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© DTCC
DTCC Public (White)
AGENT REPORT CARD
February 2020
DTCC Public (White)
© DTCC
DTCC 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 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
DTCC Public (White)
Agent Report Card - Rankings
3
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 Mellon2 3 3 2
Citibank 3 3 1 3
Deutsche Bank 1 2 2 1
US Bank 5 1 5 4
Wells Fargo 4 5 4 5
(Best three in each category highlighted in green)
Rankings based on a percentage of an agent's total rates
Agent Report Card
© DTCC
DTCC Public (White)
1.10% 0.96% 0.64% 0.46% 0.01%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
Ba
nk
of N
ew
Yo
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ello
n
Citib
an
k
We
lls F
arg
o
US
Ban
k
De
uts
ch
e
Conforming Late RatesCMO/ABS Payable on the 15th and 25th
4
DTCC Confidential (Yellow)
3.79 3.84 3.99 4.11 5.21
182 61 175 74 1
36.92% 12.37% 35.50% 15.01% 0.20%
-0.19 -0.14 0.00 0.12 1.23Deviation From the
Industry Sigma
Sigma Level
Number of Late Rate
As a Percentage of Total
Late Rates From All Agents
Rates open at COB on P/D –1
As a percentage of an agent’s total rates
3.79 3.84 3.99 4.11 5.21
Industry σ: 3.98
© DTCC
DTCC Public (White)
65.53% 55.56% 55.17% 53.91% 45.66%0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
We
lls F
arg
o
Citib
an
k
De
uts
ch
e
Ba
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of N
ew
Yo
rk M
ello
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US
Ban
k
Conforming Late RatesCMO/ABS All Payable Date excluding the 15th and
25th
5
1.10 1.36 1.37 1.40 1.61
675 60 192 131 100
58.29% 5.18% 16.58% 11.31% 8.64%
-0.16 0.10 0.11 0.14 0.35Deviation From the
Industry Sigma
Sigma Level
Number of Late Rate
As a Percentage of Total
Late Rates From All Agents
Rates open at COB on P/D –1
As a percentage of an agent’s total rates
1.10 1.36 1.37 1.40 1.61
Industry σ: 1.26
© DTCC
DTCC Public (White)
0.18%
0.16%
0.04%0.02%
0.00%0.00%0.02%0.04%0.06%0.08%0.10%0.12%0.14%0.16%0.18%0.20%
Ba
nk
of
Ne
w Y
ork
Mello
n
Citib
an
k
US
Ban
k
We
llsF
arg
o
De
uts
ch
e
All Late RatesCMO/ABS Payable on the 15th and the 25th
6
DTCC Confidential (Yellow)
After 3:00 p.m. EST on payable date and subsequent days
As a percentage of an agent’s total Rates
4.41 4.45 4.87 5.01 6.00
30 10 6 6 0
57.69% 19.23% 11.54% 11.54% 0.00%
-0.29 -0.25 0.17 0.31 1.30
Sigma Level
Number of Late Rate
As a Percentage of Total Late
Rates From All Agents
Deviation From the
Industry Sigma
4.41 4.45 4.87 5.01 6.00
Industry σ: 4.70
© DTCC
DTCC Public (White)
42.59%
23.05%21.26%
12.62%
1.83%
0.00%
5.00%
10.00%
15.00%
20.00%
25.00%
30.00%
35.00%
40.00%
45.00%
Citib
an
k
Ba
nk
of
Ne
w Y
ork
Mello
n
De
uts
ch
e
We
llsF
arg
o
US
Ban
k
All Late RatesCMO/ABS Excluding Payable on the 15th and the
25th
7
After 3:00 p.m. EST on payable date and subsequent days
As a percentage of an agent’s total Rates
1.69 2.24 2.30 2.64 3.59
46 56 74 130 4
14.84% 18.06% 23.87% 41.94% 1.29%
-0.81 -0.26 -0.20 0.15 1.09
Sigma Level
Number of Late Rate
As a Percentage of Total Late
Rates From All Agents
Deviation From the
Industry Sigma
1.69 2.24 2.30 2.643.59
Industry σ: 2.50
© DTCC
DTCC Public (White)
0.16%
0.10%0.09%
0.03%0.02%
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
0.12%
0.14%
0.16%
0.18%
US
Ban
k
We
lls F
arg
o
Ba
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of N
ew
Yo
rk M
ello
n
De
uts
ch
e
Citib
an
k
All Amended RatesCMO/ABS
8
DTCC Confidential (Yellow)
As a percentage of an agent’s total rates
4.45 4.59 4.62 4.93 5.10
26 27 15 3 1
36.11% 37.50% 20.83% 4.17% 1.39%
-0.16 -0.01 0.01 0.32 0.50
Sigma Level
Number of Amended Rates
As a Percentage of Total
Amended Rates From All Agents
Deviation From
4.45 4.59 4.62 4.93 5.10
Industry σ: 4.61
#NUM!
© DTCC
DTCC Public (White)
80.00%
33.33%
22.22%
11.54%
0.00%0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
Ba
nk
of N
ew
Yo
rk M
ellon
De
utsc
he
We
lls Farg
o
US
Ban
k
Citib
ank
All Amended RatesCMO/ABS
9
30 days+ after payable date
As a percentage of an agent’s total amended rates
12 1 6 3 0
54.55% 4.55% 27.27% 13.64% 0.00%
Number of Amended
Rates 30 Days +
As a Percentage of Total
Amended Rates From All Agents
© DTCC
DTCC Public (White)
Monthly Sigma Versus TargetsConforming Structured Securities - Payable 15/25
10
Open rates at COB on P/D-1
3.79 3.84
5.21
4.113.99
2.50
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Bank o
f New
Yo
rk M
ellon
Citib
ank
Deuts
che
US
Ban
k
Wells
Farg
o
Jan uar y Si gm a Jan uar y In dust r y A ver ag e 3 .9 8 Jan uar y Si gm a Tar ge t 3. 76 D ec Si gm a Tar ge t 3. 8
© DTCC
DTCC Public (White)
Monthly Sigma Versus TargetsAll Structured Securities – Payable 15/25
11
Rates Received after 3:00pm on P/D
4.41 4.45
6.00
4.875.01
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Ban
k o
f New
Yo
rk M
ello
n
Citib
an
k
Deu
tsc
he
US
Ban
k
Wells
Farg
o
Ja nua ry S ig m a Ja nua ry I nd ust r y A ve ra ge . 00 Ja nua ry S ig m a Tar g et 4 .7 6 D ec S igm a T ar ge t 4. 79 999 999 999 955
© DTCC
DTCC Public (White)
Monthly Sigma Versus TargetsAll Structured Securities – Amended Rates
12
As a percentage of Total Rates
4.62
5.104.93
4.454.59
3.00
3.50
4.00
4.50
5.00
5.50
6.00
Ban
k o
f New
Yo
rk
Me
llon
Citib
an
k
Deu
tsc
he
US
Ban
k
Wells
Farg
o
Ja nua ry S ig m a Ja nua ry I nd ust r y A ve ra ge . 00 Ja nua ry S ig m a Tar g et 4 .1 7 D ec S igm a T ar ge t 4. 20 066 981 625 568