Quarterly Operations Manager Report For the period ending March 31, 2018

Transcription

1 Quarterly Operations Manager Report For the period ending March 31, 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 FL Safe Stable NAV Fund $241,934,161 FL Safe Variable NAV Fund $27,761,219 FIIP $202,715,604 Total Assets $472,410,984 FL SAFE Stable NAV Fund FL SAFE Variable NAV Fund 30 Day 1.69% 1.69% 7 Day 1.75% N/A Expense Ratio * 0.19% 0.10% Weighted Average (days) 42 N/A Weighted Average Life (days) 58 N/A Net Asset Value Per Share $1.00 $ Note: The information contained herein is unaudited. Audited financial statements will be completed annually. * Net expense ratio after waivers. 25

3 FL SAFE STABLE NAV FUND FINANCIAL STATEMENTS STATEMENT OF NET ASSETS Assets Investments in securities 03/31/18 06/30/18 09/30/18 12/31/18 Year-to-Date Bank Notes $13,053,227 $0 $0 $0 Certificates of Deposits 83,501,406 Commercial Paper 19,908,266 Corporate Notes 23,444,637 FDIC Insured Cash Sweep 75,907,042 Repurchase Agreement 1,000,000 Total investment in securities $216,814,578 $0 $0 $0 Cash and cash equivalents 24,624,882 Other assets Accrued interest 527,500 Total Assets $241,966,960 $0 $0 $0 Liabilities Accrued expenses 32,799 Payable for Investments Purchased - STATEMENT OF OPERATIONS For the Period Ending Net assets applicable to shares outstanding $241,934,161 $0 $0 $0 Gross Investment Income $1,030,762 $0 $0 $0 $1,030,762 Expenses Administration Fees 27,489 27,489 Waiver -- Administration Fees (5,918) (5,918) Audit Fees 6,174 6,174 Board of Trustees Expense - - Cash Management Fees 2,955 2,955 Custody Fees 4,180 4,180 Investment Advisory Fees 41,426 41,426 Waiver -- Investment Advisory Fees (16,730) (16,730) Legal Fees 1,630 1,630 Liability Insurance Expense 4,556 4,556 Operations Manager Fees 76,932 76,932 Waiver -- Operations Manager Fees (30,614) (30,614) Ratings Expense 1,990 1,990 Miscellaneous Expenses - - Miscellaneous Credits - - Total Expenses $114,070 $0 $0 $0 $114,070 Net Investment Income $916,692 $0 $0 $0 $916,692 STATEMENT OF CHANGES IN NET ASSETS Shares Purchased $287,815,683 $0 $0 $0 $287,815,683 Shares Redeemed (283,522,152) (283,522,152) Net Change in Share Transactions 4,293, ,293,531 Investment activities: Net Investment Income 916, ,692 Net increase in net assets from share operations 916, ,692 Distributions to participants from net investment income (916,692) (916,692) Revenue Recognition / FIIP Royalty 6,403 6,403 Net Change in Assets 5,216,626 5,216,626 Net Assets at Beginning of Period $236,717,535 $236,717,535 Net Assets at End of Period $241,934,161 $0 $0 $0 $241,934,161 26

4 FL SAFE VARIABLE NAV FUND FINANCIAL STATEMENTS STATEMENT OF NET ASSETS Assets Investments in securities 03/31/18 06/30/18 09/30/18 12/31/18 Year-to-Date U.S. Government Agencies $1,337,763 $0 $0 $0 Certificates of Deposits 1,994,026 Corporate Notes 24,383,758 Total investment in securities $27,715,547 $0 $0 $0 Cash and cash equivalents 19,993 Other assets Accrued interest 28,418 Total Assets 27,763, $0 Liabilities Accrued expenses 3,546 Payable for Investments Purchased - STATEMENT OF OPERATIONS For the Period Ending Net assets applicable to shares outstanding $27,760,412 $0 $0 $0 Gross Investment Income $19,431 $0 $0 $0 $19,431 Expenses Administration Fees 10,823 10,823 Waiver -- Administration Fees (10,823) (10,823) Audit Fees 1,712 1,712 Board of Trustees Expense - - Cash Management Fees - - Custody Fees 3,161 3,161 Investment Advisory Fees 6,649 6,649 Waiver -- Investment Advisory Fees (6,649) (6,649) Legal Fees Liability Insurance Expense Operations Manager Fees 6,649 6,649 Waiver -- Operations Manager Fees (6,649) (6,649) Ratings Expense - - Miscellaneous Expenses Miscellaneous Credits - - Total Expenses $5,957 $0 $0 $0 $5,957 Net Investment Income $13,474 $0 $0 $0 $13,474 STATEMENT OF CHANGES IN NET ASSETS Shares Purchased $2,740,166 $0 $0 $0 $2,740,166 Shares Redeemed Net Change in Share Transactions 2,740, ,740,166 Investment activities: Net Investment Income 13,474 13,474 Net increase in net assets from share operations 13,474 13,474 Net Change in Assets 2,753,640 2,753,640 Net Assets at Beginning of Period $25,006,772 $25,006,772 Net Assets at End of Period $27,760,412 $0 $0 $0 $27,760,412 Shares Outstanding at End of Period 2,774, NAV per share at End of Period $ $0.000 $0.000 $

5 # RP Credit Agricole NY $1,000, $1,000, /29/18 $0.00 P Overnight Repo 1.750% $1,000, /29/ $ /02/ E-DP Citibank NA $10,453, $10,453, /30/18 $0.00 P Collateralized Bank Deposit 1.700% $10,453, /30/ $24, /02/ ICS Bank of China $75,907, $75,907, /30/18 $ FDIC Insured Cash Sweep 2.012% $75,907, /30/ $108, /02/ DP US Bank NA $10,178, $10,178, /30/18 $0.00 P Uncollateralized Bank Deposit 1.750% $10,178, /30/ $4, /02/ DP Citibank NA $3,955, $3,955, /30/18 $0.00 P Non Interest Bearing $3,955, /30/ /02/ G-CP Pricoa Global Funding 1.474% $2,000, $1,999, /18/17 ($266.99) P GD59 Discount Commercial Paper 1.474% $1,999, /18/ /05/ RMS1 Bank of Montreal 1.736% $2,000, $1,999, /08/17 ($214.04) P RMS1 Certificate of Deposit 1.450% $1,999, /12/ $13, /09/ RE76 Bank of Montreal 1.663% $400, $399, /29/17 ($54.40) P RE76 Certificate of Deposit 1.400% $399, /01/ $2, /10/ RE76 Bank of Montreal 1.693% $1,000, $999, /08/17 ($128.35) P RE76 Certificate of Deposit 1.400% $999, /12/ $6, /10/ AJB1 Mizuho Bank LTD NY $1,500, $1,500, /06/17 $99.00 P AJB1 Deposit Floating 1.940% $1,500, /10/ $1, /10/18 04/02/18 2:25:24 PM 28

6 # 96121T3G1 Westpac Banking Corp NY 1.815% $3,100, $3,100, /16/17 $52.42 P T3G1 Deposit Floating 1.839% $3,100, /16/ $12, /12/ XAC9 Oracle Corp 1.604% $1,153, $1,154, /05/17 ($886.32) P XAC9 Corporate Fixed 5.750% $1,154, /05/ $30, /15/ XAC9 Oracle Corp 1.667% $307, $307, /08/17 ($226.94) P XAC9 Corporate Fixed 5.750% $307, /12/ $8, /15/ XAC9 Oracle Corp 1.760% $500, $500, /05/18 ($353.12) P XAC9 Corporate Fixed 5.750% $500, /08/ $13, /15/ Q-CP JP Morgan Securities LLC 1.711% $3,000, $2,995, /14/17 ($933.96) P QDT5 Discounted Commerical Paper $2,996, /14/ /27/ Q-CP JP Morgan Securities LLC 1.731% $2,000, $1,996, /15/17 ($592.87) P QDT5 Discounted Commerical Paper 1.731% $1,997, /15/ /27/ WBZ5 New York Life Global Funding 1.693% $1,000, $999, /14/17 ($419.25) P WBZ5 Corporate Fixed 1.300% $999, /18/ $5, /27/ WBZ5 New York Life Global Funding 1.752% $275, $274, /18/17 ($102.83) P WBZ5 Corporate Fixed 1.300% $274, /19/ $1, /27/ REM6 PNC Bank, N.A % $600, $599, /22/18 ($546.40) P REM6 Bank Note 1.600% $599, /22/ $3, /02/ REM6 PNC Bank, N.A % $2,000, $1,997, /22/18 ($1,967.22) P REM6 Bank Note 1.600% $1,999, /22/ $10, /02/18 04/02/18 2:25:25 PM 29

7 # 69353REM6 PNC Bank, N.A % $300, $299, /06/18 ($134.78) P REM6 Bank Note 1.600% $299, /08/ $1, /02/ KCL1 ING (US) Funding LLC $4,000, $4,000, /15/17 $ P KCL1 Floating Int Bear CP 1.960% $4,000, /15/ $4, /11/ CM3 Westpac Banking Corp 1.852% $930, $928, /21/17 ($852.20) P CM3 Corporate Fixed 1.550% $929, /21/ $5, /15/ GXP8 Bank of Nova Scotia Houston, 2.016% $4,000, $4,000, /18/17 $ P GXP8 Deposit Floating 1.988% $3,999, /18/ $2, /18/ JGR7 Goldman Sachs Bank USA 2.149% $3,000, $3,000, /25/17 $ P JGR7 Deposit Floating 2.145% $3,000, /31/ $6, /18/ JGR7 Goldman Sachs Bank USA 2.134% $2,000, $2,000, /29/17 $49.25 P JGR7 Deposit Floating 2.145% $2,000, /29/ $4, /18/ BCA9 Mitsubishi UFJ Trust & Banking $3,000, $3,000, /23/17 $ P BCA9 Floating Certificate of Depo 2.081% $3,000, /23/ $1, /23/ WX50 Toronto Dominion Bank NY $2,500, $2,500, /23/17 $ P WX50 Deposit Floating 2.031% $2,500, /23/ $1, /23/ WBZ1 Pricoa Global Funding 1.872% $306, $305, /26/17 ($322.71) P WBZ1 Corporate Fixed 1.600% $305, /28/ $1, /29/ Y2P7 Sumitomo Mitsui Bank NY $2,000, $1,999, /29/17 ($236.00) P Y2P7 Floating Certificate of Depo 2.077% $2,000, /30/ $ /31/18 04/02/18 2:25:26 PM 30

8 # 94989R-CD Wells Fargo Bank NA $3,000, $2,999, /30/18 ($813.00) P RYD4 Certificate of Deposit 1.850% $3,000, /30/ $9, /01/ TMC3 Bank of America NA 1.811% $310, $309, /14/17 ($377.21) P TMC3 Corporate Fixed 1.750% $309, /15/ $1, /05/ TMC3 Bank of America NA 1.911% $345, $344, /07/18 ($353.29) P TMC3 Corporate Fixed 1.750% $344, /08/ $1, /05/ TMC3 Bank of America NA 1.971% $500, $499, /08/18 ($457.08) P TMC3 Corporate Fixed 1.750% $499, /12/ $2, /05/ GAG4 Metlife Funding Inc 1.991% $2,000, $2,003, /15/18 ($3,219.28) P GAG4 Corporate Fixed 3.650% $2,006, /20/ $21, /14/ DG5 Pfizer Inc % $375, $374, /27/17 ($416.54) P DG5 Corporate Fixed 1.500% $374, /29/ $1, /15/ DG5 Pfizer Inc % $250, $249, /29/18 ($273.57) P DG5 Corporate Fixed 1.500% $249, /31/ $1, /15/ DG5 Pfizer Inc % $700, $698, /28/18 ($382.74) P DG5 Corporate Fixed 1.500% $699, /02/ $3, /15/ DG5 Pfizer Inc % $2,000, $1,996, /02/18 ($1,130.20) P DG5 Corporate Fixed 1.500% $1,997, /06/ $8, /15/ DG5 Pfizer Inc % $250, $249, /06/18 ($67.78) P DG5 Corporate Fixed 1.500% $249, /06/ $1, /15/18 04/02/18 2:25:27 PM 31

9 # 69353RER5 PNC Bank, N.A % $250, $249, /22/18 ($317.73) P RER5 Bank Note Fixed 1.850% $249, /22/ $ /20/ RER5 PNC Bank, N.A % $250, $249, /22/18 ($247.40) P RER5 Bank Note Fixed 1.850% $249, /22/ $ /20/ RER5 PNC Bank, N.A % $500, $499, /22/18 ($704.79) P RER5 Bank Note Fixed 1.850% $499, /22/ $1, /20/ W3T1 Toronto Dominion Bank NY $2,000, $2,000, /19/17 $ P W3T1 Deposit Floating 2.002% $2,000, /20/ $1, /20/ AE0 Chevron Corporation 1.842% $750, $748, /19/18 ($932.80) P AE0 Corporate Fixed 1.718% $749, /22/ $3, /24/ WCJ6 Pricoa Global Funding 2.402% $3,000, $3,002, /07/17 ($559.36) P WCJ6 Corporate Floating 2.792% $3,003, /12/ $ /27/ V-CD Rabobank Nederland NV NY $3,000, $2,996, /28/17 ($3,249.60) P VV48 Certificate of Deposit 1.780% $3,000, /28/ $13, /28/ NV78 Royal Bank of Canada NY $2,000, $2,000, /27/17 $ P NV78 Deposit Floating 2.077% $2,000, /28/ $ /28/ EMR7 Commonwealth Bank of Australi $5,000, $4,999, /29/17 ($280.00) P EMR7 Deposit Floating 2.027% $5,000, /29/ $ /29/ V-CD DNB Nor Bank ASA NY $4,000, $3,996, /29/18 ($3,645.60) P VCX7 Certificate of Deposit 1.840% $4,000, /29/ $12, /29/18 04/02/18 2:25:28 PM 32

10 # 96121T-CD Westpac Banking Corp NY $2,000, $1,998, /02/18 ($1,664.20) P T5V6 Certificate of Deposit 1.810% $2,000, /03/ $8, /02/ A-CD Nordea Bank AB NY $4,000, $3,995, /11/18 ($4,613.60) P AQS8 Certificate of Deposit 1.840% $4,000, /11/ $16, /10/ FF30 Skandinav Enskilda Bank NY $2,000, $1,999, /10/18 ($416.00) P FF30 Deposit Floating 1.890% $2,000, /10/ $1, /10/ BAA4 Canadian Imperial Bank of Com 1.863% $1,500, $1,500, /31/17 ($314.48) P BAA4 Deposit Floating 2.112% $1,501, /01/ $6, /13/ AT0 Kimberly-Clark Corp 2.095% $250, $252, /16/18 ($418.16) P AT0 Corporate Fixed 6.250% $253, /21/ $3, /15/ BSD9 Canadian Imperial Bank of Com $3,000, $2,999, /16/18 ($672.00) P BSD9 Floating Certificate of Depo 1.956% $3,000, /16/ $2, /16/ A-CD Nordea Bank AB NY $2,000, $1,997, /17/18 ($2,278.20) P AQY5 Certificate of Deposit 1.880% $2,000, /17/ $7, /17/ GWH7 Bank of Nova Scotia Houston, 2.026% $2,000, $1,999, /24/17 ($431.84) P GWH7 Deposit Floating 2.018% $2,000, /25/ $1, /19/ JLB3 US Bank NA $3,000, $2,999, /22/18 ($781.20) P JLB3 Bank Note 1.880% $3,000, /22/ $10, /23/ VCH8 Swedbank (New York) $2,000, $1,999, /25/18 ($728.00) P VCH8 Floating Certificate of Depo 1.781% $2,000, /25/ $ /25/18 04/02/18 2:25:30 PM 33

11 # 78012KFU6 Royal Bank of Canada 1.929% $1,111, $1,108, /17/18 ($1,818.76) P KFU6 Corporate Fixed 1.800% $1,110, /19/ $3, /30/ WAK6 Massachusetts Mutual Life Insur 2.021% $500, $504, /07/18 ($468.92) P WAK6 Corporate Fixed 5.250% $505, /08/ $4, /31/ HCL1 Bank of New York Mellon 1.850% $2,500, $2,497, /30/18 ($3,914.87) P HCL1 Corporate Fixed 2.100% $2,501, /01/ $8, /01/ HCM9 Bank of New York Mellon 1.879% $405, $405, /24/18 ($171.70) P HCM9 Corporate Floating 2.333% $405, /25/ $1, /01/ WBS8 Massachusetts Mutual Life Insur 1.907% $490, $489, /09/18 ($981.60) P WBS8 Corporate Fixed 2.100% $490, /11/ $1, /02/ WBS8 Massachusetts Mutual Life Insur 2.442% $250, $249, /12/18 ($48.62) P WBS8 Corporate Fixed 2.100% $249, /13/ $ /02/ W1-CP ING (US) Funding LLC 1.980% $2,000, $1,983, /05/18 ($2,724.08) P W1H66 Discount Commercial Paper $1,986, /05/ /06/ B-CD Mitsubishi UFJ Trust & Banking 2.010% $3,000, $2,996, /02/18 ($3,947.42) P BEN9 Certificate of Deposit 2.020% $3,000, /02/ $9, /07/ P-BN Bank of America NA $5,000, $5,000, /13/18 $ P PF28 Bank Note 2.020% $5,000, /13/ $12, /13/ RM60 PACCAR Financial Corp 2.022% $305, $304, /09/18 ($350.87) P RM60 Corporate Fixed 1.750% $304, /12/ $ /14/18 04/02/18 2:25:31 PM 34

12 # BX5 Berkshire Hathaway Inc 1.990% $400, $398, /08/18 ($681.52) P BX5 Corporate Fixed 1.150% $398, /12/ $ /15/ FJ7 Southern Cal Edison 2.009% $400, $404, /24/18 ($911.92) P FJ7 Corporate Fixed 5.500% $405, /26/ $2, /15/ FJ7 Southern Cal Edison 2.331% $1,285, $1,298, /01/18 ($1,245.81) P FJ7 Corporate Fixed 5.500% $1,300, /02/ $8, /15/ BAK7 Sumitomo Mitsui Bank NY $4,000, $4,001, /21/18 $1, P BAK7 Deposit Floating 2.062% $4,000, /21/ $8, /21/ H-CP Toyota Motor Credit Corp % $4,000, $3,961, /16/18 ($4,554.80) P HHQ0 Discount Commercial Paper $3,966, /16/ /24/ V-CD US Bank NA $3,000, $2,999, /26/18 ($987.00) P VWP1 Certificate of Deposit 2.160% $3,000, /26/ $5, /27/ A-CD DZ Bank NY $3,000, $2,998, /02/18 ($1,893.60) P AZT4 Certificate of Deposit 2.220% $3,000, /05/ $4, /05/ RAD2 Commonwealth Bank of Australi 2.105% $1,000, $999, /12/18 ($2,092.65) P RAD2 Corporate Fixed 2.500% $1,001, /14/ $ /20/ WCF4 Pricoa Global Funding 2.468% $291, $290, /05/18 ($95.33) P WCF4 Corporate Fixed 1.900% $290, /06/ $ /21/ E-CP JP Morgan Securities LLC 2.513% $3,000, $2,963, /23/18 $ P EJU3 Discount Commercial Paper $2,962, /23/ /28/18 04/02/18 2:25:32 PM 35

13 # 64952WCB7 New York Life Global Funding 2.078% $425, $422, /01/18 ($1,029.34) P WCB7 Corporate Fixed 1.550% $423, /01/ $2, /02/ UAW5 Royal Bank of Canada NY $3,000, $2,998, /27/18 ($1,785.00) P UAW5 Floating Certificate of Depo 2.175% $3,000, /28/ $ /27/ J-CD Svenska Handelsbank NY $3,000, $2,997, /31/18 ($2,590.20) P JYQ6 Certificate of Deposit 2.100% $3,000, /01/ $10, /06/ B4G6 Rabobank Nederland NV NY $2,500, $2,495, /08/18 ($4,007.50) P B4G6 Deposit Floating 1.950% $2,500, /10/ $2, /10/19 84 Totals: $241,333, $241,401, ($67,614.53) /02/18 2:25:32 PM 36

14 # FLS Pricing Report - VNAV 60934N104 Federated Govt Obligations Fun $19, $19, /30/18 $0.00 P Federated Govt Obligations Fun 1.160% $19, /30/ $ /02/ FP0 World Financial Network Credit 1.682% $575, $572, /01/17 ($1,892.91) FP0 Asset Backed Security 1.440% $574, /03/ $ /15/ FP0 World Financial Network Credit 2.132% $165, $164, /16/18 ($264.98) FP0 Asset Backed Security 1.440% $164, /21/ $ /15/ CAQ6 Nordea Bank AB NY 1.768% $2,000, $1,994, /13/17 ($6,952.00) P CAQ6 Certificate of Deposit 1.875% $2,000, /15/ $1, /17/ NFA4 Capital One Multi-Asset Executi 1.927% $425, $422, /24/17 ($1,628.64) NFA4 Asset Backed Security 1.340% $424, /28/ $ /15/ UA Hyundai Auto Receivables Trust 2.027% $300, $299, /04/17 ($674.91) Aaa UA Asset Backed Security 2.100% $300, /05/ $ /15/ DG2 World Financial Network Credit 1.747% $825, $823, /01/17 ($3,657.08) DG2 Asset Backed Security 2.230% $827, /03/ $ /15/ BAE6 Harley-Davidson Motorcycle Tru 1.770% $875, $868, /02/17 ($5,948.07) Aaa BAE6 Asset Backed Security 1.670% $874, /06/ $ /15/ LAD1 Honda Auto Receivables Owner 1.726% $1,000, $990, /06/17 ($7,130.62) Aaa LAD1 Asset Backed Security 1.440% $997, /07/ $ /21/ EGA7 Citibank Credit Card Issuance T 1.716% $1,000, $994, /01/17 ($5,869.38) Aaa EGA7 CCCIT 2017-A2 A % $1,000, /03/ $3, /17/19 03/30/18 2:39:09 PM 37

15 # FLS Pricing Report - VNAV 17305EGA7 Citibank Credit Card Issuance T 1.723% $1,000, $994, /02/17 ($5,817.89) Aaa EGA7 CCCIT 2017-A2 A % $1,000, /03/ $3, /17/ FAB1 Ally Auto Receivables Trust 1.677% $600, $597, /01/17 ($2,249.73) FAB1 Asset Backed Security 1.590% $599, /03/ $ /15/ CW8 World Financial Network Credit 1.893% $550, $552, /01/17 ($4,264.91) CW8 Asset Backed Security 3.140% $556, /03/ $ /15/ YAB0 Ally Auto Receivables Trust 1.857% $500, $497, /16/17 ($2,184.65) YAB0 Asset Backed Security 1.810% $499, /22/ $ /15/ JHG8 American Express Credit Corp 1.795% $1,200, $1,188, /06/17 ($9,694.25) JHG8 Asset Backed Security 1.640% $1,198, /07/ $ /15/ AAB9 Ford Credirt Auto Owner Trust ( 1.464% $1,360, $1,354, /08/17 ($5,608.56) AAB9 Asset Backed Security 1.800% $1,360, /08/ $1, /15/ RAB4 Toyota Auto Receivables Owner 1.720% $390, $387, /01/17 ($1,939.32) Aaa RAB4 TAOT 2017-C A2A 1.580% $389, /03/ $ /15/ NFE6 Capital One Multi-Asset Executi 1.831% $1,000, $985, /09/17 ($8,745.85) NFE6 Asset Backed Security 1.340% $994, /10/ $ /17/ NFE6 Capital One Multi-Asset Executi 1.927% $625, $615, /24/17 ($4,759.42) NFE6 Asset Backed Security 1.340% $620, /28/ $ /17/ HC1 Chase Issuance Trust (CHAIT) 1.793% $930, $916, /02/17 ($8,549.66) HC1 Asset Backed Security 1.370% $925, /06/ $ /17/19 03/30/18 2:39:11 PM 38

16 # FLS Pricing Report - VNAV HF4 Chase Issuance Trust (CHAIT) 1.814% $1,000, $983, /02/17 ($9,486.31) HF4 Asset Backed Security 1.270% $993, /03/ $ /15/ AY1 Discover Card Executiion Note 2.133% $1,000, $988, /11/18 ($5,588.05) Aaa AY1 Asset Backed Security 1.670% $994, /16/ $ /15/ KAB8 Toyota Auto Receivables Owner 1.740% $1,500, $1,490, /08/17 ($8,989.32) Aaa KAB8 TOAT 2017-D A2A 1.740% $1,499, /15/ $1, /15/ AC3 Honda Auto Receivables Owner 1.704% $974, $966, /01/17 ($4,411.20) AC3 Asset Backed Security 1.160% $971, /03/17 Aaa $ /18/ BV6 Discover Card Executiion Note 1.846% $715, $702, /06/17 ($7,887.27) Aaa BV6 Asset Backed Security 1.390% $710, /06/ $ /16/ BV6 Discover Card Executiion Note 2.342% $200, $196, /05/18 ($798.08) Aaa BV6 Asset Backed Security 1.390% $197, /07/ $ /16/ BAD6 Mercedes-Benz Auto Receivabl 1.761% $1,949, $1,930, /03/17 ($10,777.16) BAD6 Asset Backed Security 1.260% $1,941, /07/ $1, /15/ LAC6 Ally Auto Receivables Trust 1.999% $73, $72, /24/18 ($161.66) LAC6 Asset Backed Security 1.440% $73, /26/ $ /17/ LAC6 Ally Auto Receivables Trust 2.249% $492, $489, /21/18 ($342.17) LAC6 Asset Backed Security 1.440% $489, /22/ $ /17/ GAB1 Hyundai Auto Receivables Trust 2.002% $732, $728, /16/18 ($1,799.35) Aaa GAB1 Asset Backed Security 1.570% $730, /16/ $ /17/20 03/30/18 2:39:12 PM 39

17 # FLS Pricing Report - VNAV 34532AAD5 Ford Credirt Auto Owner Trust ( 1.664% $625, $617, /08/17 ($7,726.62) AAD5 Asset Backed Security 2.010% $624, /08/ $ /15/ KAW9 GNMA - Government National M 2.126% $399, $396, /08/17 ($2,223.01) KAW9 GNR A 1.900% $398, /08/17 AA $ /16/ LBJ9 Synchrony Credit Card Master N 2.412% $1,100, $1,082, /09/18 ($3,499.56) Aaa LBJ9 Asset Backed Security 1.580% $1,086, /13/ $ /15/ LBJ9 Synchrony Credit Card Master N 2.558% $510, $502, /21/18 ($594.81) Aaa LBJ9 Asset Backed Security 1.580% $502, /22/ $ /15/ LBJ9 Synchrony Credit Card Master N 2.690% $410, $403, /16/18 $92.95 Aaa LBJ9 Asset Backed Security 1.580% $403, /20/ $ /15/ VZH1 GNMA - Government National M 2.308% $948, $941, /23/18 ($8,378.15) Aaa VZH1 GNR TE 2.500% $950, /26/18 AA $1, /20/ Totals: $27,735, $27,895, ($160,402.58) /30/18 2:39:13 PM 40