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© DTCC
AGENT REPORT CARD
September 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/D
Bank of New
York Mellon5 4 5 5
Citibank 3 1 1 1
Deutsche Bank 1 1 3 2
US Bank 2 3 4 4
Wells Fargo 4 5 2 3
(Best three in each category highlighted in green)
Rankings based on a percentage of an agent's total rates
Agent Report Card
© DTCC
3.25% 2.42% 1.14% 0.96% 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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of N
ew
Yo
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ello
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We
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arg
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Citib
an
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US
Ban
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De
uts
ch
e
Conforming Late Rates CMO/ABS Payable on the 15th and 25th
4
DTCC Confidential (Yellow)
3.35 3.47 3.78 3.84 6.00
719 804 44 157 0
41.71% 46.64% 2.55% 9.11% 0.00%
-0.22 -0.09 0.21 0.28 2.43
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
3.35 3.47 3.78 3.84 6.00
Industry σ: 3.57
© DTCC
0.40%
0.23%
0.06%
0.00% 0.00%0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%
0.40%
0.45%
We
llsF
arg
o
Ba
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of
Ne
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ork
Mello
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US
Ban
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De
uts
ch
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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
4.15 4.33 4.73 6.00 6.00
132 51 10 0 0
68.39% 26.42% 5.18% 0.00% 0.00%
-0.20 -0.02 0.38 1.65 1.65
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)
4.15
4.33 4.73 6.00 6.00
Industry σ: 4.35
© DTCC
36.66%
2.36%0.57%
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
We
lls F
arg
o
Ba
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ew
Yo
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ello
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US
Ban
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Citib
an
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De
uts
ch
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Conforming Late Rates CMO/ABS All Payable Date excluding the 15th and
25th
6
DTCC Confidential (Yellow)
1.06 1.25 1.84 3.49 4.03
5,108 817 408 9 3
80.50% 12.88% 6.43% 0.14% 0.05%
-0.25 -0.05 0.53 2.18 2.72Deviation 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
1.06 1.25 1.84 3.49 4.03
Industry σ: 1.31
© DTCC
15.52%
10.95%
6.21%
1.26%0.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
16.00%
18.00%
De
uts
ch
e
We
llsF
arg
o
Ba
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of
Ne
w Y
ork
Mello
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US
Ban
k
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
2.51 2.73 3.04 3.74 6.00
81 836 85 14 0
7.97% 82.28% 8.37% 1.38% 0.00%
-0.31 -0.10 0.21 0.91 3.17
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)
2.51 2.73 3.04 3.74 6.00
Industry σ: 2.83
© DTCC
1.37%
0.32%
0.17%0.04% 0.00%
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
1.40%
1.60%
Ba
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of N
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Yo
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US
Ban
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De
uts
ch
e
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
3.70 4.22 4.42 4.86 6.00
304 53 23 13 0
77.35% 13.49% 5.85% 3.31% 0.00%
-0.41 0.11 0.30 0.74 1.88
As a Percentage of Total
Amended Rates From All Agents
Deviation From
Sigma Level
Number of Amended Rates
DTCC Non Confidential (White)
3.70
4.22 4.42 4.86 6.00
Industry σ: 4.12
#NUM!
© DTCC
89.47%83.02%
30.77%
13.04%
0.00%0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
100.00%
Ba
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Yo
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US
Ban
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We
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De
utsc
he
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)
272 44 4 3 0
84.21% 13.62% 1.24% 0.93% 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 30 32 0 0 0 62 36.69% 23,513 0.26%
Wells Fargo 5 10 13 4 0 32 18.93% 40,912 0.08%
U.S. Bank
23 29 11 4 0 67 39.64% 17,535 0.38%
Citi 0 0 0 0 0 0 0.00% 4,233 0.00%
Deutsche Bank
8 0 0 0 0 8 4.73% 13,729 0.06%
Total 66 71 24 8 0 169 100% 99,922 0.17%
© 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
BNY Mellon Calculation Agent 6 31 32.63%
US Bank Calculation Agent 5 27 28.42%
Wells Fargo Calculation Agent 5 10 10.53%
Key Bank Servicer 3 17 17.89%
Other 5 10 10.53%
Total 24 95 100.00%
© 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
trust level
As Paying Agent
As Calc. Agent
Other Calc. Agents and
Servicers
Bank of New York 23 17 1 17 2 2 0
Deutsche Bank 3 0 0 0 4 0 1
CITI 0 0 0 0 0 0 0
US Bank 18 25 14 0 7 0 3
Wells Fargo 4 10 17 0 1 0 0
Total 48 52 32
17 14 2 4
132
© 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
Calculation Agent 32.56% 55 41.67%
Paying Agent 48.84% 48 36.36%
Servicer 11.63% 24 18.18%
Third Parties (other than servicer/ calc. agent)
6.98% 5 3.79%
Total 100.00% 132 100.00%
© 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
152 39.75% 25 9.73% 14 5.45% 4 1.56% 62 24.12%
Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 0 0.00%
Deutsche Bank
7 38.89% 2 11.11% 1 5.56% 0 0.00% 8 44.44%
US Bank 0 0.00% 5 5.38% 14 15.05% 7 7.53$ 67 72.04%
Wells Fargo
0 0.00% 0 0.00% 0 0.00% 0 0.00% 32 100%
Total 159 39.75% 32 8.00% 29 7.25% 11 2.75% 169 42.25%
**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
3.35
3.78
6.00
3.84
3.47
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
July Sigma July Industry Average 3.57
July Sigma Target 3.78 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
4.33
6.00 6.00
4.73
4.15
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
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Citib
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Deu
tsc
he
US
Ban
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Wells
Farg
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July Sigma July Industry Average .00
July Sigma Target 4.79 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
3.70
6.00
4.424.22
4.86
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
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US
Ban
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Wells
Farg
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July Sigma July Industry Average .00
July Sigma Target 4.19 Dec Sigma Target 4.20066981625568
