Quarterly Operations Manager Report For the period ending June 30, 2018

Transcription

1 Quarterly Operations Manager Report For the period ending June 30, 2018 Board of Trustees Mark Mason, CPA Linda Senne, CPA Jerry Boop, CPA William Kleinsorge, CPA Harold J. Kyne, FGFOA Chairman Vice Chairman Secretary Treasurer Board Member Investment Advisor Prudent Man Advisors, Inc. Operations Manager PMA Financial Network, Inc. Administrator Florida Management and Administrative Services, LLC Distributor PMA Securities, Inc. Custodian BMO Harris N.A. FL SAFE Legal Counsel Akerman Senterfitt Credit Ratings FL SAFE Stable NAV Fund m Standard & Poors FL SAFE Variable NAV Fund f / S1 Standard & Poors Toll Free / Fax

2 FL SAFE SUMMARY Florida Surplus Asset Fund Trust ( FL SAFE ) is a local government investment pool that serves the cash management needs of governments in Florida. FL SAFE seeks to provide competitive yields consistent with the preservation of capital and daily liquidity. FL SAFE is organized pursuant to Florida Statures , is an authorized investment under , and invests according to the provisions of its Permitted Investments as listed in the Indenture of Trust. FL SAFE is authorized to invest in approved financial institutions and securities of the United States Treasury, United States Agencies, Primary Dealer Repurchase Agreements, highly rated commercial paper and other approved investment types. Asset allocation will be in full conformance with guidelines. FL SAFE s investments conform to the Permitted Investments as described in the Information Statement. FL SAFE Stable NAV Fund is rated m by the Standard & Poor s Corporation. The weighted average maturity of FL SAFE Stable NAV Fund's portfolio shall not exceed 60 days; the weighted average life shall not exceed 120 days. FL SAFE Stable NAV Fund seeks, but does not guarantee, to maintain a constant net asset value at $1.00 per share. Please see the Indenture of Trust for more information on the investment objectives of FL SAFE Stable NAV Fund. FL SAFE Variable NAV Fund is rated f / S1 by the Standard & Poor s Corporation. FL SAFE Variable NAV Fund invests in high quality fixed income invests and targets an average maturity of about 1 year. The Investment Advisor is Prudent Man Advisors, Inc. The Administrator is Florida Management and Administrative Services, LLC. SUMMARY June 30, 2018 FL Safe Stable NAV Fund FL Safe Variable NAV Fund FIIP Total Assets 7Day Average Net Market Expense Ratio * Weighted Average Maturity (days) Weighted Average Life (days) Net Asset Value Per Share $292,305,163 $27,905,490 $180,317,799 $500,528,452 FL SAFE Stable NAV Fund 2.07% N/A 0.19% $1.00 FL SAFE Variable NAV Fund 1.89% 2.59% 0.03% N/A N/A $ Note: The information contained herein is unaudited. Audited financial statements will be completed annually. * Net expense ratio after waivers. 30

3 FL SAFE STABLE NAV FUND FINANCIAL STATEMENTS STATEMENT OF NET ASSETS Assets Investments in securities Bank Notes Certificates of Deposits Commercial Paper Corporate Notes FDIC Insured Cash Sweep Repurchase Agreement Total investment in securities Cash and cash equivalents Other assets Accrued interest Total Assets Liabilities Accrued expenses Payable for Investments Purchased Net assets applicable to shares outstanding 03/31/18 For the Period Ending 06/30/18 09/30/18 12/31/18 $13,053,227 83,501,406 19,908,266 23,444,637 75,907,042 1,000,000 $11,451,338 70,600,995 14,932,747 35,118,988 95,141,262 1,000,000 $216,814,578 $228,245,330 24,624,882 64,269, , ,009 $241,966,960 $293,377,635 32,799 73, ,059 $241,934,161 $292,305,163 $1,030,762 $1,343,662 YeartoDate STATEMENT OF OPERATIONS Gross Investment Income Expenses Administration Fees Waiver Administration Fees Audit Fees Board of Trustees Expense Cash Management Fees Custody Fees Investment Advisory Fees Waiver Investment Advisory Fees Legal Fees Liability Insurance Expense Operations Manager Fees Waiver Operations Manager Fees Ratings Expense Miscellaneous Expenses Miscellaneous Credits Total Expenses 27,489 (5,918) 6,174 2,955 4,180 41,426 (16,730) 1,630 4,556 76,932 (30,614) 1,990 $114,070 Net Investment Income $916,692 29,015 (6,276) 4,823 3,640 5,005 43,928 (17,412) 910 4,186 81,584 (32,792) 2,275 $118,886 $1,224,776 $2,374,424 56,504 (12,194) 10,997 6,595 9,185 85,354 (34,142) 2,540 8, ,516 (63,406) 4,265 $232,956 $2,141,468 STATEMENT OF CHANGES IN NET ASSETS Shares Purchased Shares Redeemed Net Change in Share Transactions Investment activities: Net Investment Income Net increase in net assets from share operations Distributions to participants from net investment income Revenue Recognition / FIIP Royalty $287,815,683 (283,522,152) $359,030,358 (309,890,179) $646,846,041 (593,412,331) 4,293,531 49,140,179 53,433, , ,692 1,224,776 1,224,776 2,141,468 2,141,468 (916,692) (1,224,776) (2,141,468) 6,403 6,047 12,450 5,216,626 50,371,002 55,587,628 Net Assets at Beginning of Period $236,717,535 $241,934,161 $236,717,535 Net Assets at End of Period $241,934,161 $292,305,163 Net Change in Assets 31 $292,305,163

4 FL SAFE VARIABLE NAV FUND FINANCIAL STATEMENTS STATEMENT OF NET ASSETS Assets Investments in securities U.S. Government Agencies Certificates of Deposits Corporate Notes Total investment in securities 03/31/18 For the Period Ending 06/30/18 09/30/18 12/31/18 $1,337,763 1,994,026 24,383,758 $1,266,480 26,583,949 $27,715,547 $27,850,429 Cash and cash equivalents 19,993 19,409 Other assets Accrued interest 28,418 41,537 27,763,958 27,911,375 3,546 5,786 $27,760,412 $27,905,589 Gross Investment Income $19,431 $149,489 Expenses Administration Fees Waiver Administration Fees Audit Fees Board of Trustees Expense Cash Management Fees Custody Fees Investment Advisory Fees Waiver Investment Advisory Fees Legal Fees Liability Insurance Expense Operations Manager Fees Waiver Operations Manager Fees Ratings Expense Miscellaneous Expenses Miscellaneous Credits Total Expenses 10,823 (10,823) 1,712 3,161 6,649 (6,649) ,649 (6,649) 57 $5,957 Net Investment Income $13,474 $2,740,166 Total Assets Liabilities Accrued expenses Payable for Investments Purchased Net assets applicable to shares outstanding YeartoDate STATEMENT OF OPERATIONS 10,968 (10,968) ,930 6,938 (6,938) ,937 (6,937) 137 $4,312 $168,920 21,791 (21,791) 2, ,091 13,587 (13,587) 1, ,586 (13,586) 194 $10,269 $145,177 $158,651 $2,740,166 STATEMENT OF CHANGES IN NET ASSETS Shares Purchased Shares Redeemed Net Change in Share Transactions Investment activities: Net Investment Income Net increase in net assets from share operations 2,740,166 2,740,166 13,474 13, , , , ,651 2,753, ,177 2,898,817 Net Assets at Beginning of Period $25,006,772 $27,760,412 $25,006,772 Net Assets at End of Period $27,760,412 $27,905,589 2,774, ,774, Net Change in Assets Shares Outstanding at End of Period NAV per share at End of Period $ $ $27,905,589

5 FLS Pricing Report FLS As of # RP s Credit Agricole NY Overnight Repo 2.080% Branch Banking & Trust Uncollateralized Bank Deposit 2.200% $5,001, Citibank NA Collateralized Bank Deposit 2.250% $55,793, Bank of China FDIC Insured Cash Sweep 2.316% $95,141, HDP EDP ICS DP US Bank NA Uncollateralized Bank Deposit $381, % $57.78 $5,001, $5,001, $8, $55,793, $55,793, $71, $95,141, $95,141, $165, $381, T5V6 07/02/ /02/ /02/ /02/ /02/ /02/ /02/18 01/03/18 07/02/ Nordea Bank AB NY 01/11/18 01/11/18 07/10/18 ($128.00) % $4,000, Skandinav Enskilda Bank NY Deposit Floating /10/18 01/10/18 07/10/18 $ % Canadian Imperial Bank of Com 2.493% Deposit Floating 2.732% $1,500, $1,999, $17, $3,999, $4,000, $34, $2,000, $2, $1,500, $1,500, $8, ($22.80) 1.810% 07/31/17 08/01/17 07/13/18 $ Westpac Banking Corp NY BAA BAA4 $3,067, $3,067, FF FF30 $3,067, Citibank NA Non Interest Bearing ACD 65590AQS8 $381, $5, TCD DP /03/18 2:16:34 PM 33

6 FLS Pricing Report FLS As of # AT AT0 s KimberlyClark Corp 2.095% 6.250% $250, Canadian Imperial Bank of Com Floating Certificate of Depo 2.255% Nordea Bank AB NY 1.880% Bank of Nova Scotia Houston, Deposit Floating 2.306% 2.295% BSD BSD ACD 65590AQY GWH GWH RER RER5 PNC Bank, N.A. Bank Note Fixed 1.850% % Swedbank (New York) Floating Certificate of Depo 2.251% Royal Bank of Canada 1.929% 1.800% $1,111, Massachusetts Mutual Life Insur 2.021% 5.250% $500, JLB JLB3 US Bank NA Bank Note VCH VCH KFU KFU WAK WAK HCL HCL1 Bank of New York Mellon /03/18 2:16:36 PM 1.850% 2.100% $2,500, $250, $250, $7, $3,000, $2, $1,999, $17, $2,000, $2,000, $1, $999, $8, $2,999, $24, $2,000, $ $1,110, $1,110, $8, $501, $501, $10, $2,499, $2,500, $21, /16/18 02/21/18 07/15/18 ($130.24) /16/18 01/16/18 07/16/18 $ /17/18 01/17/18 07/17/18 ($76.60) /24/17 08/25/17 07/19/18 $ /20/18 06/20/18 07/20/18 ($230.80) /22/18 01/22/18 07/23/18 ($253.80) /25/18 01/25/18 07/25/18 $ /17/18 01/19/18 07/30/18 ($378.35) /07/18 02/08/18 07/31/18 ($283.29) /30/18 02/01/18 08/01/18 ($1,385.11)

7 FLS Pricing Report FLS As of # 06406HCM HCM9 s Bank of New York Mellon Corporate Floating 2.474% 2.918% $405, Massachusetts Mutual Life Insur 1.907% 2.100% $490, Massachusetts Mutual Life Insur 2.442% 2.100% $250, Massachusetts Mutual Life Insur 2.295% 2.100% $636, Massachusetts Mutual Life Insur 2.368% 2.100% $250, WBS WBS WBS WBS WBS WBS WBS WBS8 4497W1H66 $405, $405, $1, $489, $490, $4, $249, $249, $2, $635, $635, $5, $249, $249, $2, W1CP 60683BEN9 01/24/18 01/25/18 08/01/18 $ /09/18 01/11/18 08/02/18 ($209.25) /12/18 03/13/18 08/02/18 $ /07/18 06/11/18 08/02/18 ($41.24) /14/18 06/14/18 08/02/ $1,995, $1,995, /05/18 02/05/18 08/06/18 ($328.67) Mitsubishi UFJ Trust & Banking 2.010% 2.020% /02/18 03/02/18 08/07/18 ($283.34) Bank of America NA Bank Note 02/13/18 02/13/18 08/13/18 $ % $5,000, PACCAR Financial Corp 2.022% 1.750% $305, /09/18 02/12/18 08/14/18 ($158.81) Berkshire Hathaway Inc 1.990% 1.150% $400, $2,999, $3,000, $25, $5,000, $5,000, $38, $304, $304, $2, $399, $399, $1, /08/18 02/12/18 08/15/18 ($114.52) BX BX RM RM % PBN 06053PF28 ING (US) Funding LLC Discount Commercial Paper BCD /03/18 2:16:37 PM 35

8 FLS Pricing Report FLS As of # s Southern Cal Edison 2.009% 5.500% $400, Southern Cal Edison 2.331% 5.500% $1,285, Southern Cal Edison 2.681% 5.500% $260, Southern Cal Edison 2.480% 5.500% $350, Southern Cal Edison 2.504% 5.500% $306, Southern Cal Edison 2.604% 5.500% $380, Credit Agricole NY Deposit Floating 2.236% 2.315% Sumitomo Mitsui Bank NY Deposit Floating 2.501% $4,000, XGX XGX BAK BAK HCP 89233HHQ0 Toyota Motor Credit Corp. Discount Commercial Paper 2.093% $4,000, $401, $401, $8, $1,289, $1,290, $26, $260, $260, $5, $351, $351, $7, $307, Mitsubishi UFJ Trust & Banking /03/18 2:16:38 PM 2.300% /24/18 01/26/18 08/15/18 ($430.65) /01/18 03/02/18 08/15/18 ($818.00) /06/18 04/10/18 08/15/18 ($50.91) /13/18 06/14/18 08/15/18 ($152.06) /14/18 06/18/18 08/15/18 ($121.80) /18/18 06/19/18 08/15/18 ($102.20) $2,000, $2,000, $1, $4,001, $4,000, $11, $3,987, $3,987, /07/18 06/08/18 08/17/18 $ /21/18 02/21/18 08/21/18 $1, /16/18 02/16/18 08/24/18 ($311.20) $2,000, $5, /18/18 05/18/18 08/27/18 $ $307, $6, $381, $381, $7, BCD 60683BGQ0 36

9 FLS Pricing Report FLS As of # 90333VCD 90333VWP1 s US Bank NA 2.160% UCP 04821UJ45 Atlantic Asset Securitization Commercial Paper 2.316% DZ Bank NY 2.220% Metlife Funding Inc 2.466% 1.350% $250, GBS GBS BCD 86565BGA NAD NAD $1, /18/18 05/18/18 09/04/18 $ $3,000, $21, $249, $249, $ $3,000, /02/18 03/05/18 09/05/18 $ /14/18 06/18/18 09/14/18 $ $ $4, Branch Banking & Trust Bank Note 2.466% 2.300% $250, $249, $249, $1, /25/18 04/26/18 09/15/18 ($41.07) Branch Banking & Trust Bank Note 2.476% 2.300% $825, /26/18 04/30/18 09/15/18 ($112.17) Branch Banking & Trust Bank Note 2.457% 2.300% $380, /18/18 06/20/18 09/15/18 ($45.18) Commonwealth Bank of Australi 2.105% 2.500% /12/18 02/14/18 09/20/18 ($752.72) Commonwealth Bank of Australi 2.478% 2.500% $250, $824, $824, $3, $379, $379, $1, $1,000, $1,000, $7, $250, $250, $1, /08/18 06/12/18 09/20/18 $ RAD RAD /26/18 02/26/18 08/27/ RAD RAD % NAD NAD7 06/07/18 06/07/18 09/14/ NAD7 Sumitomo Mitsui Bank NY NAD7 $3,001, $22, $1,991, $1,991, ACD 23328AZT /03/18 2:16:39 PM 37

10 FLS Pricing Report FLS As of # 20271RAD RAD2 s Commonwealth Bank of Australi 2.470% 2.500% $250, HCP 89233HJL9 Toyota Motor Credit Corp. Discount Commercial Paper 2.328% DNB Nor Bank ASA NY 2.250% 2.300% $1,100, Pricoa Global Funding 2.468% 1.900% $291, Pricoa Global Funding 2.421% 1.900% $1,200, Pricoa Global Funding 2.444% 1.900% $450, Pricoa Global Funding 2.381% 1.900% $860, Pricoa Global Funding 2.380% 1.900% Pricoa Global Funding 2.477% 1.900% $750, Pricoa Global Funding 2.580% 1.900% $390, /03/18 2:16:41 PM $250, $249, $1, $1,989, $1,989, /14/18 06/18/18 09/20/18 $ /23/18 05/23/18 09/20/18 $ $1,100, $1,100, $6, $290, $290, $1, $1,198, /07/18 06/08/18 09/21/18 $ /05/18 03/06/18 09/21/18 ($74.90) /02/18 05/03/18 09/21/18 ($415.36) /09/18 05/11/18 09/21/18 ($132.58) /25/18 05/30/18 09/21/18 ($371.13) /14/18 06/18/18 09/21/18 ($422.62) /25/18 06/26/18 09/21/18 ($55.03) /27/18 09/21/18 $ VCD 23341VEK3 $1,198, $6, $449, $449, $2, $858, $859, $4, $998, $998, $5, $748, $748, $3, $389, $389, $2,

11 FLS Pricing Report FLS As of # 63873NSN NSN2 s Natixis NY Branch Deposit Floating 2.448% Toronto Dominion Bank NY 2.320% MUFG Union Bank NA 2.625% $500, VFH QK GUG1 $3, JP Morgan Securities LLC Discounted Commerical Paper 2.339% $1,986, $1,986, /08/18 06/08/18 10/09/18 ($219.65) Bank of Nova Scotia Houston, Deposit Floating 2.344% 2.589% $500, /07/18 06/08/18 10/12/18 ($193.46) John Deere Capital Corp Corporate Floating 2.322% 2.618% $900, /12/18 06/13/18 10/15/18 ($156.00) IBM Corporation 2.558% 7.625% $2,055, /26/18 06/27/18 10/15/18 ($676.96) Sumitomo Mitsui Bank NY 2.601% 1.762% $1,300, $500, $500, $2, $900, $900, $4, $2,084, $2,084, $32, $1,296, $1,296, $4, /13/18 06/15/18 10/19/18 $ GM GM CC CC ETN ETN9 27 $2,001, GUG QCP Swedbank (New York) Floating Certificate of Depo 2.365% JP Morgan Securities LLC Discount Commercial Paper VFH ECP 46590EJU % APJ APJ1 $2,001, $ $2,000, $8, $499, $500, $3, $2,981, $2,981, XCD 89113XK /03/18 2:16:42 PM 39 04/26/18 04/26/18 09/26/18 $1, /26/18 04/26/18 09/26/18 $ /09/18 04/11/18 09/26/18 ($112.85) /23/18 03/23/18 09/28/18 $ /05/18 04/05/18 10/05/18 $1,

12 FLS Pricing Report FLS As of # 22534HCD 22534H4F5 s Credit Agricole CIB NY 2.400% 2.410% Toyota Motor Credit Corp % 2.000% $400, Toyota Motor Credit Corp % 2.000% $400, Toyota Motor Credit Corp % 2.000% $1,325, Bank of Nova Scotia 2.479% 2.050% $750, Bank of Nova Scotia 2.520% 2.050% $900, New York Life Global Funding 2.078% 1.550% $425, New York Life Global Funding 2.530% 1.550% $450, PNC Bank, N.A. Bank Note 2.525% 1.800% $500, Bank of America NA 2.430% TAY TAY TAY TAY TAY TAY CU CU CU CU WCB WCB WCB WCB RET RET TCD 06052TA /03/18 2:16:43 PM $1,000, $1,000, $4, $399, $399, $1, $399, $399, $1, $1,322, $1,323, $4, $748, $748, $2, $898, $898, $3, $423, $424, $1, $448, $448, $1, $498, $498, $1, $2,000, $7, /12/18 06/12/18 10/24/18 $ /08/18 06/12/18 10/24/18 ($105.22) /15/18 06/18/18 10/24/18 ($86.88) /26/18 06/27/18 10/24/18 ($185.91) /19/18 06/21/18 10/30/18 ($195.85) /25/18 06/27/18 10/30/18 ($111.21) /01/18 02/01/18 11/02/18 ($572.13) /22/18 06/26/18 11/02/18 $ /03/18 11/05/18 ($53.85) /08/18 05/08/18 11/07/18 $

13 FLS Pricing Report FLS As of # 05253JAJ JAJ0 s ANZ Banking Group Note 2.621% 2.000% $910, Royal Bank of Canada NY Floating Certificate of Depo 2.403% UAW UAW GBQ GBQ1 Metlife Funding Inc 2.503% 1.950% $400, Metlife Funding Inc 2.507% 1.950% $340, GBQ GBQ JCD 86958JYQ REZ AB /27/18 02/28/18 11/27/18 $1, /11/18 06/12/18 12/03/18 $ /25/18 06/27/18 12/03/18 $ $498, $498, $ /03/18 12/07/18 ($141.90) /08/18 06/08/18 12/10/ Royal Bank of Canada Corporate Floating 2.385% 3.027% /19/18 06/20/18 12/10/18 ($563.50) Metlife Funding Inc 2.456% 1.750% /01/18 06/05/18 12/19/18 ($147.25) Metlife Funding Inc 2.511% 1.750% $275, $1,999, $2, $2,005, $2,006, $3, $996, $996, $ $274, $274, $ ($92.00) 2.280% 06/18/18 06/20/18 12/19/18 $ PNC Bank, N.A. Bank Note 2.536% 1.700% Mizuho Bank LTD NY Deposit Floating GBZ GBZ1 $500, GBZ GBZ1 ($250.13) $26, % KKA KKA4 06/12/18 06/14/18 11/16/18 ($4,005.30) AB52 $907, $907, $2, $3,001, $ $399, $399, $ $339, $339, $ $2,995, /31/18 02/01/18 12/06/18 Svenska Handelsbank NY REZ /03/18 2:16:44 PM 41

14 FLS Pricing Report FLS As of # 05574BJW BJW1 s BMO Harris Bank NA Floating R 2.284% $5,000, Rabobank Nederland NV NY Deposit Floating 2.256% $2,500, TD Bank Corporate Floating 2.416% 2.775% % B4G B4G QBR QBR UEK UEK7 Royal Bank of Canada NY Floating R GT GT JAG6 $5,000, $5,000, $3, $2,500, $2,500, $2, $2,003, $2,004, $11, $1,999, $1, $4,000, /08/18 01/10/18 01/10/19 $ /06/18 06/07/18 01/18/19 ($458.36) /22/18 06/22/18 03/22/19 ($148.20) $ ($986.92) ANZ Banking Group Note 2.720% 2.250% $1,989, $1,990, $2, /27/18 06/28/18 06/13/19 07/03/18 2:16:45 PM $292,484, $292,489, $4,000, $2, Totals: % /22/18 05/22/18 05/22/19 $4,000, /19/18 06/20/18 12/20/18 Bank of Nova Scotia Houston, Floating R JAG6 ($4,528.36)

15 FLS Pricing Report VNAV As of # 60934N104 s Federated Govt Obligations Fun Federated Govt Obligations Fun 1.750% $19, Hyundai Auto Receivables Trust 2.027% 2.100% $300, World Financial Network Credit 1.747% 2.230% $825, HarleyDavidson Motorcycle Tru 1.770% 1.670% $875, HarleyDavidson Motorcycle Tru 2.391% 1.670% $1,025, Honda Auto Receivables Owner 1.726% 1.440% UA 44890UA 41284BAE LAD EGA ($350.99) $1,019, $ /08/18 05/09/18 12/15/ $992, $998, $ /06/17 11/07/17 12/21/18 ($6,042.65) Citibank Credit Card Issuance T 1.716% 1.740% /01/17 11/03/17 01/17/19 ($4,335.76) Citibank Credit Card Issuance T 1.723% 1.740% $995, $1,000, $7, $995, $1,000, $7, $441, $442, $ $551, $554, $ /02/17 11/03/17 01/17/19 ($4,300.65) /01/17 11/03/17 03/15/19 ($1,230.56) /01/17 11/03/17 03/15/19 ($3,370.05) Ally Auto Receivables Trust 1.677% 1.590% $442, World Financial Network Credit 1.893% 3.140% $550, CW CW FAB FAB1 3 ($4,417.15) EGA EGA7 11/02/17 11/06/17 12/15/ EGA7 ($1,868.87) LAD /01/17 11/03/17 10/15/ BAE6 07/02/18 ($304.47) BAE BAE6 $19, $19, $ $299, $300, $ $824, $826, $ $870, $874, $ $1,019, /04/17 12/05/17 10/15/ DG DG :04:24 PM 43

16 FLS Pricing Report VNAV As of # 02007YAB YAB0 s Ally Auto Receivables Trust 1.857% 1.810% $468, American Express Credit Corp 1.795% 1.640% $1,200, Ford Credirt Auto Owner Trust ( 1.464% 1.800% $1,039, Toyota Auto Receivables Owner 1.720% TAOT 2017C A2A 1.580% $311, JHG JHG AAB AAB RAB RAB NFE NFE6 Capital One MultiAsset Executi 1.831% 1.340% Capital One MultiAsset Executi 1.927% 1.340% $625, Capital One MultiAsset Executi 2.658% 1.340% $450, Chase Issuance Trust (CHAIT) 1.793% 1.370% $930, Chase Issuance Trust (CHAIT) 1.814% 1.270% Chase Issuance Trust (CHAIT) 2.725% 1.270% $128, NFE NFE NFE NFE HC HC HF HF HF HF :04:26 PM $467, $468, $ $1,189, $1,198, $ $1,035, $1,246, $ $310, $360, $ $986, $995, $ $616, $621, $ $444, $444, $ $918, $926, $ $985, $994, $ $126, $126, $ /16/17 11/22/17 05/15/19 ($1,363.04) 11/06/17 11/07/17 05/15/19 ($8,797.51) 12/08/17 12/08/17 06/15/19 ($210,901.03) 11/01/17 11/03/17 06/15/19 ($50,477.95) 11/09/17 11/10/17 06/17/19 ($8,452.89) 11/24/17 11/28/17 06/17/19 ($4,721.92) 04/24/18 04/26/18 06/17/19 ($335.32) 11/02/17 11/06/17 06/17/19 ($7,932.09) 11/02/17 11/03/17 07/15/19 ($8,961.42) 06/19/18 06/21/18 07/15/19 $

17 FLS Pricing Report VNAV As of # AY AY1 s Discover Card Executiion Note 2.133% 1.670% Toyota Auto Receivables Owner 1.740% TOAT 2017D A2A 1.740% $1,500, Honda Auto Receivables Owner 1.704% 1.160% $753, Discover Card Executiion Note 1.846% 1.390% $715, Discover Card Executiion Note 2.342% 1.390% $200, MercedesBenz Auto Receivabl 1.761% 1.260% TD Bank AC AC BV BAD6 11/08/17 11/15/17 07/15/19 ($7,292.19) /01/17 11/03/17 07/18/19 ($3,396.15) /06/17 11/06/17 09/16/19 ($7,830.46) ($1,021.81) $197, $ /05/18 02/07/18 09/16/19 $1,575, $1,560, $1,811, $ /03/17 11/07/17 10/15/19 ($250,129.05) % 2.250% $525, /18/18 04/20/18 11/05/19 ($835.17) TD Bank 2.777% 2.250% /08/18 05/09/18 11/05/19 ($834.04) Ally Auto Receivables Trust 1.999% 1.440% $20, /24/18 01/26/18 08/17/20 ($40.00) Ally Auto Receivables Trust 2.249% 1.440% $398, $520, $521, $1, $992, $993, $3, $20, $20, $12.60 $396, $397, $ /21/18 02/22/18 08/17/20 ($220.06) QAV QAV QAV QAV LAC LAC LAC LAC BAD BV BV BV6 ($6,211.41) :04:28 PM $989, $995, $ $1,492, $1,499, $1, $747, $750, $ $703, $711, $ $196, /11/18 01/16/18 07/15/ KAB KAB8 45

18 FLS Pricing Report VNAV As of # 44932GAB GAB1 s Hyundai Auto Receivables Trust 2.002% 1.570% $562, Ford Credirt Auto Owner Trust ( 1.664% 2.010% $625, Toyota Auto Receivables Owner 2.764% 1.730% $545, GNMA Government National M 2.126% GNR A 1.900% $392, Ford Motor Credit Company 2.663% 1.600% $625, Hyundai Auto Receivables Trust 2.883% 1.770% $580, Synchrony Credit Card Master N 2.412% 1.580% $1,100, Synchrony Credit Card Master N 2.558% 1.580% $510, Synchrony Credit Card Master N 2.690% 1.580% $410, GNMA Government National M 2.308% GNR TE 2.500% $888, AAD AAD MAD MAD KAW KAW PAE PAE GAD GAD LBJ LBJ LBJ LBJ LBJ LBJ VZH VZH :04:29 PM $560, $671, $ $616, $624, $ $539, $539, $ $388, $393, $ $616, $616, $ $569, $569, $ $1,083, $1,087, $ $502, $503, $ $403, $403, $ $877, $890, $1, /16/18 01/16/18 08/17/20 ($110,839.11) 12/08/17 12/08/17 10/15/20 ($8,741.00) 05/21/18 05/21/18 02/16/21 12/08/17 12/08/17 05/16/21 $ ($4,933.56) 06/19/18 06/21/18 06/15/21 $ /18/18 06/20/18 01/18/22 $ AA /09/18 02/13/18 09/15/22 ($4,084.63) /21/18 02/22/18 09/15/22 ($923.41) /16/18 03/20/18 09/15/22 ($202.73) ($12,295.50) AA /23/18 01/26/18 12/20/2038

19 FLS Pricing Report VNAV As of # 40 s Totals: $27,869, $28,617, :04:30 PM ($747,260.08)