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© DTCC AGENT REPORT CARD June 2016 DTCC Non Confidential (White)
© DTCC
AGENT REPORT CARD
June 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.
© 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 4 4
Citibank 1 1 1 1
Deutsche Bank 2 1 5 3
US Bank 3 3 2 2
Wells Fargo 4 5 3 5
(Best three in each category highlighted in green)
Rankings based on a percentage of an agent's total rates
Agent Report Card
© DTCC
2.03% 1.23% 0.27% 0.06% 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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US
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Citib
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Conforming Late Rates CMO/ABS Payable on the 15th and 25th
4
DTCC Confidential (Yellow)
3.55 3.75 4.28 4.76 6.00
434 408 45 7 0
48.55% 45.64% 5.03% 0.78% 0.00%
-0.27 -0.07 0.46 0.94 2.18
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
3.55 3.75 4.28 4.76 6.00
Industry σ: 3.82
© DTCC
0.60%
0.15%0.09%
0.00% 0.00%0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
We
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arg
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Ba
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Mello
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US
Ban
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De
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Citib
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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
4.01 4.47 4.64 6.00 6.00
201 32 14 0 0
81.38% 12.96% 5.67% 0.00% 0.00%
-0.26 0.20 0.37 1.73 1.73
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)
4.01
4.47 4.64
6.00 6.00
Industry σ: 4.27
© DTCC
38.11%
28.71%
10.26%
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
We
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Ba
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US
Ban
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Citib
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Conforming Late Rates CMO/ABS All Payable Date excluding the 15th and
25th
6
DTCC Confidential (Yellow)
0.85 1.23 1.80 2.06 2.77
3,172 661 343 323 4
70.44% 14.68% 7.62% 7.17% 0.09%
-0.38 0.00 0.57 0.83 1.54Deviation 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
0.85 1.23
1.80 2.06 2.77
Industry σ: 1.23
© DTCC
16.11%
11.58%
5.84%
3.91%
0.00%0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
16.00%
18.00%
Ba
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of
Ne
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Mello
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De
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We
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US
Ban
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Citib
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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
2.49 2.70 3.07 3.26 6.00
145 126 249 44 0
25.71% 22.34% 44.15% 7.80% 0.00%
-0.44 -0.24 0.14 0.33 3.07
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)
2.49 2.70
3.07 3.26
6.00
Industry σ: 2.93
© DTCC
0.45%
0.19% 0.18%
0.07%
0.00%0.00%0.05%0.10%0.15%0.20%0.25%0.30%0.35%0.40%0.45%0.50%
De
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US
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Citib
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All Amended Rates CMO/ABS
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DTCC Confidential (Yellow)
As a percentage of an agent’s total rates
4.11 4.40 4.42 4.68 6.00
57 40 59 12 0
33.93% 23.81% 35.12% 7.14% 0.00%
-0.28 0.01 0.02 0.29 1.61
As a Percentage of Total
Amended Rates From All Agents
Deviation From
Sigma Level
Number of Amended Rates
DTCC Non Confidential (White)
4.11
4.40 4.42
4.68 6.00
Industry σ: 4.39
#NUM!
© DTCC
64.41%
52.50%
45.61%
25.00%
0.00%0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
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US
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Citib
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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)
38 21 26 3 0
43.18% 23.86% 29.55% 3.41% 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
June 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 8 28 1 1 0 38 8.37% 22,247 0.17%
Wells Fargo 0 51 25 9 0 85 18.72% 37,553 0.23%
U.S. Bank
267 15 10 2 0 294 64.76% 17,523 1.68%
Citi 0 0 0 0 0 0 0.00% 4,068 0.00%
Deutsche Bank
3 34 0 0 0 37 8.15% 13,779 0.27%
Total 278 128 36 12 0 454 100.00% 95,170 0.48%
© DTCC
Agent Report Card
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Agent Report Card
June’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 7 63 38.41%
Wells Fargo Servicer 3 21 12.80%
Deutsche Bank Calculation Agent 1 19 11.59%
BNY Mellon Calculation Agent 7 15 9.15%
Other 14 46 28.05%
Total 32 164 100.00%
© DTCC
Agent Report Card
12
Agent Report Card
June’s Root Cause Breakdown
Agent
Operational Error
Modification of Underlying
Asset Other
Late Payments on Assets
Document ambiguity at
loan level Undetermined As
Paying Agent
As Calc. Agent
Other Calc.
Agents and
Servicers
Bank of New York
3 9 14 4 2 5 0 1
Deutsche Bank 1 19 0 0 15 0 2 0
CITI 0 0 0 0 0 0 0 0
US Bank 197 0 24 7 65 1 0 0
Wells Fargo 0 47 36 0 0 2 0 0
Total 201 75 74
11 82 8 2 1
350
© DTCC
Agent Report Card
13
Agent Report Card
June’s Breakdown of Operational Errors
Entity Initiating Revision Percentage of Total @ Deal
Level Count @ Revision Level
Percentage of Total @ Revision Level
Paying Agent 29 201 57.43%
Calculation Agent 17 106 30.29%
Servicer 8 32 9.14%
Third Parties (other than servicer/ calc. agent)
9 11 3.14%
Total 63 350 100.00%
© DTCC
Agent Report Card
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Agent Report Card
June’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% 6 13.64% 0 0.00% 38 86.36%
Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 0 0.00%
Deutsche Bank
0 0.00% 0 0.00% 0 0.00% 0 0.00% 37 100.00%
US Bank 7 2.26% 6 1.94% 2 0.65% 1 0.32% 294 94.84%
Wells Fargo
0 0.00% 0 0.00% 1 1.16% 0 0.00% 85 98.84%
Total 7 1.47% 6 1.26% 9 1.89% 1 0.21% 454 95.18%
**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
3.55
6.00
4.76
4.28
3.75
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Bank o
f New
Yo
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Citib
ank
Deuts
che
US
Ban
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Wells
Farg
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June Sigma June Industry Average 3.82
June 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
4.47
6.00 6.00
4.64
4.01
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Ban
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Citib
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Deu
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US
Ban
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Wells
Farg
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June Sigma June Industry Average .00
June 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
4.40
6.00
4.11
4.68
4.42
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Ban
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Yo
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Me
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Citib
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Deu
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US
Ban
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Wells
Farg
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June Sigma June Industry Average .00
June Sigma Target 4.18 Dec Sigma Target 4.20066981625568
