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AGENT REPORT CARD

January 2018

DTCC Public (White)

© DTCCDTCC Public (White)

Agent Report Card

2

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 andtherefore post payable date adjustments to DTC’s participants.

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.

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65.37% 64.78% 52.37% 15.49% 4.00%0.00%5.00%

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

Bank of NewYork M

ellon

Wells Fargo

US Bank

Deutsche

Citibank

Conforming Late RatesCMO/ABS All Payable Date excluding the 15th and 25th

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DTCC Confidential (Yellow)

1.10 1.12 1.44 2.52 3.25

855 1,455 1,269 57 16

23.41% 39.84% 34.75% 1.56% 0.44%

-0.29 -0.28 0.04 1.12 1.85

Sigma Level

Number of Late Rate

As a Percentage of TotalLate Rates From All Agents

Deviation From theIndustry Sigma

DTCC Public (White)

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

1.10 1.12 1.44 2.52 3.25

Industry σ: 1.40

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20.18%

2.68% 1.65%0.00% 0.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

Bank of

New

York

Mellon

US

Bank

Wells

Fargo

Deutsche

Citiban

k

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

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DTCC Confidential (Yellow)

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

2.34 3.43 3.63 6.00 6.00

264 65 37 0 0

72.13% 17.76% 10.11% 0.00% 0.00%

-0.77 0.32 0.53 2.90 2.90

Sigma Level

Number of Late Rate

As a Percentage of Total LateRates From All Agents

Deviation From theIndustry Sigma

DTCC Public (White)

2.343.43 3.63 6.00 6.00

Industry σ: 3.10

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0.00% 0.00% 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%

100.00%

US Bank

Wells Fargo

Bank of New York

Mellon

Deutsche

Citibank

All Amended RatesCMO/ABS

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DTCC Confidential (Yellow)

As a percentage of an agent’s total rates

6.00 6.00 6.00 6.00 6.00

0 0 0 0 0

#DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

0.00 0.00 0.00 0.00 0.00

As a Percentage of TotalAmended Rates From All Agents

Deviation From

Sigma Level

Number of Amended Rates

DTCC Public (White)

6.006.00

6.00

6.00 6.00

Industry σ: 6.00#NUM!

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0.00% 0.00% 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%

100.00%

Citibank

Wells Fargo

US Bank

Bank of NewYork M

ellon

Deutsche

All Amended RatesCMO/ABS

6

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

DTCC Public (White)

0 0 0 0 0

#DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!

Number of AmendedRates 30 Days +

As a Percentage of TotalAmended Rates From All Agents

© DTCCDTCC Public (White)

Agent Report Card

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Agent Report CardJanuary’s 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 15 18 2 11 0 46 0.22% 21,104 21.60%

Wells Fargo 0 5 2 5 0 12 0.04% 34,102 5.63%

U.S. Bank 113 0 6 0 0 119 0.58% 20,478 55.87%

Citi 14 1 0 0 0 15 0.27% 5,481 7.04%

Deutsche Bank 12 0 0 9 0 21 0.17% 12,553 9.86%

Total 154 24 10 25 0 213 0.23% 93,718 100.00%

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Agent Report Card

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Agent Report CardJanuary’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

BNY Mellon Calculation Agent 5 14 41.18%

Wells Fargo Calculation Agent 2 5 14.71%

Ballantyne Re PLC Servicer 2 2 5.88%

Wells Fargo Servicer 2 2 5.88%

Other 9 11 32.35%

Total 20 34 100.00

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Agent Report Card

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Agent Report CardJanuary’s Root Cause Breakdown

Agent

Operational Error

Modification of Underlying

AssetOther

Late Payments on

AssetsUndetermined

Document ambiguity

at trustlevel

Document ambiguity at

loan level

As Paying Agent

As Calc. Agent

Other Calc. Agents and

Servicers

Bank of New York 4 10 12 2 16 2 0 0 0

DeutscheBank 0 0 0 0 19 2 0 0 0

CITI 4 1 0 8 2 0 0 0 0

US Bank 105 0 4 0 10 0 0 0 0

Wells Fargo 0 5 7 0 0 0 0 0 0

Total113 16 23

10 4 0 0 0152

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Agent Report Card

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Agent Report CardJanuary’s Breakdown of Operational Errors

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

Level

Paying Agent 24 113 74.34%

Calculation Agent 7 17 11.18%

Third Parties (other than servicer / calculation agent) 4 16 10.53%

Servicer 5 6 3.95%

Total 57 131 100.00%

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Agent Report Card

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Agent Report CardJanuary’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% 0 0.00% 0 0.00% 0 0.00% 46 100%

Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 15 100%

Deutsche Bank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 21 100%

US Bank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 119 100%

Wells Fargo 0 0.00% 0 0.00% 0 0.00% 0 0.00% 12 100%

Total 0 0.00% 0 0.00% 0 0.00% 0 0.00% 213 100%

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

© DTCC

Monthly Sigma Versus TargetsConforming Structured Securities - Payable 15/25

12

DTCC Public (White)

Open rates at COB on P/D-1

3.25

2.522.50

3.00

3.50

4.00

4.50

5.00

5.50

6.00

Bank of N

ew York M

ellon

Citibank

Deutsche

US Bank

Wells Fargo

January Sigma January Industry Average 1.40

January Sigma Target 3.76 Dec Sigma Target 3.8

© DTCC

Monthly Sigma Versus TargetsAll Structured Securities – Payable 15/25

13

DTCC Public (White)

Rates Received after 3:00pm on P/D

6.00 6.00

3.433.63

3.00

3.50

4.00

4.50

5.00

5.50

6.00

Bank of N

ew Y

ork Mellon

Citibank

Deutsche

US

Bank

Wells Fargo

January Sigma January Industry Average .00

January Sigma Target 4.76 Dec Sigma Target 4.79999999999955

© DTCC

Monthly Sigma Versus TargetsAll Structured Securities – Amended Rates

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DTCC Public (White)

As a percentage of Total Rates

6.00 6.00 6.00 6.00 6.00

3.00

3.50

4.00

4.50

5.00

5.50

6.00

Bank of N

ew Y

orkM

ellon

Citibank

Deutsche

US

Bank

Wells Fargo

January Sigma January Industry Average .00

January Sigma Target 4.17 Dec Sigma Target 4.20066981625568