DTCC Public (White)

AGENT REPORT CARD

December 2015

DTCC Public (White)

DTCC Public (White)

Agent Report Card

This report highlights the performance of the top agents responsible for the processing of CMO/ABS securities in two specific areas of concern:

1)The unavailability of timely rate information.

2)Inaccurate rate information that requires amendment and therefore post payable date adjustments to DTCC’s Clients.

The impact of each agent on last month’s performance is reflected in bar charts showing “late/amended” information.

In addition, the top three agents with the best record in each category have been highlighted in Green.

DTCC Public (White)

Agent Report Card - Rankings

Agent Report CardRankings based on a percentage of an agent's total rates

(Best three in each category highlighted in green)

Rates Open at COB P/D - 1

Late Rates after 3:00 pm Cut-off on P/D

Amended Announcements

AmendedAnnouncements 30

Days + after P/DBank of New York Mellon 5 5 4 2

Citibank 3 1 3 3

Deutsche Bank 1 1 5 1

US Bank 2 4 2 4

Wells Fargo 4 1 1 5

DTCC Public (White)

0.36% 0.18% 0.05% 0.03% 0.02%

20.00%15.00%10.00%

5.00%0.00%

40.00%35.00%30.00%25.00%

Bank ofNew

York

Mellon

Wells

Fargo

Citibank

USBank

Deutsche

Conforming Late Rates

S i g m a L e v e l 4 . 1 9 4 . 4 0 4 . 7 7 4 . 9 3 5 . 1 1

N u m b e r o f L a t e R a t e 7 9 5 5 2 5 2

A s a P e r c e n t a g e o f T o t a l L a t e R a t e s F r o m A l l A g e n t s 5 5 . 2 4 % 3 8 . 4 6 % 1 . 4 0 % 3 . 5 0 % 1 . 4 0 %

D e v i a t i o n F r o m t h e I n d u s t r y S i g m a - 0 . 2 5 - 0 . 0 3 0 . 3 4 0 . 5 0 0 . 6 8

CMO/ABS Payable on the 15th and 25th

Rates open at COB on P/D –1As a percentage of an agent’s total rates

4.19 4.40 4.77 4.93 5.11

Industry σ: 4.43

DTCC Public (White)

0.11%

0.07%

0.00% 0.00% 0.00%

0.12%

0.10%

0.08%

0.06%

0.04%

0.02%

0.00%

Bank of

New

York M

ellon

US

Bank

Deutsche

Wells

Fargo

Citibank

All Late RatesCMO/ABS Payable on the 15th and the 25th

After 3:00 p.m. EST on payable date and subsequent days As a percentage of an agent’s total Rates

4 . 5 8 4 . 7 1 6 . 0 0 6 . 0 0 6 . 0 0

2 3 1 1 0 0 0

6 7 . 6 5 % 3 2 . 3 5 % 0 . 0 0 % 0 . 0 0 % 0 . 0 0 %

- 0 . 2 8 - 0 . 1 4 1 . 1 5 1 . 1 5 1 . 1 5

S i g m a L e v e l

N u m b e r o f L a t e R a t e

A s a P e r c e n t a g e o f T o t a l L a t e R a t e s F r o m A l l A g e n t s

D e v i a t i o n F r o m t h e I n d u s t r y S i g m a

4.58

4.716.00 6.00 6.00

Industry σ: 4.85

DTCC Public (White)

28.72%

5.26%

40.00%35.00%30.00%25.00%20.00%15.00%10.00%

5.00%0.00% W

ellsFargo

Bank ofNew

York

Mellon

Deutsche

USBank

Citibank

Conforming Late Rates

0 . 8 9 1 . 5 4 1 . 6 5 2 . 0 6 3.12

3 , 1 0 3 2 1 0 2 0 5 1 9 9 4

8 3 . 3 9 % 5 . 6 4 % 5 . 5 1 % 5 . 3 5 % 0.11%

- 0 . 2 8 0 . 3 7 0 . 4 7 0 . 8 9 1.95

S i g m a L e v e l

N u m b e r o f L a t e R a t e

A s a P e r c e n t a g e o f T o t a l

L a t e R a t e s F r o m A l l A g e n t s

D e v i a t i o n F r o m t h e I n d u s t r y S i g m a

CMO/ABS All Payable Date excluding the 15th and 25th

Rates open at COB on P/D –1As a percentage of an agent’s total rates

0.891.54

1.65 2.06 3.12

Industry σ: 1.17

DTCC Public (White)

11.75%

5.36%

3.17%1.72% 1.32%

14.00%12.00%10.00%8.00%6.00%4.00%2.00%0.00%

Bank of

New

York

Mellon

Wells

Fargo

US

Bank

Deutsche

Citibank

All Late RatesCMO/ABS Excluding Payable on the 15th and the 25th

After 3:00 p.m. EST on payable date and subsequent days As a percentage of an agent’s total Rates

2 . 6 9 3 . 1 1 3 . 3 6 3 . 6 1 3 . 7 2

5 1 2 2 8 2 2 8 1

1 6 . 4 5 % 7 3 . 5 5 % 7 . 1 0 % 2 . 5 8 % 0 . 3 2 %

- 0 . 4 3 - 0 . 0 1 0 . 2 3 0 . 4 9 0 . 6 0

S i g m a L e v e l

N u m b e r o f L a t e R a t e

A s a P e r c e n t a g e o f T o t a l L a t e R a t e s F r o m A l l A g e n t s

D e v i a t i o n F r o m t h e I n d u s t r y S i g m a

2.693.11

3.36

3.613.72

Industry σ: 3.12

DTCC Public (White)

0.32%0.30%

0.13%

0.35%0.30%0.25%0.20%0.15%0.10%0.05%0.00% D

eutsche

Bank ofN

ew

YorkM

ellon

Citibank

US

Bank

Wells

Fargo

All Amended RatesCMO/ABS

As a percentage of an agent’s total rates

Sigma Level 4.22 4.25 4.50 4.60 4.85

Number of Amended Rates 42 66 5 16 12

As a Percentage of TotalAmended Rates From All Agents 29.79% 46.81% 3.55% 11.35% 8.51%

Deviation From -0.21 -0.19 0.07 0.16 0.42

4.224.25

4.500.10%

4.604.850.04%

Industry σ:4.44#NUM!

DTCC Public (White)

66.67%

56.25%

40.00% 39.39%

7.14%

70.00%

60.00%

50.00%

40.00%

30.00%

20.00%

10.00%

0.00% Wells

Fargo

USBank

Citibank Bank of New

York

Mellon

Deutsche

All Amended RatesCMO/ABS

30 days+ after payable dateAs a percentage of an agent’s total amended rates

Number of Amended Rates 30 Days + 8 9 2 26 3

As a Percentage of TotalAmended Rates From All Agents 16.67% 18.75% 4.17% 54.17% 6.25%

DTCC Public (White)

Agent Report Card

10

Agent Report CardDecember Entity Responsible

’s Responsible Entity for Initiating RevisionsAgent Paying

AgentCalculation

Agent Servicer Third Parties

Re-Securitization Total Percentage

of Total

Total Allocation

Volume

Revision Percentage

Rate

BNY Mellon 30 14 1 2 0 47 33.10% 22,306 0.21%

Wells Fargo 0 21 0 5 0 26 18.31% 34,150 0.08%

U.S. Bank19 21 5 5 0 50 35.21% 17,181 0.29%

Citi 2 0 0 3 0 5 3.52% 3,826 0.13%

Deutsche Bank 2 12 0 0 0 14 9.86% 13,413 0.10%

Total 53 68 6 15 0 142 100.00% 90,876 0.16%

DTCC Public (White)

Agent Report Card

11

Agent Report CardDecember’s Breakdown of Top Calculation Agents and Servicers

Responsible for Revisions

Calculation Agent/ServicerCalculation Agent

or ServicerCount @

Deal LevelCount @

Revision Level

Percentage of Total @

Revision Level

Wells Fargo Calculation Agent 9 21 28.38%

Deutsche Bank Calculation Agent 5 12 16.22%

US Bank Calculation Agent 7 11 14.86%

BNY Mellon Calculation Agent 2 8 10.81%

Wells Fargo Servicer 2 3 4.05%

Other 14 19 25.68%

Total 39 74 100.00%

DTCC Public (White)

Agent Report Card

12

Agent Report CardDecember’s Root Cause Breakdown

Agent

Operational ErrorModificati

on of Underlying

Asset

Other

Late Payment

s on Assets

Document ambiguity

at trust level

Document ambiguity at

loan levelUndeterminedAs

Paying Agent

As Calc. Agent

Other Calc.

Agents and

Servicers

Bank of New York 13 2 6 1 0 21 1 0 3

Deutsche Bank 2 1 0 0 4 7 0 0 0

CITI 2 0 0 0 0 0 3 0 0

US Bank 16 7 12 2 4 2 3 4 0

Wells Fargo 0 21 5 0 0 0 0 0 0

Total33 31 23

3 8 30 7 4 387

DTCC Public (White)

Agent Report Card

13

Agent Report CardDecember’s Breakdown of Operational Errors

Entity Initiating Revision Percentage of Total @ Deal Level Count @ Revision Level Percentage of Total @

Revision Level

Calculation Agent 28 47 54.02%

Paying Agent 23 33 37.93%

Third Parties (other than servicer/ calc. agent) 5 6 6.90%

Servicer 1 1 1.15%

Total 57 87 100.00%

DTCC Public (White)

Agent Report Card

14

Agent Report CardDecember’s AgingAnalysis

Agent

>365 >180 180-120 119-90 <90

# of Revisions

% of Agents Total

Revisions

# of Revisions

% of Agents Total

Revisions

# of Revisions

% of Agents Total

Revisions

# of Revisions

% of Agents Total

Revisions

# of Revisions

% of Agents Total

Revisions

Bank of New York 0 0.00% 5 8.33% 8 13.33% 0 0.00% 47 78.33%

Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 5 100.00%

Deutsche Bank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 14 100.00%

US Bank 1 1.16% 28 32.56% 7 8.14% 0 0.00% 50 58.14%

Wells Fargo 0 0.00% 0 0.00% 0 0.00% 3 10.34% 26 89.66%

Total 1 0.52 33 17.01% 15 7.73% 3 1.55% 142 73.20%

**DTC is only processing revisions that are <90 days

DTCC Public (White)

Monthly Sigma Versus TargetsConforming Structured Securities - Payable 15/25

Open rates at COB on P/D-1

4.775.11

4.93

4.40

4.00

3.50

3.00

2.50

4.504.19

6.00

5.50

5.00

Bank of N

ew YorkM

ellon

Citibank

Deutsche

US

Bank

Wells

Fargo

January Sigma January I ndustry Average4.43

January Sigma Target 3.76 Dec Sigma Target 3.8

DTCC Public (White)

Monthly Sigma Versus TargetsAll Structured Securities – Payable 15/25

4.58

Rates Received after 3:00pm on P/D

6.00 6.00

4.71

6.00

4.00

3.50

3.00

5.50

5.00

4.50

6.00

Bank of N

ew York

Mellon

Citibank

Deutsche

US

Bank

Wells

Fargo

January Sigma January Industry Average .00

January Sigma Target 4. 76 Dec Sigma Target 4.79999999999955

DTCC Public (White)

Monthly Sigma Versus TargetsAll Structured Securities – Amended Rates

As a percentage of Total Rates

4.254.50

4.224.60

4.85

4.00

3.50

3.00

4.50

6.00

5.50

5.00

Bank of N

ew York

Mellon

Citibank

Deutsche

US B

ank

Wells

Fargo

January Sigma January Industry Average .00

January Sigma Target 4. 17 Dec Sigma Target 4.20066981625568