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AGENT REPORT CARD
May 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.
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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
4
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
DTCC Non Confidential (White)
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
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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
DTCC Confidential (Yellow)
After 3:00 p.m. EST on payable date and subsequent days As a percentage of an agent’s total Rates
4.34 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
Deviation From theIndustry Sigma
DTCC Non Confidential (White)
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
6
DTCC Confidential (Yellow)
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
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
0.90 1.46
1.58 1.73
2.81
Industry σ: 1.21
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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
DTCC Confidential (Yellow)
After 3:00 p.m. EST on payable date and subsequent days As a percentage of an agent’s total Rates
2.67 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
Deviation From theIndustry Sigma
DTCC Non Confidential (White)
2.67 3.17
3.19 3.30 6.00
Industry σ: 3.17
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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
DTCC Confidential (Yellow)
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
DTCC Non Confidential (White)
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
DTCC Non Confidential (White)
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
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Agent Report Card
10
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
11
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
12
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
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Agent Report Card
13
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
14
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
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Monthly Sigma Versus Targets Conforming Structured Securities - Payable 15/25
15
DTCC Non Confidential (White)
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
16
DTCC Non Confidential (White)
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
May Sigma Target 4.78 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
4.18
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
May Sigma Target 4.18 Dec Sigma Target 4.20066981625568