17
© DTCC AGENT REPORT CARD July 2017 DTCC Non Confidential (White)
© DTCC
AGENT REPORT CARD
July 2017
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 1 1
Citibank 2 1 5 1
Deutsche Bank 1 1 3 3
US Bank 4 5 3 5
Wells Fargo 3 3 2 4
(Best three in each category highlighted in green)
Rankings based on a percentage of an agent's total rates
Agent Report Card
© DTCC
2.60% 1.88% 0.75% 0.25% 0.04%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
Ba
nk
of N
ew
Yo
rk M
ello
n
US
Ban
k
We
lls F
arg
o
Citib
an
k
De
uts
ch
e
Conforming Late Rates CMO/ABS Payable on the 15th and 25th
4
DTCC Confidential (Yellow)
3.44 3.58 3.93 4.31 4.85
540 340 238 12 5
47.58% 29.96% 20.97% 1.06% 0.44%
-0.28 -0.15 0.20 0.58 1.12
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
3.44 3.58 3.93 4.31 4.85
Industry σ: 3.73
© DTCC
0.63% 0.62%
0.37%
0.00% 0.00%0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
US
Ban
k
Ba
nk
of
Ne
w Y
ork
Mello
n
We
llsF
arg
o
Citib
an
k
De
uts
ch
e
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
4.00 4.00 4.18 6.00 6.00
113 128 117 0 0
31.56% 35.75% 32.68% 0.00% 0.00%
-0.15 -0.14 0.03 1.85 1.85
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)
4.00
4.00 4.18 6.00 6.00
Industry σ: 4.15
© DTCC
0.10%
0.06%0.06%
0.01%0.00%
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
0.12%
Citib
an
k
US
Ban
k
De
uts
ch
e
We
lls F
arg
o
Ba
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of N
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Yo
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ello
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All Amended Rates CMO/ABS
6
DTCC Confidential (Yellow)
As a percentage of an agent’s total rates
4.58 4.73 4.76 5.23 5.40
5 11 7 3 1
18.52% 40.74% 25.93% 11.11% 3.70%
-0.35 -0.19 -0.17 0.31 0.48
As a Percentage of Total
Amended Rates From All Agents
Deviation From
Sigma Level
Number of Amended Rates
DTCC Non Confidential (White)
4.58
4.73 4.76
5.23
5.40
Industry σ: 4.92
#NUM!
© DTCC
36.36%
33.33%
14.29%
0.00% 0.00%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
US
Ban
k
We
lls Farg
o
De
utsc
he
Ba
nk
of N
ew
Yo
rk M
ellon
Citib
ank
All Amended Rates CMO/ABS
7
30 days+ after payable date
As a percentage of an agent’s total amended rates
DTCC Non Confidential (White)
4 1 1 0 0
66.67% 16.67% 16.67% 0.00% 0.00%
Number of Amended
Rates 30 Days +
As a Percentage of Total
Amended Rates From All Agents
© DTCC
67.35% 59.20% 55.55% 33.59% 2.94%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
We
lls F
arg
o
De
uts
ch
e
Ba
nk
of N
ew
Yo
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ello
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US
Ban
k
Citib
an
k
Conforming Late Rates CMO/ABS All Payable Date excluding the 15th and
25th
8
DTCC Confidential (Yellow)
1.05 1.27 1.36 1.92 3.39
1,599 280 721 566 7
50.39% 8.82% 22.72% 17.84% 0.22%
-0.39 -0.18 -0.08 0.48 1.95
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
1.05 1.27 1.36 1.92 3.39
Industry σ: 1.44
© DTCC
23.73%21.35%
3.26%1.22%
0.00%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
Ba
nk
of
Ne
w Y
ork
Mello
n
De
uts
ch
e
US
Ban
k
We
llsF
arg
o
Citib
an
k
All Late Rates CMO/ABS Excluding Payable on the 15th and the
25th
9
DTCC Confidential (Yellow)
After 3:00 p.m. EST on payable date and subsequent days
As a percentage of an agent’s total Rates
2.22 2.29 3.34 3.75 6.00
308 101 55 29 0
62.47% 20.49% 11.16% 5.88% 0.00%
-0.68 -0.60 0.45 0.85 3.10
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)
2.22
2.29
3.34 3.75 6.00
Industry σ: 2.90
© DTCC
Monthly Sigma Versus Targets Conforming Structured Securities - Payable 15/25
10
DTCC Non Confidential (White)
Open rates at COB on P/D-1
3.44
4.31
4.85
3.58
3.93
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
Jul S igma Jul Indust ry Average 3.73 Jul S igma Target 3.78114276952695 Dec S igma Target 3.8
© DTCC
Monthly Sigma Versus Targets All Structured Securities – Payable 15/25
11
DTCC Non Confidential (White)
Rates Received after 3:00pm on P/D
4.00
6.00 6.00
4.004.18
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Ban
k o
f New
Yo
rk M
ello
n
Citib
an
k
Deu
tsc
he
US
Ban
k
Wells
Farg
o
Jul Sigma Jul Industry Average .00
Jul Sigma Target 4.79052673149166 Dec Sigma Target 4.79999999999955
© DTCC
Monthly Sigma Versus Targets All Structured Securities – Amended Rates
12
DTCC Non Confidential (White)
As a percentage of Total Rates
5.40
4.584.76 4.73
5.23
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
k
Deu
tsc
he
US
Ban
k
Wells
Farg
o
Jul Sigma Jul Industry Average .00
Jul Sigma Target 4.1921171530104 Dec Sigma Target 4.20066981625568
© DTCC
Agent Report Card
13
Agent Report Card
July’s 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 9 9 0 4 0 22 15.28% 22,080 0.10%
Wells Fargo 0 31 5 5 0 44 30.56% 33,985 0.13%
U.S. Bank
28 22 6 0 1 57 39.58% 19,739 0.29%
Citi 1 8 1 0 0 10 6.94% 5,056 0.20%
Deutsche Bank
5 0 0 0 6 11 7.64% 12,909 0.09%
Total 43 70 12 9 7 144 100.00% 93,769 0.80%
© DTCC
Agent Report Card
14
Agent Report Card
July’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 9 34 40.00%
BNY Mellon Calculation Agent 3 9 10.59%
US Bank Calculation Agent 5 8 9.41%
Wells Fargo Servicer 5 8 9.41%
Other 8 26 30.59%
Total 28 85 100.00%
© DTCC
Agent Report Card
15
Agent Report Card
July’s Root Cause Breakdown
Agent
Operational Error Modification
of Underlying
Asset
Other Late
Payments on Assets
Undetermined
Document ambiguity
at trust level
Document ambiguity at
loan level
As Paying Agent
As Calc. Agent
Other Calc. Agents and
Servicers
Bank of New York
8 3 2 1 1 7 0 0 0
Deutsche Bank
5 0 0 0 0 6 0 0 0
CITI 1 0 8 0 1 0 0 0 0
US Bank 23 8 13 3 5 1 0 4 0
Wells Fargo 0 31 13 0 0 0 0 0 0
Total 37 41 36
4 7 14 0 4 0
114
© DTCC
Agent Report Card
16
Agent Report Card
July’s Breakdown of Operational Errors
Entity Initiating Revision Percentage of Total @ Deal
Level Count @ Revision Level
Percentage of Total @ Revision Level
Calculation Agent
16 60 52.17%
Paying Agent 21 37 32.17%
Servicer 7 11 9.57%
Third Parties (other than servicer / calculation agent)
7 7 6.09%
Total 51 114 100.00%
© DTCC
Agent Report Card
17
Agent Report Card
July’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% 22 100.00%
Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 10 100.00%
Deutsche Bank
0 0.00% 0 0.00% 0 0.00% 0 0.00% 11 100.00%
US Bank 0 0.00% 0 0.00% 1 1.72% 0 0.00% 57 98.28%
Wells Fargo
0 0.00% 0 0.00% 0 0.00% 0 0.00% 44 100.00%
Total 0 0.00% 0 0.00% 1 0.69% 0 0.00% 144 99.31%
**DTC is only processing revisions that are <90 days
