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© DTCC
AGENT REPORT CARD
September 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 4
Citibank 1 1 1 1
Deutsche Bank 2 1 3 3
US Bank 4 4 4 5
Wells Fargo 3 3 2 2
(Best three in each category highlighted in green)
Rankings based on a percentage of an agent's total rates
Agent Report Card
© DTCC
1.92% 0.51% 0.31% 0.07% 0.00%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
Ba
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US
Ban
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De
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Citib
an
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Conforming Late Rates CMO/ABS Payable on the 15th and 25th
4
DTCC Confidential (Yellow)
3.57 4.07 4.23 4.69 6.00
409 84 88 9 0
69.32% 14.24% 14.92% 1.53% 0.00%
-0.38 0.12 0.28 0.74 2.05
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)
Rates open at COB on P/D –1
As a percentage of an agent’s total rates
3.57 4.07 4.23 4.69 6.00
Industry σ: 3.95
© DTCC
0.28%
0.04%0.03%
0.00% 0.00%0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
Ba
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Mello
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US
Ban
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We
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De
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Citib
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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
4.27 4.84 4.94 6.00 6.00
59 7 8 0 0
79.73% 9.46% 10.81% 0.00% 0.00%
-0.35 0.21 0.32 1.38 1.38
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)
4.27
4.84 4.94 6.00 6.00
Industry σ: 4.62
© DTCC
58.67% 40.55% 37.74% 15.91% 12.90%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
We
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o
Ba
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Yo
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De
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US
Ban
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Citib
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Conforming Late Rates CMO/ABS All Payable Date excluding the 15th and
25th
6
DTCC Confidential (Yellow)
1.28 1.74 1.81 2.50 2.63
1,401 395 257 137 4
63.86% 18.00% 11.71% 6.24% 0.18%
-0.36 0.10 0.17 0.86 0.99Deviation 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
1.28 1.74
1.81 2.50 2.63
Industry σ: 1.64
© DTCC
16.43%
6.61%
4.41%
2.18%
0.00%0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
16.00%
18.00%
Ba
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of
Ne
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ork
Mello
n
De
uts
ch
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US
Ban
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We
llsF
arg
o
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
2.48 3.01 3.20 3.52 6.00
160 45 38 52 0
54.24% 15.25% 12.88% 17.63% 0.00%
-0.58 -0.05 0.15 0.46 2.94
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)
2.48 3.01
3.20
3.52 6.00
Industry σ: 3.06
© DTCC
0.38% 0.38%
0.20%
0.07%
0.02%
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%
0.40%
Ba
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US
Ban
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De
uts
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We
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arg
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Citib
an
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All Amended Rates CMO/ABS
8
DTCC Confidential (Yellow)
As a percentage of an agent’s total rates
4.17 4.17 4.38 4.70 4.98
81 62 25 19 1
43.09% 32.98% 13.30% 10.11% 0.53%
-0.17 -0.16 0.04 0.37 0.65
As a Percentage of Total
Amended Rates From All Agents
Deviation From
Sigma Level
Number of Amended Rates
DTCC Non Confidential (White)
4.17
4.17 4.38 4.70
4.98
Industry σ: 4.34
DTCC σ: -1.58
© DTCC
95.16%
81.48%
28.00% 26.32%
0.00%0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
100.00%
US
Ban
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Ba
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De
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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)
59 66 7 5 0
43.07% 48.18% 5.11% 3.65% 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
September 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 20 25 4 0 2 51 26.29% 22,283 0.23%
Wells Fargo 0 22 6 4 0 32 16.49% 30,359 0.11%
U.S. Bank
50 31 5 1 0 87 44.85% 17,312 0.50%
Citi 1 0 0 0 0 1 0.52% 4,075 0.02%
Deutsche Bank
19 4 0 0 0 23 11.89% 13,162 0.17%
Total 90 82 15 5 2 194 100.00 87,191 0.22%
© DTCC
Agent Report Card
11
Agent Report Card
September’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
Wells Fargo Calculation Agent 5 22 22.68%
US Bank Calculation Agent 4 15 15.46%
Caliber Home Loans Calculation Agent 1 13 13.40%
Wells Fargo Servicer 4 6 6.19%
Other 18 41 42.27%
Total 32 97 100.00%
© DTCC
Agent Report Card
12
Agent Report Card
September’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
11 0 5 21 14 0 0 0 0
Deutsche Bank
14 1 0 0 5 3 0 0 0
CITI 1 0 0 0 0 0 0 0 0
US Bank 38 12 22 1 12 0 0 2 0
Wells Fargo 0 22 10 0 0 0 0 0 0
Total 64 35 37
22 31 3 0 2 0
136
© DTCC
Agent Report Card
13
Agent Report Card
September’s Breakdown of Operational Errors
Entity Initiating Revision Percentage of Total @ Deal
Level Count @ Revision Level
Percentage of Total @ Revision Level
Paying Agent 46.81% 64 47.06%
Calculation Agent 38.97% 14 29.79%
Servicer 10.29% 7 14.89%
Third Parties (other than servicer/ calc. agent)
3.68% 4 8.51%
Total 100.00% 47 100.00%
© DTCC
Agent Report Card
14
Agent Report Card
September’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
0 0.00% 16 17.58% 16 17.58% 8 8.79% 51 56.04%
Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 1 100.00$%
Deutsche Bank
0 0.00% 0 0.00% 0 0.00% 0 0.00% 23 100.00%
US Bank 0 0.00% 0 0.00% 0 0.00% 12 12.12% 87 87.88%
Wells Fargo
0 0.00% 0 0.00% 0 0.00% 2 5.88% 32 94.12%
Total 0 0.00% 16 6.45% 16 6.45% 22 8.87% 194 78.23%
**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
3.57
6.00
4.69
4.074.23
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
September Sigma
September Industry Average 3.95
September 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
4.27
6.00 6.00
4.844.94
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Ban
k o
f New
Yo
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ello
n
Citib
an
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Deu
tsc
he
US
Ban
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Wells
Farg
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September Sigma
September Industry Average .00
September 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
4.17
4.98
4.384.17
4.70
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
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Deu
tsc
he
US
Ban
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Wells
Farg
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September Sigma
September Industry Average .00
September Sigma Target 4.1921171530104
Dec Sigma Target 4.20066981625568