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AGENT REPORT CARD

July 2015

DTCC Non Confidential (White)

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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.

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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

6

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

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 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

© DTCC

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

8

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

9

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

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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

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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%

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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

16

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