Post on 05-Jun-2020
© DTCC
AGENT REPORT CARD
January 2018
DTCC Public (White)
© DTCCDTCC Public (White)
Agent Report Card
2
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 andtherefore post payable date adjustments to DTC’s participants.
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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65.37% 64.78% 52.37% 15.49% 4.00%0.00%5.00%
10.00%15.00%20.00%25.00%30.00%35.00%40.00%
Bank of NewYork M
ellon
Wells Fargo
US Bank
Deutsche
Citibank
Conforming Late RatesCMO/ABS All Payable Date excluding the 15th and 25th
3
DTCC Confidential (Yellow)
1.10 1.12 1.44 2.52 3.25
855 1,455 1,269 57 16
23.41% 39.84% 34.75% 1.56% 0.44%
-0.29 -0.28 0.04 1.12 1.85
Sigma Level
Number of Late Rate
As a Percentage of TotalLate Rates From All Agents
Deviation From theIndustry Sigma
DTCC Public (White)
Rates open at COB on P/D –1As a percentage of an agent’s total rates
1.10 1.12 1.44 2.52 3.25
Industry σ: 1.40
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20.18%
2.68% 1.65%0.00% 0.00%
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
Bank of
New
York
Mellon
US
Bank
Wells
Fargo
Deutsche
Citiban
k
All Late RatesCMO/ABS Excluding Payable on the 15th and the 25th
4
DTCC Confidential (Yellow)
After 3:00 p.m. EST on payable date and subsequent daysAs a percentage of an agent’s total Rates
2.34 3.43 3.63 6.00 6.00
264 65 37 0 0
72.13% 17.76% 10.11% 0.00% 0.00%
-0.77 0.32 0.53 2.90 2.90
Sigma Level
Number of Late Rate
As a Percentage of Total LateRates From All Agents
Deviation From theIndustry Sigma
DTCC Public (White)
2.343.43 3.63 6.00 6.00
Industry σ: 3.10
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0.00% 0.00% 0.00% 0.00% 0.00%0.00%
10.00%20.00%30.00%40.00%50.00%60.00%70.00%80.00%90.00%
100.00%
US Bank
Wells Fargo
Bank of New York
Mellon
Deutsche
Citibank
All Amended RatesCMO/ABS
5
DTCC Confidential (Yellow)
As a percentage of an agent’s total rates
6.00 6.00 6.00 6.00 6.00
0 0 0 0 0
#DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!
0.00 0.00 0.00 0.00 0.00
As a Percentage of TotalAmended Rates From All Agents
Deviation From
Sigma Level
Number of Amended Rates
DTCC Public (White)
6.006.00
6.00
6.00 6.00
Industry σ: 6.00#NUM!
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0.00% 0.00% 0.00% 0.00% 0.00%0.00%
10.00%20.00%30.00%40.00%50.00%60.00%70.00%80.00%90.00%
100.00%
Citibank
Wells Fargo
US Bank
Bank of NewYork M
ellon
Deutsche
All Amended RatesCMO/ABS
6
30 days+ after payable dateAs a percentage of an agent’s total amended rates
DTCC Public (White)
0 0 0 0 0
#DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0!
Number of AmendedRates 30 Days +
As a Percentage of TotalAmended Rates From All Agents
© DTCCDTCC Public (White)
Agent Report Card
7
Agent Report CardJanuary’s Entity Responsible
’s Responsible Entity for Initiating RevisionsAgent Paying
AgentCalculation
Agent Servicer Third Parties
Re-Securitization Total Percentage
of Total
Total Allocation
Volume
Revision Percentage
Rate
BNY Mellon 15 18 2 11 0 46 0.22% 21,104 21.60%
Wells Fargo 0 5 2 5 0 12 0.04% 34,102 5.63%
U.S. Bank 113 0 6 0 0 119 0.58% 20,478 55.87%
Citi 14 1 0 0 0 15 0.27% 5,481 7.04%
Deutsche Bank 12 0 0 9 0 21 0.17% 12,553 9.86%
Total 154 24 10 25 0 213 0.23% 93,718 100.00%
© DTCCDTCC Public (White)
Agent Report Card
8
Agent Report CardJanuary’s Breakdown of Top Calculation Agents and Servicers
Responsible for Revisions
Calculation Agent/ServicerCalculation Agent
or ServicerCount @
Deal LevelCount @
Revision Level
Percentage of Total @
Revision Level
BNY Mellon Calculation Agent 5 14 41.18%
Wells Fargo Calculation Agent 2 5 14.71%
Ballantyne Re PLC Servicer 2 2 5.88%
Wells Fargo Servicer 2 2 5.88%
Other 9 11 32.35%
Total 20 34 100.00
© DTCCDTCC Public (White)
Agent Report Card
9
Agent Report CardJanuary’s Root Cause Breakdown
Agent
Operational Error
Modification of Underlying
AssetOther
Late Payments on
AssetsUndetermined
Document ambiguity
at trustlevel
Document ambiguity at
loan level
As Paying Agent
As Calc. Agent
Other Calc. Agents and
Servicers
Bank of New York 4 10 12 2 16 2 0 0 0
DeutscheBank 0 0 0 0 19 2 0 0 0
CITI 4 1 0 8 2 0 0 0 0
US Bank 105 0 4 0 10 0 0 0 0
Wells Fargo 0 5 7 0 0 0 0 0 0
Total113 16 23
10 4 0 0 0152
© DTCCDTCC Public (White)
Agent Report Card
10
Agent Report CardJanuary’s Breakdown of Operational Errors
Entity Initiating Revision Percentage of Total @ Deal Level Count @ Revision Level Percentage of Total @ Revision
Level
Paying Agent 24 113 74.34%
Calculation Agent 7 17 11.18%
Third Parties (other than servicer / calculation agent) 4 16 10.53%
Servicer 5 6 3.95%
Total 57 131 100.00%
© DTCCDTCC Public (White)
Agent Report Card
11
Agent Report CardJanuary’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% 46 100%
Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 15 100%
Deutsche Bank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 21 100%
US Bank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 119 100%
Wells Fargo 0 0.00% 0 0.00% 0 0.00% 0 0.00% 12 100%
Total 0 0.00% 0 0.00% 0 0.00% 0 0.00% 213 100%
**DTC is only processing revisions that are <90 days
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Monthly Sigma Versus TargetsConforming Structured Securities - Payable 15/25
12
DTCC Public (White)
Open rates at COB on P/D-1
3.25
2.522.50
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
January Sigma January Industry Average 1.40
January Sigma Target 3.76 Dec Sigma Target 3.8
© DTCC
Monthly Sigma Versus TargetsAll Structured Securities – Payable 15/25
13
DTCC Public (White)
Rates Received after 3:00pm on P/D
6.00 6.00
3.433.63
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
January Sigma January Industry Average .00
January Sigma Target 4.76 Dec Sigma Target 4.79999999999955
© DTCC
Monthly Sigma Versus TargetsAll Structured Securities – Amended Rates
14
DTCC Public (White)
As a percentage of Total Rates
6.00 6.00 6.00 6.00 6.00
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
January Sigma January Industry Average .00
January Sigma Target 4.17 Dec Sigma Target 4.20066981625568