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© DTCC
AGENT REPORT CARD
August 2016
DTCC Non Confidential (White)
© DTCC
Agent Report Card
2
DTCC Non Confidential (White)
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
Agent Report Card - Rankings
3
DTCC Non Confidential (White)
Rates Open at COB
P/D - 1
Late Rates after 3:00
pm Cut-off on P/D
Amended
Announcements
Amended
Announcements 30
Days + after P/D
Bank of New
York Mellon5 5 5 5
Citibank 1 1 1 1
Deutsche Bank 2 1 4 1
US Bank 4 3 4 4
Wells Fargo 3 4 2 1
(Best three in each category highlighted in green)
Rankings based on a percentage of an agent's total rates
Agent Report Card
© DTCC
1.69% 1.25% 1.17% 0.32% 0.00%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
Ba
nk
of N
ew
Yo
rk M
ello
n
US
Ban
k
We
lls F
arg
o
De
uts
ch
e
Citib
an
k
Conforming Late Rates CMO/ABS Payable on the 15th and 25th
4
DTCC Confidential (Yellow)
3.62 3.74 3.77 4.22 6.00
364 206 385 41 0
36.55% 20.68% 38.65% 4.12% 0.00%
-0.16 -0.04 -0.01 0.44 2.22Deviation From the
Industry Sigma
Sigma Level
Number of Late Rate
As a Percentage of Total
Late Rates From All Agents
DTCC Non Confidential (White)
Rates open at COB on P/D –1
As a percentage of an agent’s total rates
3.62 3.74 3.77 4.22 6.00
Industry σ: 3.78
© DTCC
0.48%
0.29%
0.05%0.00% 0.00%
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
Ba
nk
of
Ne
w Y
ork
Mello
n
We
llsF
arg
o
US
Ban
k
De
uts
ch
e
Citib
an
k
All Late Rates CMO/ABS Payable on the 15th and the 25th
5
DTCC Confidential (Yellow)
After 3:00 p.m. EST on payable date and subsequent days
As a percentage of an agent’s total Rates
4.09 4.26 4.77 6.00 6.00
104 96 9 0 0
49.76% 45.93% 4.31% 0.00% 0.00%
-0.24 -0.07 0.44 1.68 1.68
Sigma Level
Number of Late Rate
As a Percentage of Total Late
Rates From All Agents
Deviation From the
Industry Sigma
DTCC Non Confidential (White)
4.09
4.26 4.77
6.00 6.00
Industry σ: 4.32
© DTCC
39.05%
0.00%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
We
lls F
arg
o
De
uts
ch
e
Ba
nk
of N
ew
Yo
rk M
ello
n
US
Ban
k
Citib
an
k
Conforming Late Rates CMO/ABS All Payable Date excluding the 15th and
25th
6
DTCC Confidential (Yellow)
0.71 0.96 1.48 1.78 6.00
3,585 279 465 412 0
75.62% 5.88% 9.81% 8.69% 0.00%
-0.34 -0.10 0.43 0.73 4.95Deviation From the
Industry Sigma
Sigma Level
Number of Late Rate
As a Percentage of Total
Late Rates From All Agents
DTCC Non Confidential (White)
Rates open at COB on P/D –1
As a percentage of an agent’s total rates
0.71 0.96
1.48 1.78 6.00
Industry σ: 1.05
© DTCC
12.25%
5.21%
2.65%
1.01%0.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
Ba
nk
of
Ne
w Y
ork
Mello
n
US
Ban
k
We
llsF
arg
o
De
uts
ch
e
Citib
an
k
All Late Rates CMO/ABS Excluding Payable on the 15th and the
25th
7
DTCC Confidential (Yellow)
After 3:00 p.m. EST on payable date and subsequent days
As a percentage of an agent’s total Rates
2.66 3.12 3.44 3.82 6.00
112 55 121 4 0
38.36% 18.84% 41.44% 1.37% 0.00%
-0.57 -0.11 0.20 0.59 2.77
Sigma Level
Number of Late Rate
As a Percentage of Total Late
Rates From All Agents
Deviation From the
Industry Sigma
DTCC Non Confidential (White)
2.66 3.12
3.44
3.82 6.00
Industry σ: 3.23
© DTCC
0.26%
0.05%0.02%
0.01%0.00%
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
Ba
nk
of N
ew
Yo
rk M
ello
n
De
uts
ch
e
US
Ban
k
We
lls F
arg
o
Citib
an
k
All Amended Rates CMO/ABS
8
DTCC Confidential (Yellow)
As a percentage of an agent’s total rates
4.30 4.81 4.99 5.17 6.00
55 6 4 4 0
79.71% 8.70% 5.80% 5.80% 0.00%
-0.36 0.14 0.33 0.51 1.34
Sigma Level
Number of Amended Rates
As a Percentage of Total
Amended Rates From All Agents
Deviation From
DTCC Non Confidential (White)
4.30
4.81
4.99 5.17 6.00
Industry σ: 4.66
#NUM!
© DTCC
76.36%
50.00%
0.00% 0.00% 0.00%0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
Ba
nk
of N
ew
Yo
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ellon
US
Ban
k
De
utsc
he
We
lls Farg
o
Citib
ank
All Amended Rates CMO/ABS
9
30 days+ after payable date
As a percentage of an agent’s total amended rates
DTCC Non Confidential (White)
42 2 0 0 0
95.45% 4.55% 0.00% 0.00% 0.00%
Number of Amended
Rates 30 Days +
As a Percentage of Total
Amended Rates From All Agents
© DTCC
Agent Report Card
10
Agent Report Card
August Entity Responsible
’s Responsible Entity for Initiating Revisions Agent
Paying Agent
Calculation Agent
Servicer Third
Parties Re-
Securitization Total
Percentage of Total
Total Allocation
Volume
Revision Percentage
Rate
BNY Mellon 15 21 0 2 0 38 20.99% 22,412 0.17%
Wells Fargo 4 23 7 1 0 35 19.34% 37,484 0.09%
U.S. Bank
36 16 10 0 0 62 34.25% 17,596 0.35%
Citi 1 0 2 0 0 3 1.66% 4,166 0.07%
Deutsche Bank
5 33 5 0 0 43 23.76% 13,055 0.33%
Total 61 93 24 3 0 181 100.00% 94,713 1.02%
© DTCC
Agent Report Card
11
Agent Report Card
August’s Breakdown of Top Calculation Agents and Servicers
Responsible for Revisions
Calculation Agent/Servicer Calculation Agent
or Servicer
Count @
Deal Level
Count @
Revision Level
Percentage of
Total @
Revision Level
Deutsche Bank Calculation Agent 10 33 28.21%
Wells Fargo Calculation Agent 9 23 19.66%
BNY Mellon Calculation Agent 9 20 17.09%
US Bank Calculation Agent 4 10 8.55%
Wells Fargo Servicer 3 6 5.13%
Other 12 25 21.37%
Total 47 117 100.00%
© DTCC
Agent Report Card
12
Agent Report Card
August’s Root Cause Breakdown
Agent
Operational Error
Modification of Underlying
Asset Other
Late Payments on
Assets
Document ambiguity at
loan level
Document ambiguity at
trust level
Undetermined
As Paying Agent
As Calc. Agent
Other Calc.
Agents and
Servicers
Bank of New York
8 7 3 10 4 4 0 0 2
Deutsche Bank
5 16 0 2 9 11 0 0 0
CITI 1 0 0 0 0 0 0 0 2
US Bank 23 7 14 3 14 0 1 0 0
Wells Fargo 4 19 6 0 0 2 2 2 0
Total 41 49 23
15 27 17 3 2 4
113
© DTCC
Agent Report Card
13
Agent Report Card
August’s Breakdown of Operational Errors
Entity Initiating Revision Percentage of Total @ Deal
Level Count @ Revision Level
Percentage of Total @ Revision Level
Paying Agent 39.62% 41 36.28%
Calculation Agent 43.40% 56 49.56%
Servicer 13.21% 13 11.50%
Third Parties (other than servicer/ calc. agent)
3.77% 3 2.65%
Total 100.00% 113 100.00%
© DTCC
Agent Report Card
14
Agent Report Card
August’s Aging Analysis
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
9 13.64% 12 18.18% 4 6.06% 3 4.55% 38 57.58%
Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 100 100.00%
Deutsche Bank
0 0.00% 0 0.00% 0 0.00% 0 0.00% 100 100.00%
US Bank 0 0.00% 6 8.45% 3 4.23% 0 0.00% 62 87.32%
Wells Fargo
0 0.00% 0 0.00% 0 0.00% 0 0.00% 100 100.00%
Total 9 4.13% 18 8.26% 7 3.21% 3 1.38% 181 83.03%
**DTC is only processing revisions that are <90 days
© DTCC
Monthly Sigma Versus Targets Conforming Structured Securities - Payable 15/25
15
DTCC Non Confidential (White)
Open rates at COB on P/D-1
3.62
6.00
4.22
3.74 3.77
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Bank o
f New
Yo
rk M
ellon
Citib
ank
Deuts
che
US
Ban
k
Wells
Farg
o
August Sigma August Industry Average 3.78
August Sigma Target 3.78114276952695 Dec Sigma Target 3.8
© DTCC
Monthly Sigma Versus Targets All Structured Securities – Payable 15/25
16
DTCC Non Confidential (White)
Rates Received after 3:00pm on P/D
4.09
6.00 6.00
4.77
4.26
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Ban
k o
f New
Yo
rk M
ello
n
Citib
an
k
Deu
tsc
he
US
Ban
k
Wells
Farg
o
August Sigma August Industry Average .00
August Sigma Target 4.79052673149166 Dec Sigma Target 4.79999999999955
© DTCC
Monthly Sigma Versus Targets All Structured Securities – Amended Rates
17
DTCC Non Confidential (White)
As a percentage of Total Rates
4.30
6.00
4.814.99
5.17
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Ban
k o
f New
Yo
rk
Me
llon
Citib
an
k
Deu
tsc
he
US
Ban
k
Wells
Farg
o
August Sigma August Industry Average .00
August Sigma Target 4.1921171530104 Dec Sigma Target 4.20066981625568
