DTCC Public (White)

AGENT REPORT CARD

September 2019

DTCC Public (White)

Agent Report Card

DTCC Public (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.

Agent Report Card - Rankings

DTCC Public (White)

1.38% 1.04% 0.81% 0.49% 0.01%

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

5.00%0.00% Citibank

Wells

Fargo

Bank ofNew

YorkM

ellon

USBank

Deutsche

Conforming Late RatesCMO/ABS Payable on the 15th and 25th

DTCC Confidential (Yellow)

S i g m a L e v e l 3 . 7 0 3 . 8 1 3 . 9 0 4 . 0 8 5 . 2 3

N u m b e r o f L a t e R a t e 7 7 3 2 6 1 4 0 7 9 1

A s a P e r c e n t a g e o f T o t a l L a t e R a t e s F r o m A l l A g e n t s 1 2 . 3 6 % 5 2 . 3 3 % 2 2 . 4 7 % 1 2 . 6 8 % 0 . 1 6 %

D e v i a t i o n F r o m t h e I n d u s t r y S i g m a - 0 . 2 2 - 0 . 1 1 - 0 . 0 2 0 . 1 6 1 . 3 1

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

3.70 3.81 3.90 4.08 5.23

Industry σ: 3.92

DTCC Public (White)

57.89% 59.96% 68.75% 42.08% 29.86 %

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

5.00%0.00% Deutsche

Wells

Fargo

Citibank

Bank ofNew

YorkM

ellon

USBank

Conforming Late Rates

DTCC Confidential (Yellow)

1.01 1 . 2 5 1 . 3 0 1 . 7 0 2 . 0 3

2 2 9 3 6 1 4 3 2 2 3 6 6

1.58% 6 7 . 3 4 % 1 0 . 2 9 % 1 6 . 0 4 % 4 . 7 5 %

-0.40 - 0 . 1 6 - 0 . 1 1 0 . 2 9 0 . 6 2

S i g m a L e v e l

N u m b e r o f L a t e R a t e

A s a P e r c e n t a g e o f T o t a l

L a t e R a t e s F r o m A l l A g e n t s

D e v i a t i o n F r o m t h e I n d u s t r y S i g m a

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

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

1.011.25 1.30

1.70 2.03

Industry σ: 1.41

DTCC Public (White)

0.13%

0.07%

0.03%0.02%

0.00%

0.14%0.12%0.10%0.08%0.06%0.04%0.02%0.00%

Bank of New

York M

ellon

USBank

Wells

Fargo Citibank

Deutsche

All Late RatesCMO/ABS Payable on the 15th and the 25th

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

4.50

4.68 4.92 5.07

6.0

Industry σ: 4.75

4 . 5 0 4 . 6 8 4 .92 5 . 0 7 6 . 0 0

2 3 12 10 1 0

5 0 . 0 0 % 2 6 . 0 9 % 2 1 . 7 4 % 2 . 1 7 % 0 . 0 0 %

-0 .25 -0 .08 0.16 0 . 3 2 1.25

S i g m a Le ve l

N u m b e r of La t e Ra t e

A s a P e r c e n t a g e of Tota l La t e Ra t e s F r o m Al l A g e n t s

Devia t ion F r o m t h e In d u s t ry S i g m a

DTCC Public (White)

8.50%12.24%

6.79%

0.00%

21.32%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

Deutsche

Wells

Fargo

US

Bank

Citibank

Bank of

New

York

Mellon

All Late Rates

DTCC Confidential (Yellow)

CMO/ABS Excluding Payable on the 15th and the 25th

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

2 . 3 0 2 . 6 6 2 . 8 7 2 . 9 9 6 . 0 0

1 1 3 1 9 1 2 1 1 5 0

3 3 . 2 4 % 5 6 . 1 8 % 6 . 1 8 % 4 . 4 1 % 0 . 0 0 %

- 0 . 3 3 0 . 0 4 0 . 2 5 0 . 3 7 3 . 3 8

S i g m a L e v e l

N u m b e r o f L a t e R a t e

A s a P e r c e n t a g e o f T o t a l L a t e R a t e s F r o m A l l A g e n t s

D e v i a t i o n F r o m t h e I n d u s t r y S i g m a

2.30 2.66 2.872.32

2.65

Industry σ: 2.62

DTCC Public (White)

0.13%

0.06%

0.04%

0.14%0.12%0.10%0.08%0.06%0.04%0.02%0.00% C

itibank

USB

ank

Wells

Fargo

Bank ofN

ew

YorkM

ellon

Deutsche

All Amended RatesCMO/ABS

DTCC Confidential (Yellow)

As a percentage of an agent’s total rates

Sigma Level 4.52 4.73 4.87 4.94 4.94

Number of Amended Rates 7 10 12 5 3

As a Percentage of Total Amended Rates From All Agents 18.92% 27.03% 32.43% 13.51% 8.11%

Deviation From -0.29 -0.08 0.05 0.13 0.13

4.52

4.734.87

0.03%

4.940.03%

4.94

Industry σ:4.82 #NUM!

DTCC Public (White)

33.33%

20.00% 20.00%

0.00% 0.00%

35.00%

30.00%

25.00%

20.00%

15.00%

10.00%

5.00%

0.00% WellsFargo

USBank

Bank ofNew

YorkMellon

Deutsche

Citibank

All Amended RatesCMO/ABS

DTCC Public (White)

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

Number of Amended Rates 30 Days + 4 2 1 0 0

As a Percentage of Total Amended Rates From All Agents 57.14% 28.57% 14.29% 0.00% 0.00%

Monthly Sigma Versus TargetsConforming Structured Securities - Payable 15/25

Open rates at COB on P/D-1

3.903.70

5.23

4.083.81

3.50

3.00

2.50

5.00

4.50

4.00

6.00

5.50

Bank of New

York Mellon

Citibank

Deutsche

US

Bank

Wells

Fargo

Septem berSigma Septem berIndustry Average3.92 Septem berSigma Target3 .78114276952695 Dec Sigma Target3 .8

DTCC Public (White)

Monthly Sigma Versus TargetsAll Structured Securities – Payable 15/25

Rates Received after 3:00pm on P/D

4.50

5.07

6.00

4.684.92

4.00

3.50

3.00

4.50

5.50

5.00

6.00

Bank of N

ew York

Mellon

Citibank

Deutsche

US

Bank

Wells

Fargo

September Sigm a Se pte mber In dustry Av erage .0 0 Se ptember Sigm a Target 4.7905 26731 49166 De c Sigm a Target 4 .799999 999999 55

DTCC Public (White)

Monthly Sigma Versus TargetsAll Structured Securities – Amended Rates

As a percentage of Total Rates

4.94

4.52

4.944.73 4.87

4.00

3.50

3.00

4.50

6.00

5.50

5.00

Bank of N

ew York

Mellon

Citibank

Deutsche

US

Bank

Wells

Fargo

September Sigma September Industry Av erage .0 0 Septe mber Sigm a Targe t 4.1921171530104 Dec SigmaTarget4.20066981625568

DTCC Public (White)