321) ..........(1,321) ............810 XXX L................ 554382 10 1 MACERICH REIT ORD.............................. .. 03/04/2019. BTIG LLC....................................... ..........5,000.000 ..........214,672 XXX ..........227,475 ............................ .................... ..................... .................. ....................0 .................... ..............227,475 ................... ......(12,803) ........(12,803) .........3,750 XXX L................ 437076 452308 460690 517834 .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........9,000.000 .......(18,255) ..................... .................. ...........(18,255) .................... ..............303,285 ................... .......25,106 ........20,475 ..................... .................. ............20,475 .................... ..............191,505 ................... ......(16,652) ........(16,652) ................... Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Prior Year Book/Adjusted Carrying Value Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) 55616P 10 DEUTSCHE BANK SECURITIES, 4 MACYS ORD............................................. .. 02/05/2019. INC. ..........5,000.000 ..........129,773 XXX ..........103,875 ..............148,900 .......(45,025) ..................... .................. ...........(45,025) .................... ..............103,875 ................... .......25,898 .........25,898 .........1,888 XXX L................ 56418H 10 0 MANPOWERGROUP ORD........................ .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........2,500.000 ..........176,610 XXX ..........200,813 ..............162,000 ........38,813 ..................... .................. ............38,813 .................... ..............200,813 ................... ......(24,202) ........(24,202) ................... XXX L................ 57636Q 10 4 MASTERCARD CL A ORD........................ .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........4,500.000 ..........886,241 XXX ..........524,408 ..............848,925 .....(324,518) ..................... .................. .........(324,518) .................... ..............524,408 ................... .....361,833 .......361,833 ................... XXX L................ 580135 10 1 MCDONALD'S ORD................................... .. 01/02/2019. Jefferies.......................................... ..........9,000.000 .......1,584,474 XXX .......1,590,795 ...........1,598,130 .........(7,335) ..................... .................. .............(7,335) .................... ...........1,590,795 ................... ........(6,321) ..........(6,321) ................... XXX L................ 58933Y 10 5 MERCK & CO ORD................................... .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ........25,000.000 .......1,861,851 XXX .......1,869,875 ...........1,910,250 .......(40,375) ..................... .................. ...........(40,375) .................... ...........1,869,875 ................... ........(8,024) ..........(8,024) .......13,750 XXX L................ 589400 10 0 MERCURY GENERAL ORD...................... .. 03/25/2019. Jefferies.......................................... ..........5,000.000 ..........249,372 XXX ..........269,522 ..............258,550 ........10,972 ..................... .................. ............10,972 .................... ..............269,522 ................... ......(20,150) ........(20,150) .........3,138 XXX L................ 589584 10 1 MERIDIAN BIOSCIENCE ORD.................. .. 03/25/2019. Jefferies.......................................... ..........5,000.000 ............84,174 XXX ............80,419 ............................ .................... ..................... .................. ....................0 .................... ................80,419 ................... .........3,755 ...........3,755 ............625 XXX L................ 59156R 10 8 METLIFE ORD........................................... .. 03/04/2019. BTIG LLC....................................... ........10,000.000 ..........456,544 XXX ..........392,238 ..............410,600 .......(18,362) ..................... .................. ...........(18,362) .................... ..............392,238 ................... .......64,306 .........64,306 .........4,200 XXX L................ QE05.11 59522J 10 MID AMERICA APT COMMUNITI REIT 3 ORD .. 03/04/2019. BTIG LLC....................................... ..........2,000.000 ..........208,147 XXX ..........196,140 ................95,700 ..........3,865 ..................... .................. ..............3,865 .................... ..............196,140 ................... .......12,007 .........12,007 .........1,920 XXX L................ 635017 10 6 NATIONAL BEVERAGE ORD.................... .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........2,500.000 ..........194,285 XXX ..........232,200 ..............179,425 ........52,775 ..................... .................. ............52,775 .................... ..............232,200 ................... ......(37,915) ........(37,915) .........7,250 XXX L................ 637215 10 4 NATIONAL PRESTO INDUSTRIES ORD... .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........1,000.000 ..........104,417 XXX ..........119,176 ............................ .................... ..................... .................. ....................0 .................... ..............119,176 ................... ......(14,759) ........(14,759) .........6,000 XXX L................ 651229 10 6 NEWELL BRANDS ORD............................ .. 03/04/2019. BTIG LLC....................................... ........10,000.000 ..........161,048 XXX ..........217,750 ..............185,900 XXX L................ 65158N 10 2 NEWMARK GROUP CL A ORD................. .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........5,566.000 ............47,227 XXX ............45,076 ................44,639 .............436 ..................... .................. .................436 .................... ................45,076 ................... .........2,151 ...........2,151 ............501 XXX L................ 65339F 10 1 NEXTERA ENERGY ORD......................... .. 03/04/2019. BTIG LLC....................................... ..........7,000.000 .......1,317,628 XXX .......1,177,085 ...........1,216,740 .......(39,655) ..................... .................. ...........(39,655) .................... ...........1,177,085 ................... .....140,543 .......140,543 ................... XXX L................ 10 DEUTSCHE BANK SECURITIES, 5 OCCIDENTAL PETROLEUM ORD............ .. 01/29/2019. INC. ..........3,500.000 ..........232,659 XXX ..........244,303 ..............214,830 ........29,473 ..................... .................. ............29,473 .................... ..............244,303 ................... ......(11,643) ........(11,643) .........2,730 XXX L................ 680223 10 DEUTSCHE BANK SECURITIES, 4 OLD REPUBLIC INTERNATIONAL ORD... .. 01/29/2019. INC. ........15,300.000 ..........306,532 XXX ..........282,974 ..............314,721 .......(31,748) ..................... .................. ...........(31,748) .................... ..............282,974 ................... .......23,558 .........23,558 ................... XXX L................ 681919 10 6 OMNICOM GROUP ORD.......................... .. 03/25/2019. Jefferies.......................................... ..........4,000.000 ..........288,936 XXX ..........304,020 ............................ .................... ..................... .................. ....................0 .................... ..............304,020 ................... ......(15,084) ........(15,084) ................... XXX L................ 10 DEUTSCHE BANK SECURITIES, 3 ONEOK ORD............................................. .. 01/29/2019. INC. ..........5,000.000 ..........317,971 XXX ..........316,175 ..............269,750 ........46,425 ..................... .................. ............46,425 .................... ..............316,175 ................... .........1,796 ...........1,796 .........4,300 XXX L................ 68389X 10 DEUTSCHE BANK SECURITIES, 5 ORACLE ORD........................................... .. 02/05/2019. INC. ........15,000.000 ..........768,515 XXX ..........672,450 ..............677,250 .........(4,800) ..................... .................. .............(4,800) .................... ..............672,450 ................... .......96,065 .........96,065 .........2,850 XXX L................ 69007J 10 6 OUTFRONT MEDIA ORD.......................... .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........8,000.000 ..........177,946 XXX ..........182,840 ............................ .................... ..................... .................. ....................0 .................... ..............182,840 ................... ........(4,894) ..........(4,894) .........2,880 XXX L................ 674599 682680 ........31,850 ..................... .................. ............31,850 .................... ..............217,750 ................... ......(56,702) ........(56,702) .........2,300 693475 10 DEUTSCHE BANK SECURITIES, 5 PNC FINANCIAL SERVICES GROUP ORD .. 02/05/2019. INC. ..........6,000.000 ..........743,320 XXX ..........831,030 ..............701,460 ......129,570 ..................... .................. ..........129,570 .................... ..............831,030 ................... ......(87,710) ........(87,710) .........3,800 XXX L................ 69351T 10 6 PPL ORD................................................... .. 03/25/2019. Jefferies.......................................... ..........8,000.000 ..........258,757 XXX ..........248,920 ..............226,640 ........22,280 ..................... .................. ............22,280 .................... ..............248,920 ................... .........9,837 ...........9,837 .........3,280 XXX L................ 693718 10 8 PACCAR ORD........................................... .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........4,000.000 ..........272,576 XXX ..........234,340 ..............228,560 ..........5,780 ..................... .................. ..............5,780 .................... ..............234,340 ................... .......38,236 .........38,236 .........9,280 XXX L................ 695156 10 9 PACKAGING CORP OF AMERICA ORD... .. 03/25/2019. Jefferies.......................................... ..........2,000.000 ..........190,368 XXX ..........190,710 ..............166,920 ........23,790 ..................... .................. ............23,790 .................... ..............190,710 ................... ...........(342) .............(342) .........1,580 XXX L................ 10 DEUTSCHE BANK SECURITIES, 3 PACW PACWEST BANCORP ORD........... .. 02/20/2019. INC. ..........5,000.000 ..........207,472 XXX ..........206,275 ..............166,400 ........39,875 ..................... .................. ............39,875 .................... ..............206,275 ................... .........1,197 ...........1,197 .........3,000 XXX L................ 10 DEUTSCHE BANK SECURITIES, 0 PATTERN ENERGY GROUP CL A ORD... .. 01/29/2019. INC. ........12,000.000 ..........252,417 XXX ..........251,940 ..............223,440 ........28,500 ..................... .................. ............28,500 .................... ..............251,940 ................... ............477 ..............477 .........5,064 XXX L................ 703395 10 DEUTSCHE BANK SECURITIES, 3 PATTERSON COMPANIES ORD.............. .. 01/29/2019. INC. ..........6,000.000 ..........132,808 XXX ..........144,630 ..............117,960 ........26,670 ..................... .................. ............26,670 .................... ..............144,630 ................... ......(11,822) ........(11,822) .........1,560 XXX L................ 709102 10 7 PENNSYLVANIA REIT ORD...................... .. 03/04/2019. BTIG LLC....................................... ........20,000.000 ..........114,699 XXX ..........133,278 ............................ .................... ..................... .................. ....................0 .................... ..............133,278 ................... ......(18,579) ........(18,579) .........4,200 XXX L................ 713448 10 8 PEPSICO ORD.......................................... .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ........16,000.000 .......1,730,298 XXX .......1,844,560 ...........1,767,680 ........76,880 ..................... .................. ............76,880 .................... ...........1,844,560 ................... ....(114,263) ......(114,263) .......14,840 XXX L................ 716382 10 6 PETMED EXPRESS ORD.......................... .. 03/25/2019. Jefferies.......................................... ..........5,000.000 ..........107,924 XXX ..........111,625 ............................ .................... ..................... .................. ....................0 .................... ..............111,625 ................... ........(3,701) ..........(3,701) .........1,350 XXX L................ 717081 10 3 PFIZER ORD............................................. .. 03/11/2019. VARIOUS....................................... ........60,000.000 .......2,518,197 XXX .......2,457,210 ...........2,619,000 XXX L................ 695263 70338P .....(161,790) ..................... .................. .........(161,790) .................... ...........2,457,210 ................... .......60,987 .........60,987 .......20,709 Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) Consideration Par Value 724479 10 0 PITNEY BOWES ORD............................... .. 03/25/2019. Jefferies.......................................... ........20,000.000 ..........125,898 XXX ..........130,500 ..............118,200 ........12,300 ..................... .................. ............12,300 .................... ..............130,500 ................... ........(4,602) ..........(4,602) .........1,000 XXX L................ 737630 10 3 POTLATCHDELTIC ORD.......................... .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... .............202.000 ..............6,891 XXX ..............7,450 ..................6,391 ..........1,058 ..................... .................. ..............1,058 .................... ..................7,450 ................... ...........(559) .............(559) ................... XXX L................ 74144T 10 DEUTSCHE BANK SECURITIES, 8 T ROWE PRICE GROUP ORD.................. .. 02/05/2019. INC. ..........5,500.000 ..........520,266 XXX ..........547,718 ..............507,760 ........39,958 ..................... .................. ............39,958 .................... ..............547,718 ................... ......(27,452) ........(27,452) ................... XXX L................ 744320 10 2 PRUDENTIAL FINANCIAL ORD................ .. 03/25/2019. Jefferies.......................................... ..........2,500.000 ..........224,860 XXX ..........227,613 ..............203,875 ........23,738 ..................... .................. ............23,738 .................... ..............227,613 ................... ........(2,753) ..........(2,753) .........2,500 XXX L................ 74460D 10 9 PUBLIC STORAGE REIT ORD.................. .. 03/25/2019. Jefferies.......................................... ..........2,100.000 ..........470,887 XXX ..........438,281 ..............425,061 ........13,220 ..................... .................. ............13,220 .................... ..............438,281 ................... .......32,607 .........32,607 ................... XXX L................ 747525 10 DEUTSCHE BANK SECURITIES, 3 QUALCOMM ORD..................................... .. 01/29/2019. INC. ..........6,000.000 ..........296,366 XXX ..........331,650 ..............341,460 .........(9,810) ..................... .................. .............(9,810) .................... ..............331,650 ................... ......(35,284) ........(35,284) ................... XXX L................ 749607 10 7 RLI ORD.................................................... .. 03/04/2019. BTIG LLC....................................... ..........3,500.000 ..........246,239 XXX ..........229,918 ..............241,465 .......(11,547) ..................... .................. ...........(11,547) .................... ..............229,918 ................... .......16,321 .........16,321 ............770 XXX L................ 749660 10 6 RPC ORD.................................................. .. 02/11/2019. BTIG LLC....................................... ........11,000.000 ..........117,423 XXX ..........155,485 ..............108,570 ........46,915 ..................... .................. ............46,915 .................... ..............155,485 ................... ......(38,062) ........(38,062) .........1,100 XXX L................ 749685 10 DEUTSCHE BANK SECURITIES, 3 RPM ORD.................................................. .. 01/29/2019. INC. ..........5,000.000 ..........278,521 XXX ..........302,825 ..............293,900 ..........8,925 ..................... .................. ..............8,925 .................... ..............302,825 ................... ......(24,304) ........(24,304) .........1,750 XXX L................ 758849 10 3 REGENCY CENTERS REIT ORD.............. .. 03/04/2019. BTIG LLC....................................... ..........5,000.000 ..........322,571 XXX ..........314,075 ..............293,400 ........20,675 ..................... .................. ............20,675 .................... ..............314,075 ................... .........8,496 ...........8,496 .........2,925 XXX L................ QE05.12 81663A 10 DEUTSCHE BANK SECURITIES, 5 SEMGROUP CL A ORD............................ .. 01/29/2019. INC. ........10,000.000 ..........165,348 XXX ..........183,150 ..............137,800 ........45,350 ..................... .................. ............45,350 .................... ..............183,150 ................... ......(17,802) ........(17,802) ................... XXX L................ 81721M 10 9 SENIOR HOUSING REIT ORD.................. .. 03/04/2019. BTIG LLC....................................... ........15,000.000 ..........178,273 XXX ..........195,825 ............................ .................... ..................... .................. ....................0 .................... ..............195,825 ................... ......(17,552) ........(17,552) .........5,850 XXX L................ 828806 10 9 SIMON PROP GRP REIT ORD.................. .. 03/11/2019. VARIOUS....................................... ..........4,400.000 ..........772,700 XXX ..........788,502 ............................ .................... ..................... .................. ....................0 .................... ..............788,502 ................... ......(15,802) ........(15,802) .........9,020 XXX L................ 83001A 10 2 SIX FLAGS ENTERTAINMENT ORD......... .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........4,000.000 ..........199,977 XXX ..........212,900 ..............222,520 .........(9,620) ..................... .................. .............(9,620) .................... ..............212,900 ................... ......(12,923) ........(12,923) .........3,280 XXX L................ 832696 40 DEUTSCHE BANK SECURITIES, 5 JM SMUCKER ORD.................................. .. 02/20/2019. INC. ..........2,200.000 ..........235,254 XXX ..........236,973 ..............205,678 ........31,295 ..................... .................. ............31,295 .................... ..............236,973 ................... ........(1,719) ..........(1,719) .........1,870 XXX L................ 842587 10 7 SOUTHERN ORD...................................... .. 02/25/2019. Jefferies.......................................... ..........9,000.000 ..........445,989 XXX ..........413,055 ..............395,280 ........17,775 ..................... .................. ............17,775 .................... ..............413,055 ................... .......32,934 .........32,934 .........5,400 XXX L................ 84265V 10 5 SOUTHERN COPPER ORD...................... C 02/11/2019. BTIG LLC....................................... ..........5,000.000 ..........155,823 XXX ..........179,375 ..............153,850 ........25,525 ..................... .................. ............25,525 .................... ..............179,375 ................... ......(23,552) ........(23,552) .........4,221 XXX L................ 84861U 10 5 SPIRIT MTA REIT ORD............................. .. 01/18/2019. Jefferies.......................................... ........30,000.000 ..........233,619 XXX ..........265,974 ..............213,900 ........52,074 ..................... .................. ............52,074 .................... ..............265,974 ................... ......(32,355) ........(32,355) .......39,900 XXX L................ 855244 10 9 STARBUCKS ORD.................................... .. 03/25/2019. Jefferies.......................................... ..........9,000.000 ..........650,647 XXX ..........614,825 ............................ .................... ..................... .................. ....................0 .................... ..............614,825 ................... .......35,822 .........35,822 .........3,240 XXX L................ 867914 10 3 SUNTRUST BANKS ORD.......................... .. 03/25/2019. Jefferies.......................................... ..........3,000.000 ..........171,253 XXX ..........185,715 ..............151,320 ........34,395 ..................... .................. ............34,395 .................... ..............185,715 ................... ......(14,462) ........(14,462) .........1,500 XXX L................ 871829 10 7 SYSCO ORD............................................. .. 03/04/2019. BTIG LLC....................................... ..........7,000.000 ..........469,729 XXX ..........434,385 ............................ .................... ..................... .................. ....................0 .................... ..............434,385 ................... .......35,344 .........35,344 .........2,730 XXX L................ 871851 10 DEUTSCHE BANK SECURITIES, 1 SYSTEMAX ORD....................................... .. 02/05/2019. INC. ..........7,000.000 ..........162,701 XXX ..........210,429 ..............167,230 ........43,199 ..................... .................. ............43,199 .................... ..............210,429 ................... ......(47,728) ........(47,728) .......45,500 XXX L................ 875465 10 6 TANGER FACTORY REIT ORD................ .. 03/04/2019. BTIG LLC....................................... ..........7,000.000 ..........144,793 XXX ..........154,105 ..............141,540 ........12,565 ..................... .................. ............12,565 .................... ..............154,105 ................... ........(9,312) ..........(9,312) .........2,450 XXX L................ 886885 10 2 TILLY'S CL A ORD.................................... .. 03/25/2019. Jefferies.......................................... ........10,000.000 ..........111,511 XXX ..........129,976 ............................ .................... ..................... .................. ....................0 .................... ..............129,976 ................... ......(18,465) ........(18,465) .......10,000 XXX L................ 899896 10 DEUTSCHE BANK SECURITIES, 4 TUPPERWARE BRANDS ORD................. .. 02/05/2019. INC. ..........6,000.000 ..........167,248 XXX ..........223,770 ..............189,420 902494 10 3 TYSON FOODS CL A ORD....................... .. 03/25/2019. Jefferies.......................................... ..........3,500.000 ..........236,089 XXX ..........215,933 ............................ .................... ..................... .................. ....................0 .................... ..............215,933 ................... .......20,157 902973 30 4 US BANCORP ORD.................................. .. 01/10/2019. BARCLAYS CAPITAL INC./LE....... ........18,000.000 ..........851,479 XXX 911312 10 6 UNITED PARCEL SERVICE CL B ORD.... .. 03/25/2019. Jefferies.......................................... ..........2,000.000 ..........213,787 ........34,350 ..................... .................. ............34,350 .................... ..............223,770 ................... ......(56,522) ........(56,522) .........4,080 XXX L................ .........20,157 .........1,313 XXX L................ ..........979,650 ..............822,600 ......157,050 ..................... .................. ..........157,050 .................... ..............979,650 ................... ....(128,171) ......(128,171) .........6,660 XXX L................ XXX ..........216,110 ..............195,060 ........21,050 ..................... .................. ............21,050 .................... ..............216,110 ................... ........(2,323) ..........(2,323) .........1,920 XXX L................ 913017 10 DEUTSCHE BANK SECURITIES, 9 UNITED TECHNOLOGIES ORD................ .. 02/20/2019. INC. ..........5,000.000 ..........642,117 XXX ..........636,938 ..............532,400 ......104,538 ..................... .................. ..........104,538 .................... ..............636,938 ................... .........5,179 ...........5,179 .........3,675 XXX L................ 91913Y 10 0 VALERO ENERGY ORD............................ .. 03/04/2019. BTIG LLC....................................... ..........3,000.000 ..........247,572 XXX ..........275,505 ..............224,910 ........50,595 ..................... .................. ............50,595 .................... ..............275,505 ................... ......(27,933) ........(27,933) .........2,700 XXX L................ 92240G 10 1 VECTREN ORD......................................... .. 02/01/2019. Not Available.................................. ..........4,000.000 ..........288,000 XXX ..........259,140 ..............287,920 .......(28,780) ..................... .................. ...........(28,780) .................... ..............259,140 ................... .......28,860 .........28,860 .........1,646 XXX L................ 92339V 10 0 VEREIT ORD............................................. .. 01/18/2019. Jefferies.......................................... ........25,000.000 ..........194,122 XXX ..........193,875 ..............178,750 ........15,125 ..................... .................. ............15,125 .................... ..............193,875 ................... ............247 ..............247 .........3,438 XXX L................ 10 DEUTSCHE BANK SECURITIES, 4 VERIZON COMMUNICATIONS ORD........ .. 02/20/2019. INC. ..........334,526 XXX ..........336,150 ............................ .................... ..................... .................. ....................0 .................... ..............336,150 ................... ........(1,624) ..........(1,624) .........3,615 XXX L................ 92343V ..........6,000.000 Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) Consideration Par Value 92553P 20 1 VIACOM CL B ORD................................... .. 03/25/2019. Jefferies.......................................... ..........8,000.000 ..........210,517 XXX ..........226,360 ..............205,600 ........20,760 ..................... .................. ............20,760 .................... ..............226,360 ................... ......(15,843) ........(15,843) .........1,600 XXX L................ 929042 10 9 VORNADO REALTY REIT ORD................ .. 03/04/2019. BTIG LLC....................................... ..........3,000.000 ..........202,752 XXX ..........204,705 ..............186,090 ........18,615 ..................... .................. ............18,615 .................... ..............204,705 ................... ........(1,953) ..........(1,953) .........1,980 XXX L................ 92939U 10 6 WEC ENERGY GROUP ORD.................... .. 02/25/2019. Jefferies.......................................... ..........5,000.000 ..........377,570 XXX ..........312,075 ..............346,300 .......(34,225) ..................... .................. ...........(34,225) .................... ..............312,075 ................... .......65,495 .........65,495 .........2,950 XXX L................ QE05.13 931142 10 DEUTSCHE BANK SECURITIES, 3 WALMART ORD........................................ .. 02/05/2019. INC. ........12,000.000 .......1,147,125 XXX .......1,162,160 ...........1,117,800 ........44,360 ..................... .................. ............44,360 .................... ...........1,162,160 ................... ......(15,035) ........(15,035) .........6,240 XXX L................ 93964W 10 8 WASHINGTON PRIME GROUP ORD........ .. 03/04/2019. BTIG LLC....................................... ........20,000.000 ..........103,899 XXX ..........115,576 ............................ .................... ..................... .................. ....................0 .................... ..............115,576 ................... ......(11,677) ........(11,677) .........5,000 XXX L................ 948741 10 3 WEINGARTEN RLTY REIT ORD............... .. 03/11/2019. BARCLAYS CAPITAL INC./LE....... ..........5,000.000 ..........136,123 XXX ..........135,175 ..............124,050 ........11,125 ..................... .................. ............11,125 .................... ..............135,175 ................... ............948 ..............948 .........1,975 XXX L................ 95040Q 10 4 WELLTOWER ORD................................... .. 03/04/2019. VARIOUS....................................... ..........5,000.000 ..........368,210 XXX ..........340,885 ..............208,230 .......(18,855) ..................... .................. ...........(18,855) .................... ..............340,885 ................... .......27,325 .........27,325 .........1,740 XXX L................ 96145D 10 DEUTSCHE BANK SECURITIES, 5 WESTROCK ORD..................................... .. 02/20/2019. INC. ..........5,000.000 ..........201,572 XXX ..........204,725 ..............188,800 ........15,925 ..................... .................. ............15,925 .................... ..............204,725 ................... ........(3,153) ..........(3,153) .........2,275 XXX L................ 962166 10 4 WEYERHAEUSER REIT............................ .. 03/04/2019. BTIG LLC....................................... ........15,000.000 ..........374,170 XXX ..........388,125 ............................ .................... ..................... .................. ....................0 .................... ..............388,125 ................... ......(13,955) ........(13,955) .........5,100 XXX L................ 963320 10 6 WHIRLPOOL ORD..................................... .. 03/04/2019. BTIG LLC....................................... ..........2,000.000 ..........285,886 XXX ..........208,510 ..............213,740 .........(5,230) ..................... .................. .............(5,230) .................... ..............208,510 ................... .......77,376 .........77,376 .........2,300 XXX L................ 969904 10 1 WILLIAMS SONOMA ORD........................ .. 03/04/2019. BTIG LLC....................................... ..........4,000.000 ..........232,177 XXX ..........189,100 ..............201,800 .......(12,700) ..................... .................. ...........(12,700) .................... ..............189,100 ................... .......43,077 .........43,077 .........1,720 XXX L................ 983919 10 1 XILINX ORD.............................................. .. 03/04/2019. BTIG LLC....................................... ..........2,000.000 ..........245,607 XXX ............86,170 ..............170,340 .......(84,170) ..................... .................. ...........(84,170) .................... ................86,170 ................... .....159,437 .......159,437 ............720 XXX L................ 984121 60 DEUTSCHE BANK SECURITIES, 8 XEROX ORD............................................. .. 01/29/2019. INC. ..........8,000.000 ..........216,517 XXX ..........220,040 ..............158,080 ........61,960 ..................... .................. ............61,960 .................... ..............220,040 ................... ........(3,523) ..........(3,523) .........2,000 98983V 10 6 ZUORA CL A ORD..................................... .. 02/15/2019. BARCLAYS CAPITAL INC./LE....... ........34,135.000 ..........767,843 XXX ..........727,076 ............................ .................... ..................... .................. ....................0 .................... ..............727,076 ................... .......40,768 XXX L................ .........40,768 ................... XXX L................ G16962 10 DEUTSCHE BANK SECURITIES, 5 BUNGE ORD............................................. .. 02/20/2019. INC. ..........3,000.000 ..........158,083 XXX ..........197,325 ..............160,320 ........37,005 ..................... .................. ............37,005 .................... ..............197,325 ................... ......(39,242) ........(39,242) .........1,500 XXX L................ G3223R 10 8 EVEREST RE GROUP ORD...................... C 03/25/2019. Jefferies.......................................... .............500.000 ..........107,396 XXX ..........110,808 ..............108,880 ..........1,928 ..................... .................. ..............1,928 .................... ..............110,808 ................... ........(3,411) ..........(3,411) ............700 XXX L................ G37585 10 9 GASLOG ORD........................................... C 03/04/2019. BTIG LLC....................................... ..........7,000.000 ..........115,026 XXX ..........151,230 ..............115,220 ........36,010 ..................... .................. ............36,010 .................... ..............151,230 ................... ......(36,204) ........(36,204) .........1,050 XXX L................ G491BT 10 DEUTSCHE BANK SECURITIES, 8 INVESCO ORD.......................................... .. 02/20/2019. INC. ........12,000.000 ..........228,417 XXX ..........250,860 ..............200,880 ........49,980 ..................... .................. ............49,980 .................... ..............250,860 ................... ......(22,443) ........(22,443) .........3,600 XXX L................ G5960L 10 3 MEDTRONIC ORD.................................... C 03/25/2019. Jefferies.......................................... ........17,000.000 .......1,523,835 XXX .......1,567,135 ...........1,546,320 ........20,815 ..................... .................. ............20,815 .................... ...........1,567,135 ................... ......(43,300) ........(43,300) .........8,500 XXX L................ N53745 10 LYONDELLBASELL INDUSTRIES CL A 0 ORD C 01/10/2019. BARCLAYS CAPITAL INC./LE....... ..........5,500.000 ..........480,666 XXX ..........508,118 ..............457,380 ........50,738 ..................... .................. ............50,738 .................... ..............508,118 ................... ......(27,451) ........(27,451) ................... Y1771G 10 2 COSTAMARE ORD................................... D 03/04/2019. BTIG LLC....................................... ........15,000.000 ............77,774 XXX ............75,507 ............................ .................... ..................... .................. ....................0 .................... ................75,507 ................... .........2,267 Total - Common Stocks - Industrial and Miscellaneous................ ..................................................................................... .....77,577,493 XXX .....77,674,044 .........59,359,388 ....3,018,752 ..................0 ...............0 .......3,018,752 .................0 Common Stocks - Parent, Subsidiaries and Affiliates 65511# 10 1 NOBLE HEALTH........................................ .. 03/31/2019. ....................................................... ........................... .....40,682,108 XXX 9199999. Total - Common Stocks - Parent, Subsidiaries and Affiliates........ ..................................................................................... .....40,682,108 XXX Common Stocks - Mutual Funds 003021 71 4 ABERDEEN:EM MKT I............................... C 03/11/2019. Unknown........................................ .............421.359 ..............5,722 9099999. XXX L................ ...........2,267 .........1,500 XXX L................ .........77,674,044 ................0 ......(96,540) ........(96,540) .....672,304 XXX XXX .....40,682,108 .........46,347,489 .................... ..................... .................. ....................0 .................... .........40,682,108 ................... ................... ..................0 40,682,108 XXX .................. .....40,682,108 .........46,347,489 .................0 ..................0 ...............0 .........40,682,108 ................0 ................0 ..................0 40,682,108 XXX XXX .............698 ..................... .................. .................698 .................... ..................6,412 ................... ...........(690) .............(690) ................... ....................0 .................0 XXX ..............6,412 ..................5,714 XXX U................ 02368A 20 8 AM BEACON:LCV INST............................. .. 01/02/2019. Unknown........................................ ...............62.388 ..............1,460 XXX ..............1,358 ..................1,449 ..............(90) ..................... .................. .................(90) .................... ..................1,358 ................... ............102 ..............102 ................... XXX U................ 315792 24 2 FIDELITY ABERDEEN STREET TRUST... .. 01/18/2019. Unknown........................................ .............284.587 ..............4,329 XXX ..............4,303 ............................ .................... ..................... .................. ....................0 .................... ..................4,303 ................... ..............26 ................26 ................... XXX L................ 315910 28 1 FIDELITY DVSD INTL K............................ .. 03/11/2019. Unknown........................................ .............136.724 ..............4,297 XXX ..............4,299 ..................4,318 ..............(19) ..................... .................. .................(19) .................... ..................4,299 ................... ..............(1) .................(1) ................... XXX U................ 315911 87 5 FIDELITY ITL IDX PR................................ .. 01/02/2019. Unknown........................................ ...............23.938 .................866 XXX .................756 .....................870 ............(114) ..................... .................. ...............(114) .................... .....................756 ................... ............110 ..............110 ................... XXX L................ 316200 85 6 FIDELITY GRO COMPANY K.................... .. 01/02/2019. Unknown........................................ .............191.856 ..............3,083 XXX ..............3,816 ..................3,075 .............740 ..................... .................. .................740 .................... ..................3,816 ................... ...........(733) .............(733) ................... XXX U................ 38141W 61 2 GOLDMAN:SM CAP VAL A....................... .. 01/02/2019. Unknown........................................ ...............84.121 ..............3,598 XXX ..............4,666 ..................3,591 ..........1,075 ..................... .................. ..............1,075 .................... ..................4,666 ................... ........(1,068) ..........(1,068) ................... XXX U................ 413838 40 0 OAKMARK EQTY & INC INV..................... .. 01/10/2019. Unknown........................................ ..........1,180.607 ............32,726 XXX ............38,575 ................31,735 ..........6,840 ..................... .................. ..............6,840 .................... ................38,575 ................... ........(5,849) ..........(5,849) ................... XXX U................ 55273W 47 5 MFS MID CAP VALUE R6......................... C 01/02/2019. Unknown........................................ ...............63.709 ..............1,266 XXX ..............1,300 ..................1,265 ...............34 ..................... .................. ...................34 .................... ..................1,300 ................... .............(34) ...............(34) ................... XXX U................ Blue Cross and Blue Shield of North Carolina Statement as of March 31, 2019 of the SCHEDULE D - PART 4 Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter 1 2 3 4 5 6 7 8 9 10 11 CUSIP Identification Description F o r ei g n Disposal Date Name of Purchaser Number of Shares of Stock Consideration Par Value Actual Cost Prior Year Book/Adjusted Carrying Value Change in Book/Adjusted Carrying Value 12 13 14 16 17 18 19 20 21 22 15 Current Year's Unrealized Current Other-ThanTotal Foreign Foreign Valuation Year's Temporary Total Change Exchange Book/Adjusted Exchange Realized Increase (Amortization) Impairment in B./A.C.V. Change in Carrying Value at Gain (Loss) Gain (Loss) (Decrease) / Accretion Recognized (11+12-13) B./A.C.V. Disposal Date on Disposal on Disposal Total Gain (Loss) on Disposal NAIC Bond Designation Interest / and AdminiStock Stated strative Dividends Contractual Symbol/ Received Maturity Market During Year Date Indicator (a) 57630A 59 2 MASSMUTUAL S:MCG I............................ .. 01/02/2019. Unknown........................................ ...............62.692 ..............1,180 XXX ..............1,223 ..................1,184 ...............39 ..................... .................. ...................39 .................... ..................1,223 ................... .............(43) ...............(43) ................... XXX U................ 592905 76 4 MET WEST:TOTAL RETURN PL............... .. 03/01/2019. Unknown........................................ .............990.092 ..............9,765 XXX ............10,207 ..................9,683 .............524 ..................... .................. .................524 .................... ................10,207 ................... ...........(441) .............(441) ..............49 XXX U................ 922040 20 9 VANGUARD INSTL INDX INSP................. .. 03/27/2019. Unknown........................................ ......434,846.810 ....110,497,090 XXX .....34,935,773 .......197,916,177 (115,056,041) ..................... .................. ..(115,056,041) .................... .........34,935,773 ................... 75,561,317 ...75,561,317 ................... XXX U................ 922908 64 5 VANGUARD MD-CP IDX ADM.................. .. 03/11/2019. Unknown........................................ .................8.389 ..............1,431 XXX ..............1,279 ..................1,435 ............(156) ..................... .................. ...............(156) .................... ..................1,279 ................... ............152 ..............152 ................... XXX U................ 922908 68 6 VANGUARD SM-CP IDX ADM................... .. 03/11/2019. Unknown........................................ ...............23.694 ..............1,497 XXX ..............1,334 ..................1,498 ............(164) ..................... .................. ...............(164) .................... ..................1,334 ................... ............163 ..............163 ................... XXX U................ 922908 71 0 VANGUARD 500 INDEX ADM................... .. 01/02/2019. Unknown........................................ .................7.117 ..............1,649 XXX ..............1,743 ..................1,647 ...............96 ..................... .................. ...................96 .................... ..................1,743 ................... .............(94) ...............(94) ................... XXX U................ 9299999. Total - Common Stocks - Mutual Funds....................................... ..................................................................................... ....110,569,959 XXX .....35,017,044 .......197,983,641 (115,046,538) ..................0 ...............0 ..(115,046,538) .................0 .........35,017,044 ................0 75,552,917 ...75,552,917 ..............49 XXX XXX 9799997. Total - Common Stocks - Part 4................................................... ..................................................................................... ....228,829,560 XXX ....153,373,196 .......303,690,518 (112,027,786) ..................0 ...............0 ..(112,027,786) .................0 .......153,373,196 ................0 75,456,377 ...75,456,377 41,354,461 XXX XXX 9799999. Total - Common Stocks............................................................... ..................................................................................... ....228,829,560 XXX ....153,373,196 .......303,690,518 (112,027,786) ..................0 ...............0 ..(112,027,786) .................0 .......153,373,196 ................0 75,456,377 ...75,456,377 41,354,461 XXX XXX 9899999. Total - Preferred and Common Stocks......................................... ..................................................................................... ....229,072,487 XXX ....153,613,163 .......303,910,413 (112,007,714) ..................0 ...............0 ..(112,007,714) .................0 .......153,613,163 ................0 75,459,337 ...75,459,337 41,354,461 XXX XXX 9999999. Total - Bonds, Preferred and Common Stocks............................. ..................................................................................... ....449,555,168 XXX ....376,572,625 .......457,753,661 (111,175,822) ......(158,499) ...............0 ..(111,334,321) .................0 .......373,652,351 ................0 75,902,826 ...75,902,826 44,184,111 XXX XXX (a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues: 13. QE05.14 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DB - PART A - SECTION 1 Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date 1 Description 2 3 4 Type(s) Schedule of Description of Item(s) Hedged, Used for Income / Exhibit Risk(s) Generation or Replicated Identifier (a) 5 Exchange, Counterparty or Central Clearinghouse 6 Trade Date 7 8 Date of Maturity or Number of Expiration Contracts 9 Notional Amount 10 Strike Price, Rate of Index Received (Paid) QE06 NONE 11 12 Cumulative Prior Year(s) Current Year Initial Cost of Initial Cost of Undiscounted Undiscounted Premium Premium (Received) (Received) Paid Paid 13 Current Year Income 14 15 C o Book/Adjusted d Carrying Value e 16 17 Fair Value Unrealized Valuation Increase (Decrease) 18 19 20 Adjustment Total Foreign Current to Carrying Exchange Year's Value of Change in (Amortization Hedged B./A.C.V. ) / Accretion Items 21 Potential Exposure 22 23 Hedge Credit Effectiveness Quality of at Inception Reference and at YearEntity end (b) Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DB - PART B - SECTION 1 Futures Contracts Open as of the Current Statement Date 1 2 3 4 5 6 7 8 9 10 11 12 13 Highly Effective Hedges 14 15 Number Ticker of Symbol Contracts Notional Amount Description Description of Item(s) Hedged, Schedule Type(s) Date of Used for Income Generation or / Exhibit of Risk(s) Maturity or Replicated Identifier (a) Expiration Exchange Trade Date Transaction Price Reporting Date Price QE07 NONE Fair Value Book/Adjusted Carrying Value Cumulative Variation Margin 16 Deferred Variation Margin 18 19 20 21 22 Potential Exposure Hedge Effectiveness at Inception and at Yearend (b) Value of One (1) Point 17 Change in Variation Change in Margin Gain Variation (Loss) Used to Cumulative Margin Gain Adjust Basis Variation (Loss) of Hedged Margin for All Recognized in Item Other Hedges Current Year Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DB - PART D - SECTION 1 Counterparty Exposure for Derivative Instruments Open as of Current Statement Date 1 Description of Exchange, Counterparty or Central Clearinghouse 2 Master Agreement (Y or N) 3 Credit Support Annex (Y or N) Book Adjusted Carrying Value 4 Fair Value of Acceptable Collateral Fair Value 5 6 7 8 9 10 Contracts with Book/Adjusted Carrying Value > 0 Contracts with Book/Adjusted Carrying Value < 0 Exposure Net of Collateral Contracts with Fair Value > 0 Contracts with Fair Value < 0 Exposure Net of Collateral 1. Offset per SSAP No. 64............................................................................................................. ................................................................................................................................ ..................................... ..................................... 2. Net after right of offset per SSAP No. 64.................................................................................... ................................................................................................................................ ..................................0 ..................................0 QE08 NONE 11 12 Potential Exposure Off-Balance Sheet Exposure Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DB - PART D - SECTION 2 Collateral for Derivative Instruments Open as of Current Statement Date 1 Exchange, Counterparty or Central Clearinghouse 2 Type of Asset Pledged 3 CUSIP Identification QE09 NONE 4 Description 5 Fair Value 6 7 8 9 Par Value Book/Adjusted Carrying Value Maturity Date Type of Margin (I, V or IV) Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DL - PART 1 SECURITIES LENDING COLLATERAL ASSETS Reinvested Collateral Assets Owned Current Statement Date (Securities lending collateral assets reported in aggregate on one Line 10 of the Assets page and not included on Schedules A, B, BA, D, DB and E.) 1 CUSIP Identification 2 Description General Interrogatories: 1. The activity for the year: Fair Value $..........0 Book/Adjusted Carrying Value $..........0 2. Average balance for the year: Fair Value $..........0 Book/Adjusted Carrying Value $..........0 3. Reinvested securities lending collateral assets book/adjusted carrying value included in this schedule by NAIC designation: NAIC 1: $..........0 NAIC 2: $..........0 NAIC 3: $..........0 NAIC 4: $..........0 NAIC 5: $..........0 NAIC 6: $..........0 NONE QE10 3 4 5 6 7 Code NAIC Designation and Administrative Symbol / Market Indicator Fair Value Book/Adjusted Carrying Value Maturity Date Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE DL - PART 2 SECURITIES LENDING COLLATERAL ASSETS Reinvested Collateral Assets Owned Current Statement Date (Securities lending collateral assets included on Schedules A, B, BA, D, DB and E and not reported in aggregate on Line 10 of the Assets page). 1 CUSIP Identification 2 Description General Interrogatories: 1. The activity for the year: Fair Value $..........0 Book/Adjusted Carrying Value $..........0 2. Average balance for the year: Fair Value $..........0 Book/Adjusted Carrying Value $..........0 NONE QE11 3 4 5 6 7 Code NAIC Designation and Administrative Symbol / Market Indicator Fair Value Book/Adjusted Carrying Value Maturity Date Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE E - PART 1 - CASH Month End Depository Balances 1 Depository 2 Code 3 4 Amount of Interest Received During Rate of Interest Current Quarter 5 Amount of Interest Accrued at Current Statement Date 6 Book Balance at End of Each Month During Current Quarter 7 9 8 First Month Second Month Third Month * Open Depositories Cash: Wells Fargo FEP Basic ....................................... Wells Fargo.......................................... ................... .................. ............................ ............................ .............(935,605) .............(512,265) .............(535,219) XXX Claims-FEP Wells Fargo ............................................... Wells Fargo.......................................... ................... .................. ............................ ............................ ...........1,852,795 .........73,995,216 XXX Cash: Wells Fargo Claims Master ................................. Wells Fargo.......................................... ................... .................. ............................ ............................ .........67,849,186 .......407,249,216 ........(49,844,053) XXX Wells Fargo Money Market ............................................ Wells Fargo.......................................... ................... .................. ............................ ............................ .............(116,754) .............(116,754) .............(116,754) XXX BB&T General Fund ...................................................... BB&T................................................... ................... .................. ............................ ............................ .......123,759,615 .........26,928,664 XXX Med Supp Claims Disbursement.................................... Wells Fargo.......................................... ................... .................. ............................ ............................ ..........(8,648,418) ..........(2,328,351) ...........4,303,475 XXX Wells Fargo- Facets IPP Host ....................................... Wells Fargo.......................................... ................... .................. ............................ ............................ ........(42,593,500) ........(42,707,382) ........(42,057,512) XXX Bank-Claims Disbursement account ............................ Wells Fargo.......................................... ................... .................. ............................ ............................ ........(44,756,199) ........(44,241,958) ........(50,665,755) XXX Cash: Wells Fargo FEP Master ..................................... Wells Fargo.......................................... ................... .................. ............................ ............................ ..............209,345 ...........3,701,373 XXX Cash: Wells Fargo Blue Edge Claims - Underwritten ..... Wells Fargo.......................................... ................... .................. ............................ ............................ ........(15,343,492) ........(17,201,480) ........(14,513,425) XXX Cash: Wells Fargo Med Supp Premium Refund ............. Wells Fargo.......................................... ................... .................. ............................ ............................ ..........(1,092,606) ..........(1,160,826) ..........(1,220,983) XXX Cash: Wells Fargo Blue Edge Claims - Self-Funded ...... Wells Fargo.......................................... ................... .................. ............................ ............................ ........(26,199,424) ........(24,166,389) ........(20,818,344) XXX Cash: Wells Fargo Claims - Senior Market .................... Wells Fargo.......................................... ................... .................. ............................ ............................ .........12,152,533 .......127,918,046 ..............763,010 .......139,911,581 ...........8,012,111 .........12,212,582 XXX Cash: Investment - BNY Mellon ..................................... BNY Mellon.......................................... ................... .................. ............................ ............................ .......................59 ..............202,776 ..............206,026 XXX Cash: BB&T ACH Returns ............................................. BB&T................................................... ................... .................. ............................ ............................ ..................7,119 ..................7,119 ..................5,871 XXX Cash Conversion ........................................................... Wells Fargo.......................................... ................... .................. ............................ ............................ ..............376,094 ..............348,211 ..............328,541 XXX Undeposited Payments ................................................. Wells Fargo.......................................... ................... .................. ............................ ............................ .........77,486,846 ..............551,396 ...........1,282,619 XXX 0199999. Total Open Depositories........................................................................................................................... XXX XXX ..............................0 ..............................0 ............144,007,594 ............486,611,696 ................9,108,687 XXX 0399999. Total Cash on Deposit............................................................................................................................... XXX XXX ..............................0 ..............................0 ............144,007,594 ............486,611,696 ................9,108,687 XXX 0599999. Total Cash................................................................................................................................................. XXX XXX ..............................0 ..............................0 ............144,007,594 ............486,611,696 ................9,108,687 XXX QE12 Statement as of March 31, 2019 of the Blue Cross and Blue Shield of North Carolina SCHEDULE E - PART 2 - CASH EQUIVALENTS Show Investments Owned End of Current Quarter 1 2 3 4 5 6 7 8 9 Amount of Interest Due & Accrued CUSIP Description Code Date Acquired Rate of Interest Maturity Date Book/Adjusted Carrying Value Amount Received During Year Exempt Money Market Mutual Funds as Identified by the SVO 31846V 41 9 FIRST AMER:TRS OBG V........................................................................................................................................................................................... .................................................................................... SD........... 03/20/2019....... ................2.180 ........................ .............................1,000,004 ...................................1,283 ...................................2,629 8599999. Total - Exempt Money Market Mutual Funds as Identified by the SVO............................................................................................................................................ .................................................................................... ................................................................................................... .............................1,000,004 ...................................1,283 ...................................2,629 All Other Money Market Mutual Funds 262006 20 8 DREYFUS GVT CSH MGT INST................................................................................................................................................................................. .................................................................................... ................ 03/29/2019....... ................2.320 ........................ ...........................90,216,152 ...............................172,434 ...................................9,709 262006 20 8 DREYFUS GVT CSH MGT INST................................................................................................................................................................................. .................................................................................... ................ 03/29/2019....... ................2.320 ........................ .............................9,423,627 .................................18,821 ...................................3,072 38141W 27 52470G 79 72701U 10 72701U 20 825252 88 3 GOLDMAN:FS GOVT INST......................................................................................................................................................................................... .................................................................................... ................ 03/20/2019....... ................2.350 ........................ ............................................. .................................35,663 ............................................. 1 WA INST GOVT RSV I................................................................................................................................................................................................ .................................................................................... ................ 03/20/2019....... ................2.260 ........................ ............................................. .................................17,287 ............................................. 4 PLAN INVMNT:GOVERNMENT.................................................................................................................................................................................. .................................................................................... ................ 03/29/2019....... ................2.360 ........................ ...........................90,301,414 ...............................267,819 ............................................. 3 PLAN INVMNT:MONEY MKT...................................................................................................................................................................................... .................................................................................... ................ 03/20/2019....... ................2.520 ........................ ...........................29,997,000 .................................24,522 ............................................. 5 INVESCO GOV&AGENCY INST................................................................................................................................................................................. .................................................................................... ................ 03/20/2019....... ................2.340 ........................ ............................................. .................................20,302 ............................................. 8699999. Total - All Other Money Market Mutual Funds................................................................................................................................................................................. .................................................................................... ................................................................................................... .........................219,938,193 ...............................556,848 .................................12,781 8899999. Total - Cash Equivalents .................................................................................... ................................................................................................... .........................220,938,197 ...............................558,131 .................................15,410 QE13 Supplement for the Quarter Ending March 31, 2019 of the Blue Cross and Blue Shield of North Carolina *54631201936500101* MEDICARE PART D COVERAGE SUPPLEMENT (Net of Reinsurance) NAIC Group Code.....758 NAIC Company Code.....54631 Individual Coverage Group Coverage 1 2 3 4 5 Total Insured Uninsured Insured Uninsured Cash 1. Premiums collected............................................................................. .................13,762,509 ...........XXX.................. XXXXXX...................... ...........XXX.................. .................13,762,509 2. Earned premiums................................................................................ .................13,627,920 ...........XXX.................. XXXXXX...................... ...........XXX.................. ...........XXX.................. 3. Claims paid......................................................................................... .................16,137,924 ...........XXX.................. XXXXXX...................... ...........XXX.................. .................16,137,924 4. Claims incurred................................................................................... .................15,684,241 ...........XXX.................. XXXXXX...................... ...........XXX.................. ...........XXX.................. 5. Reinsurance coverage and low income cost sharing claims paid net of reimbursements applied (a)................................... ...........XXX.................. .................................... ...........XXX.................. .................................... .................................0 6. Aggregate policy reserves - change.................................................... .................................... ...........XXX.................. .................................... ...........XXX.................. ...........XXX.................. 7. Expenses paid..................................................................................... ...................2,911,620 ...........XXX.................. .................................... ...........XXX.................. ...................2,911,620 8. Expenses incurred.............................................................................. ...................2,911,620 ...........XXX.................. .................................... ...........XXX.................. ...........XXX.................. 9. Underwriting gain or loss..................................................................... ..................(4,967,941) ...........XXX.................. .................................0 ...........XXX.................. ...........XXX.................. 10. Cash flow results................................................................................. ...........XXX.................. ...........XXX.................. ...........XXX.................. ...........XXX.................. ..................(5,287,035) (a) Uninsured Receivable/Payable with CMS at End of Quarter $.....6,377,197 due from CMS or $..........0 due to CMS. Q365