If you had health insurance sponsored by a small business and obtained through a SHOP exchange, you will not receive any Form 1095 from the exchange (in most states, the exchange no longer facilitates small group enrollment, but some states do; even in those states, the exchange does not send any Form 1095 for small group enrollees). But you may receive a Form 1095-B from the insurance company that provided your employer’s plan. And if your employer has 50 or more employees, you will receive a Form 1095-C from the employer. As described above, neither of these forms is necessary when you’re filing your federal tax return. And unless you’re in a state that imposes an individual mandate penalty, you don’t need to address health insurance on your state tax return either.