Citigroup Global Markets has developed a credit card ABS index that compares deal data from 13 of the most prominent issuers in the sector such as American Express, Bank of America, Capital One Financial, Citibank, Discover, JPMorgan Chase, MBNA America Bank and The Metris Companies. Using one deal from each issuer as a benchmark, the index weights issuers by master trust balances and will also feature individual issuer comparisons against each other and against the index.
In choosing which deals to use as benchmarks for each issuer, Citigroup chose the highest coupon fixed-rate deals outstanding in a particular trust. In the case of issuers without any fixed-rate deals, floaters were substituted. The index also enables users to compare data from six alternative issuers, such as GE Capital Corp. and National City Bank, but does not directly include them in the index.
The index reports that chargeoffs are at the low end of an 18-month range, having improved to 5.20% from 5.36% in April, with peak charge-offs coming in at 6.42% last May. Citigroup attributes the positive numbers to a muted personal bankruptcy rate, moderate growth in revolving credit, and a strong economy. Master trust delinquencies remain in check and are also the lowest levels of an 18-month range, registering at 3.92%, experiencing a high of 4.74% in November 2003. Citigroup also reports that three-month average excess spread steadily improved over the last 18-months to 6.01% in April from a low of 4.16% in January.
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