agent report card - dtcc · 3.26 1.04 1.00 1.13 2.03 4 2,783 792 337 344 0.09% 65.33% 18.59% 7.91%...
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© DTCC
AGENT REPORT CARD
August 2015
DTCC Public (White)
© DTCC
Agent Report Card
2
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 andtherefore 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 Public (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 4 5 5 2
Citibank 1 1 2 3
Deutsche Bank 1 1 3 1
US Bank 3 3 4 4
Wells Fargo 5 4 1 5
(Best three in each category highlighted in green)Rankings based on a percentage of an agent's total rates
Agent Report Card
© DTCC
0.37% 0.22% 0.03% 0.00% 0.00%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
US Bank
Citibank
Deutsche
Conforming Late Rates CMO/ABS Payable on the 15th and 25th
4
DTCC Confidential (Yellow)
4.18 4.35 4.93 6.00 6.00
122 48 5 0 0
69.71% 27.43% 2.86% 0.00% 0.00%
-0.20 -0.03 0.54 1.62 1.62Deviation From the
Industry Sigma
Sigma Level
Number of Late Rate
As a Percentage of TotalLate Rates From All Agents
DTCC Public (White)
Rates open at COB on P/D –1 As a percentage of an agent’s total rates
4.18 4.35 4.93 6.00 6.00
Industry σ: 4.38
© DTCC
0.34%
0.07% 0.06%
0.00% 0.00%0.00%0.05%0.10%0.15%0.20%0.25%0.30%0.35%0.40%
Bank ofNew
YorkM
ellon
Wells
Fargo
US Bank
Deutsche
Citibank
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
4.20 4.71 4.73 6.00 6.00
76 22 10 0 0
70.37% 20.37% 9.26% 0.00% 0.00%
-0.33 0.18 0.20 1.47 1.47
Sigma Level
Number of Late Rate
As a Percentage of Total LateRates From All Agents
Deviation From theIndustry Sigma
DTCC Public (White)
4.20 4.71
4.73 6.00 6.00
Industry σ: 4.53
© DTCC
3.88%
29.73%
0.00%5.00%
10.00%15.00%20.00%25.00%30.00%35.00%40.00%
Citibank
Wells Fargo
Bank of NewYork M
ellon
Deutsche
US Bank
Conforming Late Rates CMO/ABS All Payable Date excluding the 15th and 25th
6
DTCC Confidential (Yellow)
3.26 1.04 1.00 1.13 2.03
4 2,783 792 337 344
0.09% 65.33% 18.59% 7.91% 8.08%
2.03 -0.19 -0.23 -0.11 0.80Deviation From the
Industry Sigma
Sigma Level
Number of Late Rate
As a Percentage of TotalLate Rates From All Agents
DTCC Public (White)
Rates open at COB on P/D –1 As a percentage of an agent’s total rates
3.26 1.04
1.00 1.13 2.03
Industry σ: 1.23
© DTCC
29.31%
6.08%2.42%
6.72%
0.97%0.00%5.00%
10.00%15.00%20.00%25.00%30.00%35.00%
Deutsche
Wells
Fargo
US
Bank
Bank of
New
York
Mellon
Citiban
k
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
2.04 3.05 3.47 3.00 3.84
153 250 28 77 1
30.06% 49.12% 5.50% 15.13% 0.20%
-0.91 0.09 0.52 0.04 0.88
Sigma Level
Number of Late Rate
As a Percentage of Total LateRates From All Agents
Deviation From theIndustry Sigma
DTCC Public (White)
2.04 3.05 3.47
3.00 3.84
Industry σ: 2.96
© DTCC
0.37%
0.19%0.17%
0.08%
0.01%0.00%0.05%0.10%0.15%0.20%0.25%0.30%0.35%0.40%
Bank of NewYork M
ellon
US Bank
Deutsche
Citibank
Wells Fargo
All Amended Rates CMO/ABS
8
DTCC Confidential (Yellow)
As a percentage of an agent’s total rates
4.17 4.40 4.44 4.66 5.17
83 31 22 3 4
58.04% 21.68% 15.38% 2.10% 2.80%
-0.27 -0.05 -0.01 0.22 0.73
Sigma Level
Number of Amended Rates
As a Percentage of TotalAmended Rates From All Agents
Deviation FromDTCC Public (White)
4.17
4.40 4.44 4.66 5.17
Industry σ: 4.45DTCC σ: -0.27
© DTCC
75.00%
45.16%
33.33%28.92%
9.09%
0.00%10.00%20.00%30.00%40.00%50.00%60.00%70.00%80.00%
Wells Fargo
US Bank
Citibank
Bank of NewYork M
ellon
Deutsche
All Amended Rates CMO/ABS
9
30 days+ after payable date As a percentage of an agent’s total amended rates
DTCC Public (White)
3 14 1 24 2
6.82% 31.82% 2.27% 54.55% 4.55%
Number of AmendedRates 30 Days +
As a Percentage of TotalAmended Rates From All Agents
© DTCC
Agent Report Card
10
Agent Report Card August 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 68 31 3 15 0 117 40.21% 23,055 0.51%
Wells Fargo 9 5 7 10 0 31 10.65% 47,394 0.07%
U.S. Bank 39 31 46 0 1 117 40.21% 23,263 0.50%
Citi 2 0 0 0 0 2 0.69% 4,.909 0.04%
Deutsche Bank 15 9 0 0 0 24 8.25% 16,553 0.14%
Total 133 76 56 25 1 291 0.26% 110,270 0.26%
© DTCC
Agent Report Card
11
Agent Report Card August’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
BNY Mellon Calculation Agent 5 27 16.67%
GSFIR (A Subsidiary of US Bank) Calculation Agent 7 22 20.45%
Deutsche Bank Calculation Agent 3 9 16.67%
Select Portfolio Servicing Servicer 2 22 6.82%
Other 22 52 39.39%
Total 39 132 100.00%
© DTCC
Agent Report Card
12
Agent Report Card August’s Root Cause Breakdown
Agent
Operational Error Modificatio
n of Underlying
Asset
Other Late
Payments on Assets
Undetermined
Document ambiguity at
trust level As Paying Agent
As Calc. Agent
Other Calc.
Agents and
Servicers
Bank of New York 14 5 10 29 4 3 44 8
Deutsche Bank 5 5 0 4 10 0 0 0
CITI 0 0 0 0 2 0 0 0
US Bank 27 27 43 3 16 0 0 1
Wells Fargo 7 5 15 0 2 2 0 0
Total 53 42 68
36 34 5 44 9 163
© DTCC
Agent Report Card
13
Agent Report Card August’s Breakdown of Operational Errors
Entity Initiating Revision Percentage of Total @ Deal Level Count @ Revision Level Percentage of Total @
Revision Level
Paying Agent 32.65% 53 32.52%
Servicer 18.37% 49 30.06%
Calculation Agent 34.69% 44 26.99%
Third Parties (other than servicer/ calc. agent) 14.29% 17 10.43%
Total 100.00% 85 100.00%
© DTCC
Agent Report Card
14
Agent Report Card August’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% 3 2.48% 1 0.83% 117 96.69%
Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 2 100.00%
Deutsche Bank 0 0.00% 3 10.00% 2 6.67% 1 3.33% 24 80.00%
US Bank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 117 100.00%
Wells Fargo 0 0.00% 0 0.00% 0 0.00% 0 0.00% 31 100.00%
Total 0 0.00% 3 1.00% 5 1.66% 2 0.66% 291 96.68%
**DTC is only processing revisions that are <90 days
© DTCC
Monthly Sigma Versus Targets Conforming Structured Securities - Payable 15/25
15
DTCC Public (White)
Open rates at COB on P/D-1
4.35
6.00 6.00
4.93
4.18
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
July Sigma July Industry Average 4.38
July Sigma Target 3.78 Dec Sigma Target 3.8
© DTCC
Monthly Sigma Versus Targets All Structured Securities – Payable 15/25
16
DTCC Public (White)
Rates Received after 3:00pm on P/D
4.20
6.00 6.00
4.73 4.71
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
July Sigma July Industry Average .00
July Sigma Target 4.79 Dec Sigma Target 4.79999999999955
© DTCC
Monthly Sigma Versus Targets All Structured Securities – Amended Rates
17
DTCC Public (White)
As a percentage of Total Rates
4.17
4.664.44 4.40
5.17
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
July Sigma July Industry Average .00
July Sigma Target 4.19 Dec Sigma Target 4.20066981625568