AGENT REPORT CARD/media/downloads/leadership/issues/... · 2015-09-01 · 3.49 3.83 3.91 5.30 6.00...
Transcript of AGENT REPORT CARD/media/downloads/leadership/issues/... · 2015-09-01 · 3.49 3.83 3.91 5.30 6.00...
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AGENT REPORT CARD
July 2015
DTCC Non Confidential (White)
© DTCC
Agent Report Card
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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.
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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/DBank of NewYork Mellon 5 5 5 4
Citibank 1 1 2 1
Deutsche Bank 2 1 4 5
US Bank 4 4 3 2
Wells Fargo 3 3 1 3
(Best three in each category highlighted in green)Rankings based on a percentage of an agent's total rates
Agent Report Card
© DTCC
2.31% 1.00% 0.81% 0.01% 0.00%0.00%5.00%
10.00%15.00%20.00%25.00%30.00%35.00%40.00%
Bank of NewYork M
ellon
US Bank
Wells Fargo
Deutsche
Citibank
Conforming Late Rates CMO/ABS Payable on the 15th and 25th
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DTCC Confidential (Yellow)
3.49 3.83 3.91 5.30 6.00
524 174 269 1 0
54.13% 17.98% 27.79% 0.10% 0.00%
-0.31 0.02 0.10 1.49 2.20Deviation From the
Industry Sigma
Sigma Level
Number of Late Rate
As a Percentage of TotalLate 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
3.49 3.83 3.91 5.30 6.00
Industry σ: 3.80
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0.79%
0.31%
0.07%0.00% 0.00%
0.00%0.10%0.20%0.30%0.40%0.50%0.60%0.70%0.80%0.90%
Bank ofNew
YorkM
ellon
US Bank
Wells
Fargo
Deutsche
Citibank
All Late Rates CMO/ABS Payable on the 15th and the 25th
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DTCC Confidential (Yellow)
After 3:00 p.m. EST on payable date and subsequent days As a percentage of an agent’s total Rates
3.91 4.24 4.71 6.00 6.00
179 53 22 0 0
70.47% 20.87% 8.66% 0.00% 0.00%
-0.36 -0.03 0.44 1.73 1.73
Sigma Level
Number of Late Rate
As a Percentage of Total LateRates From All Agents
Deviation From theIndustry Sigma
DTCC Non Confidential (White)
3.91 4.24
4.71 6.00 6.00
Industry σ: 4.27
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24.68%
5.20% 4.25%2.06%
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 Rates CMO/ABS All Payable Date excluding the 15th and 25th
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DTCC Confidential (Yellow)
0.51 2.18 3.13 3.22 3.54
961 3,469 308 118 16
19.72% 71.20% 6.32% 2.42% 0.33%
-1.84 -0.17 0.77 0.87 1.19Deviation From the
Industry Sigma
Sigma Level
Number of Late Rate
As a Percentage of TotalLate 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
0.51 2.18
3.13 3.22 3.54
Industry σ: 2.35
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16.14%
3.03% 2.48%0.76% 0.00%
0.00%2.00%4.00%6.00%8.00%
10.00%12.00%14.00%16.00%18.00%
Bank of
New
York
Mellon
Wells
Fargo
Deutsche
US
Bank
Citiban
k
All Late Rates CMO/ABS Excluding Payable on the 15th and the 25th
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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 3.38 3.46 3.93 6.00
185 426 69 45 0
25.52% 58.76% 9.52% 6.21% 0.00%
-0.90 -0.01 0.07 0.54 2.61
Sigma Level
Number of Late Rate
As a Percentage of Total LateRates From All Agents
Deviation From theIndustry Sigma
DTCC Non Confidential (White)
2.49 3.38 3.46 3.93 6.00
Industry σ: 3.39
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0.23%
0.17%0.15%
0.07%
0.04%
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
Bank of NewYork M
ellon
Deutsche
US Bank
Citibank
Wells Fargo
All Amended Rates CMO/ABS
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DTCC Confidential (Yellow)
As a percentage of an agent’s total rates
4.33 4.42 4.47 4.68 4.88
53 24 26 3 12
44.92% 20.34% 22.03% 2.54% 10.17%
-0.18 -0.09 -0.05 0.17 0.37
Sigma Level
Number of Amended Rates
As a Percentage of TotalAmended Rates From All Agents
Deviation FromDTCC Non Confidential (White)
4.33 4.42 4.47
4.68 4.88
Industry σ: 4.51DTCC σ: 0.68
© DTCC
37.50%33.96% 33.33%
30.77%
0.00%0.00%5.00%
10.00%15.00%20.00%25.00%30.00%35.00%40.00%
Deutsche
Bank of NewYork M
ellon
Wells Fargo
US Bank
Citibank
All Amended Rates CMO/ABS
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30 days+ after payable date As a percentage of an agent’s total amended rates
DTCC Non Confidential (White)
9 18 4 8 0
23.08% 46.15% 10.26% 20.51% 0.00%
Number of AmendedRates 30 Days +
As a Percentage of TotalAmended Rates From All Agents
© DTCC
Agent Report Card
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Agent Report Card July 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 18 13 4 0 5 40 31.01% 23,055 0.17%
Wells Fargo 14 0 2 14 0 30 23.26% 47,394 0.06%
U.S. Bank 26 2 18 1 2 49 37.98% 23,263 0.21%
Citi 2 0 0 0 0 2 1.55% 4,909 0.04%
Deutsche Bank 2 5 0 1 0 8 6.20% 16,553 0.05%
Total 62 20 24 16 7 129 100.00% 115,174 0.11%
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Agent Report Card
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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
BNY Mellon Calculation Agent 4 7 15.91%
Credit Suisse Calculation Agent 4 5 11.36%
Deutsche Bank Calculation Agent 5 5 11.36%
Wells Fargo Servicer 5 10 22.73%
Other 10 17 38.64%
Total 28 44 100.00%
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Agent Report Card
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Agent Report Card July’s Root Cause Breakdown
Agent
Operational Error Modification of Underlying
Asset Other
Late Payments on
Assets Undetermined
Document ambiguity at
loan level
As Paying Agent
As Calc. Agent
Other Calc. Agents and
Servicers
Bank of New York 15 4 5 6 8 1 1 0
Deutsche Bank 0 5 0 0 3 0 0 0
CITI 2 0 0 0 0 0 0 0
US Bank 23 1 11 0 14 0 0 0
Wells Fargo 9 0 10 0 10 0 0 1
Total 49 10 26
6 35 1 1 1 85
© DTCC
Agent Report Card
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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
Paying Agent 50.00% 49 57.65%%
Calculation Agent 24.00% 14 16.47%
Servicer 10.00% 13 15.29%
Third Parties (other than servicer/ calc. agent) 14.00% 8 9.41%
Resecuritizations / CDOs - error in the underlying deal 2.00% 1 1.18%
Total 100.00% 85 100.00%
© DTCC
Agent Report Card
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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 49 53.85% 2 2.20% 0 0.00% 0 0.00% 40 43.96%
Citibank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 2 100.00%
Deutsche Bank 0 0.00% 0 0.00% 0 0.00% 0 0.00% 8 100.00%
US Bank 0 0.00% 0 0.00% 2 3.92% 0 0.00% 49 96.08%
Wells Fargo 0 0.00% 0 0.00% 0 0.00% 0 0.00% 30 100.00%
Total 49 26.92% 2 2.20% 2 1.10% 0 0.00% 129 70.88%
**DTC is only processing revisions that are <90 days
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Monthly Sigma Versus Targets Conforming Structured Securities - Payable 15/25
15
DTCC Non Confidential (White)
Open rates at COB on P/D-1
3.49
6.00
5.30
3.83 3.91
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 3.80
July Sigma Target 3.78 Dec Sigma Target 3.8
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Monthly Sigma Versus Targets All Structured Securities – Payable 15/25
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DTCC Non Confidential (White)
Rates Received after 3:00pm on P/D
3.91
6.00 6.00
4.24
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
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Monthly Sigma Versus Targets All Structured Securities – Amended Rates
17
DTCC Non Confidential (White)
As a percentage of Total Rates
4.334.68
4.42 4.47
4.88
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