AGENT REPORT CARD - DTCC · Agent Report Card . 10 . Agent Report Card . May Entity Responsible ’s Responsible Entity for Initiating Revisions . Agent . Paying Agent : Calculation

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AGENT REPORT CARD

May 2016

DTCC Non Confidential (White)

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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 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.

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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 2 5 4

Citibank 4 5 1 5

Deutsche Bank 1 1 2 1

US Bank 2 4 3 3

Wells Fargo 3 3 4 2

(Best three in each category highlighted in green)Rankings based on a percentage of an agent's total rates

Agent Report Card

© DTCC

2.39% 1.66% 1.12% 0.38% 0.00%0.00%5.00%

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

Bank of NewYork M

ellon

Citibank

Wells Fargo

US Bank

Deutsche

Conforming Late Rates CMO/ABS Payable on the 15th and 25th

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DTCC Confidential (Yellow)

3.48 3.63 3.78 4.17 6.00

512 66 372 62 0

50.59% 6.52% 36.76% 6.13% 0.00%

-0.29 -0.14 0.01 0.40 2.23

Sigma Level

Number of Late Rate

As a Percentage of TotalLate Rates From All Agents

Deviation From theIndustry Sigma


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

3.48 3.63 3.78 4.17 6.00

Industry σ: 3.77

© DTCC

0.23%

0.11% 0.10%

0.03%0.00%

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

Citibank

US Bank

Wells

Fargo

Bank ofNew

YorkM

ellon

Deutsche

All Late Rates CMO/ABS Payable on the 15th and the 25th

5


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

4.34 4.56 4.59 4.95 6.00

9 18 33 6 0

13.64% 27.27% 50.00% 9.09% 0.00%

-0.34 -0.11 -0.08 0.28 1.33

Sigma Level

Number of Late Rate

As a Percentage of Total LateRates From All Agents



4.34

4.56 4.59 4.95 6.00

Industry σ: 4.67

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9.52%

0.00%5.00%

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

Wells Fargo

Bank of NewYork M

ellon

Deutsche

US Bank

Citibank

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

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0.90 1.46 1.58 1.73 2.81

2,704 440 148 520 2

70.90% 11.54% 3.88% 13.63% 0.05%

-0.30 0.25 0.38 0.52 1.60

Sigma Level

Number of Late Rate

As a Percentage of TotalLate Rates From All Agents



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

0.90 1.46

1.58 1.73

2.81

Industry σ: 1.21

© DTCC

12.10%

4.76% 4.56%3.59%

0.00%0.00%2.00%4.00%6.00%8.00%

10.00%12.00%14.00%

Bank of

New

York

Mellon

Citiban

k

US

Bank

Wells

Fargo

Deutsche

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

7


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

2.67 3.17 3.19 3.30 6.00

103 1 58 134 0

34.80% 0.34% 19.59% 45.27% 0.00%

-0.50 0.00 0.02 0.13 2.83

Sigma Level

Number of Late Rate

As a Percentage of Total LateRates From All Agents



2.67 3.17

3.19 3.30 6.00

Industry σ: 3.17

© DTCC

0.37%

0.09% 0.08%0.03% 0.03%

0.00%0.05%0.10%0.15%0.20%0.25%0.30%0.35%0.40%

Bank of NewYork M

ellon

Wells Fargo

US Bank

Deutsche

Citibank

All Amended Rates CMO/ABS

8


As a percentage of an agent’s total rates

4.18 4.62 4.64 4.92 4.98

79 30 14 4 1

61.72% 23.44% 10.94% 3.13% 0.78%

-0.30 0.14 0.16 0.44 0.50

As a Percentage of TotalAmended Rates From All Agents

Deviation From

Sigma Level

Number of Amended Rates


4.18

4.62 4.64 4.92 4.98

Industry σ: 4.48#NUM!

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100.00%

63.29%

35.71%23.33%

0.00%0.00%

20.00%

40.00%

60.00%

80.00%

100.00%

120.00%

Citibank

Bank of NewYork M

ellon

US Bank

Wells Fargo

Deutsche

All Amended Rates CMO/ABS

9

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


1 50 5 7 0

1.59% 79.37% 7.94% 11.11% 0.00%

Number of AmendedRates 30 Days +

As a Percentage of TotalAmended Rates From All Agents

© DTCC

Agent Report Card

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Agent Report Card May 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 21 10 1 0 9 41 20.20% 22,279 0.18%

Wells Fargo 0 29 20 5 0 54 26.60% 37,058 0.15%

U.S. Bank 41 15 42 0 5 103 50.74% 17,751 0.58%

Citi 1 0 0 0 0 1 0.49% 3,999 0.03%

Deutsche Bank 0 3 0 1 0 4 1.97% 13,051 0.03%

Total 63 57 63 6 14 203 100.00% 94,138 0.22%

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Agent Report Card

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Agent Report Card May’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 11 29 24.17%

BNY Mellon Calculation Agent 7 12 10.00%

Fay Servicing Servicer 7 38 31.67%

Midland Servicer 1 13 10.83%

Other 19 28 23.33%

Total 45 120 100.00%

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Agent Report Card

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Agent Report Card May’s Root Cause Breakdown

Agent

Operational Error

Modification of Underlying

Asset Other Late Payments

on Assets

Document ambiguity at

trust level Undetermined As

Paying Agent

As Calc. Agent

Other Calc.

Agents and

Servicers

Bank of New York 3 3 3 29 0 1 1 1

Deutsche Bank 3 0 0 0 1 0 0 0

CITI 1 0 0 0 0 0 0 0

US Bank 23 2 11 12 55 0 0 0

Wells Fargo 0 28 20 0 0 6 0 0

Total 30 33 34

41 56 7 1 1 97

© DTCC

Agent Report Card

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Agent Report Card May’s Breakdown of Operational Errors

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

Revision Level

Calculation Agent 23 45 46.39%

Paying Agent 19 27 27.84%

Servicer 7 20 20.62%

Third Parties (other than servicer/ calc. agent) 4 5 5.15%

Total 53 97 100.00%

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Agent Report Card

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Agent Report Card May’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% 41 100.00%

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% 4 100.00%

US Bank 0 0.00% 7 5.19% 15 11.11% 10 7.41% 103 76.30%

Wells Fargo 0 0.00% 0 0.00% 0 0.00% 0 0.00% 54 100.00%

Total 0 0.00% 7 2.98% 15 6.38% 10 4.26% 203 86.38%

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

© DTCC

Monthly Sigma Versus Targets Conforming Structured Securities - Payable 15/25

15


Open rates at COB on P/D-1

3.483.63

6.00

4.17

3.78

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

May Sigma May Industry Average 3.77

May Sigma Target 3.77 Dec Sigma Target 3.8

© DTCC

Monthly Sigma Versus Targets All Structured Securities – Payable 15/25

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Rates Received after 3:00pm on P/D

4.95

4.34

6.00

4.56 4.59

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

May Sigma May Industry Average .00


© DTCC

Monthly Sigma Versus Targets All Structured Securities – Amended Rates

17


As a percentage of Total Rates

4.18

4.98 4.924.64 4.62

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

May Sigma May Industry Average .00


Documents

AGENT REPORT CARD - DTCC · Agent Report Card . 10 . Agent Report Card . May Entity Responsible ’s Responsible Entity for Initiating Revisions . Agent . Paying Agent : Calculation