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© DTCC
AGENT REPORT CARD
March 2015
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/DBank of NewYork Mellon 5 4 5 5
Citibank 1 1 1 1
Deutsche Bank 2 2 4 3
US Bank 3 3 2 2
Wells Fargo 4 5 3 4
(Best three in each category highlighted in green)Rankings based on a percentage of an agent's total rates
Agent Report Card
© DTCC
5.11%1.22% 0.21% 0.04% 0.03%
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 Rates CMO/ABS Payable on the 15th and 25th
4
DTCC Confidential (Yellow)
3.13 3.75 4.36 4.87 4.96
1,099 403 35 5 1
71.22% 26.12% 2.27% 0.32% 0.06%
-0.47 0.14 0.75 1.26 1.35
Sigma Level
Number of Late Rate
As a Percentage of TotalLate Rates From All Agents
Deviation From theIndustry Sigma
DTCC Non Confidential (White)
Rates open at COB on P/D –1 As a percentage of an agent’s total rates
3.13 3.75 4.36 4.87 4.96
Industry σ: 3.61
© DTCC
0.39%
0.15%0.10%
0.04%0.00%
0.00%0.05%0.10%0.15%0.20%0.25%0.30%0.35%0.40%0.45%
Wells
Fargo
Bank ofNew
YorkM
ellon
US Bank
Deutsche
Citibank
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
4.16 4.46 4.60 4.87 6.00
127 33 16 5 0
70.17% 18.23% 8.84% 2.76% 0.00%
-0.20 0.09 0.23 0.50 1.63
Sigma Level
Number of Late Rate
As a Percentage of Total LateRates From All Agents
Deviation From theIndustry Sigma
DTCC Non Confidential (White)
4.16 4.46 4.60
4.87 6.00
Industry σ: 4.37
© DTCC
3.57% 2.00%0.00%5.00%
10.00%15.00%20.00%25.00%30.00%35.00%40.00%
Deutsche
Bank of NewYork M
ellon
Wells Fargo
US Bank
Citibank
Conforming Late Rates CMO/ABS All Payable Date excluding the 15th and 25th
6
DTCC Confidential (Yellow)
1.36 1.41 1.55 3.30 3.55
500 534 2,395 214 2
13.72% 14.65% 65.71% 5.87% 0.05%
-0.72 -0.67 -0.53 1.22 1.47Deviation From the
Industry Sigma
Sigma Level
Number of Late Rate
As a Percentage of TotalLate 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
1.36 1.41 1.55 3.30 3.55
Industry σ: 2.08
© DTCC
15.67%
6.20% 5.64%
0.53% 0.00%0.00%2.00%4.00%6.00%8.00%
10.00%12.00%14.00%16.00%18.00%
Deutsche
Bank of
New
York
Mellon
Wells
Fargo
US
Bank
Citiban
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
2.51 3.04 3.09 4.05 6.00
141 62 282 32 0
27.27% 11.99% 54.55% 6.19% 0.00%
-0.75 -0.22 -0.17 0.80 2.75
Sigma Level
Number of Late Rate
As a Percentage of Total LateRates From All Agents
Deviation From theIndustry Sigma
DTCC Non Confidential (White)
2.51 3.04 3.09 4.05 6.00
Industry σ: 3.25
© DTCC
0.38%
0.32%
0.19%
0.13%
0.05%
0.00%0.05%0.10%0.15%0.20%0.25%0.30%0.35%0.40%
Bank of NewYork M
ellon
Deutsche
Wells Fargo
US Bank
Citibank
All Amended Rates CMO/ABS
8
DTCC Confidential (Yellow)
As a percentage of an agent’s total rates
4.17 4.22 4.40 4.51 4.76
82 43 62 21 2
39.05% 20.48% 29.52% 10.00% 0.95%
-0.15 -0.10 0.08 0.19 0.44
As a Percentage of TotalAmended Rates From All Agents
Deviation From
Sigma Level
Number of Amended Rates
DTCC Non Confidential (White)
4.17 4.22
4.40 4.51
4.76
Industry σ: 4.32DTCC σ: 0.70
© DTCC
70.73%
53.23% 51.16%
19.05%
0.00%0.00%
10.00%20.00%30.00%40.00%50.00%60.00%70.00%80.00%
Bank of NewYork M
ellon
Wells Fargo
Deutsche
US Bank
Citibank
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)
58 33 22 4 0
49.57% 28.21% 18.80% 3.42% 0.00%
Number of AmendedRates 30 Days +
As a Percentage of TotalAmended Rates From All Agents
© DTCC
Agent Report Card
10
Agent Report Card March 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 16 18 29 41 7 111 33.64% 22,526 0.49%
Wells Fargo 4 68 2 13 0 87 26.36% 27,941 0.31%
U.S. Bank 72 18 16 0 1 107 32.42% 22,292 0.48%
Citi 3 0 0 0 0 3 0.91% 3,754 0.08%
Deutsche Bank 8 14 0 0 0 22 6.67% 14,168 0.16%
Total 103 118 47 54 8 330 100.00% 90,681 0.36%
© DTCC
Agent Report Card
11
Agent Report Card March’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 8 68 41.21%
GSFIR (A Subsidiary of US Bank) Calculation Agent 1 16 9.70%
Deutsche Bank Calculation Agent 2 14 8.48%
Nation Star Servicer 1 28 16.97%
Other 23 39 23.64%
Total 35 165 100.00%
© DTCC
Agent Report Card
12
Agent Report Card March’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
As Paying Agent
As Calc. Agent
Other Calc. Agents and Servicers
Bank of New York 6 8 4 50 38 3 1 1
Deutsche Bank 3 2 0 0 17 0 0 0
CITI 0 0 0 0 3 0 0 0
US Bank 72 17 3 0 13 2 0 0
Wells Fargo 4 63 15 2 3 0 0 0
Total 85 90 22
52 74 5 1 1 197
© DTCC
Agent Report Card
13
Agent Report Card March’s Breakdown of Operational Errors
Entity Initiating Revision Percentage of Total @ Deal Level Count @ Revision Level Percentage of Total @
Revision Level
Calculation Agent 28.33% 94 47.72%
Paying Agent 48.33% 85 43.15%
Third Parties (other than servicer/ calc. agent) 18.33% 13 6.60%
Servicer 3.33% 4 2.03%
Resecuritizations / CDOs - error in the underlying deal 1.67% 1 0.51%
Total 100.00% 197 100.00%
© DTCC
Agent Report Card
14
Agent Report Card March’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% 9 7.20% 5 4.00$ 111 88.80%
Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 3 100.00%
Deutsche Bank 0 0.00% 1 4.35% 0 0.00% 0 0.00% 22 95.65%
US Bank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 107 100.00%
Wells Fargo 0 0.00% 5 5.26% 1 1.05% 2 2.11% 87 91.58%
Total 0 0.00% 6 1.70% 10 2.83% 7 1.98% 330 94.48%
**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
3.13
4.96 4.87
4.36
3.75
2.50
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
March Sigma March Industry Average 3.61
March Sigma Target 3.76 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
4.46
6.00
4.874.60
4.16
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
March Sigma March Industry Average .00
March Sigma Target 4.76 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
4.76
4.224.51 4.40
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
March Sigma March Industry Average .00
March Sigma Target 4.17 Dec Sigma Target 4.20066981625568
