2010 10 Credit Card Monitor

Credit Card Monitor
October 2010
VERO Capital
Management, LLC
Consumer ABS Research
research@verocm.com
October 31, 2010
Consumer Credit Survey .......
Performance Detail ........
Advanta Business Card Master Trust ....
American Express Credit Account Master Trust ..
Bank One Issuance Trust .......
Cabela's Master Credit Card Trust ....
Capital One Multi-Asset Execution Trust ..
10
Charming Shoppes Master Trust .......
11
Chase Credit Card Master Trust ........
12
Citibank Credit Card Issuance Trust .....
13
Citibank Omni Master Trust ........
14
Discover Card Master Trust I ......
15
Discovery Card Master Trust ......
16
First USA Credit Card Master Trust ......
17
GE Capital Credit Card Master Note Trust ..
18
Household Credit Card Master Note Trust I .
19
HSBC Private Label Credit Card Master Note Trust
20
MBNA Credit Card Master Note Trust .....
21
Providian Master Note Trust ......
22
Target Credit Card Master Trust .......
23
Washington Mutual Master Note Trust .....
24
Credit Card Monitor
October 2010
Consumer Credit Summary
Exhibit 1
Credit Cards Charge-off rates (Jan 99 Oct 10)
Date
Chg-Off
Date
Chg-Off
Dec 09
9.55
Dec 08
6.42
12
Nov 09
9.00
Nov 08
6.00
10
Charge Off
Oct 10
7.42
Oct 09
9.68
Oct 08
5.81
Sep 10
8.72
Sep 09
10.27
Sep 08
5.90
Aug 10
8.12
Aug 09
9.65
Aug 08
5.43
Jul 10
9.03
Jul 09
10.03
Jul 08
5.54
Jun 10
9.54
Jun 09
9.81
Jun 08
5.22
Ma y 10
9.62
Ma y 09
9.01
Ma y 08
5.24
Apr 10
9.92
Apr 09
8.53
Apr 08
5.03
Ma r 10
10.06
Ma r 09
8.02
Ma r 08
4.53
Feb 10
9.85
Feb 09
7.12
Feb 08
4.64
Ja n 10
9.18
Ja n 09
6.96
Ja n 08
4.33
4
2
Oct 08
Oct 09
Oct 10
Oct 08
Oct 09
Oct 10
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 98
0
Oct 00
Chg-Off
Oct 99
Date
Source: Bloomberg
Exhibit 2
Credit Cards Delinquency (90+ days) rate (Jan 99 Oct 10)
Date
Delinq
Date
Delinq
Dec 09
3.03
Dec 08
2.38
Nov 09
2.92
Nov 08
2.23
3
3
Delinquency 90+
Oct 10
2.14
Oct 09
2.75
Oct 08
2.10
Sep 10
2.37
Sep 09
2.79
Sep 08
2.05
Aug 10
2.53
Aug 09
2.92
Aug 08
2.05
Jul 10
2.62
Jul 09
2.99
Jul 08
2.04
Jun 10
2.70
Jun 09
3.05
Jun 08
2.03
Ma y 10
2.78
Ma y 09
3.06
Ma y 08
2.05
Apr 10
2.94
Apr 09
3.05
Apr 08
2.06
Ma r 10
3.08
Ma r 09
2.92
Ma r 08
2.04
Feb 10
3.10
Feb 09
2.71
Feb 08
1.98
Ja n 10
3.08
Ja n 09
2.49
Ja n 08
1.88
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 98
0
Oct 00
Delinq
Oct 99
Date
Source: Bloomberg
_______________________________________________________________________________________________________________________
Private & Confidential
2
Credit Card Monitor
October 2010
Exhibit 3
Credit Cards Excess Spread - 1Mo (Jan 99 Oct 10)
Date
Spread
Date
Spread
Dec 09
8.67
Dec 08
6.64
12
10
Excess Spread 1Mo
Nov 09
9.14
Nov 08
5.03
Oct 10
10.15
Oct 09
7.97
Oct 08
6.88
Sep 10
10.74
Sep 09
6.56
Sep 08
6.80
Aug 10
11.13
Aug 09
6.94
Aug 08
7.37
Jul 10
10.41
Jul 09
4.77
Jul 08
7.47
Jun 10
9.86
Jun 09
4.56
Jun 08
7.49
May 10
9.09
May 09
4.71
May 08
7.73
Apr 10
10.31
Apr 09
5.85
Apr 08
8.70
Mar 10
9.20
Mar 09
5.91
Mar 08
8.81
Feb 10
8.43
Feb 09
6.09
Feb 08
7.74
Jan 10
9.79
Jan 09
6.66
Jan 08
8.86
Source: Bloomberg
4
2
Oct 09
Oct 10
Oct 10
Oct 08
Oct 09
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 99
0
Oct 00
Spread
Oct 98
Date
Exhibit 4
Credit Cards Portfolio Yield - 1Mo (Jan 99 Oct 10)
Yield
20.51
Oct 09
20.61
Oct 08
17.68
Sep 10
22.16
Sep 09
19.86
Sep 08
17.64
Aug 10
21.72
Aug 09
19.80
Aug 08
17.78
Jul 10
22.17
Jul 09
18.13
Jul 08
17.85
Jun 10
21.94
Jun 09
17.80
Jun 08
17.72
Ma y 10
21.55
Ma y 09
17.09
Ma y 08
18.09
Apr 10
22.83
Apr 09
17.91
Apr 08
18.92
Ma r 10
22.18
Ma r 09
17.31
Ma r 08
18.83
Feb 10
20.80
Feb 09
16.50
Feb 08
18.55
Ja n 10
21.87
Ja n 09
17.72
Ja n 08
20.13
20
15
10
5
0
Oct 08
Oct 10
Oct 07
17.78
Oct 06
17.22
Nov 08
Oct 05
Dec 08
20.96
Oct 04
21.06
Nov 09
Oct 03
Dec 09
Portfolio Yield
25
Oct 02
Date
Oct 01
Yield
Oct 00
Date
Oct 99
Yield
Oct 98
Date
Source: Bloomberg
_______________________________________________________________________________________________________________________
3
Credit Card Monitor
October 2010
Exhibit 5
Credit Cards Prepayment Rate - 3Mo (Jan 99 Oct 10)
22.13
Oct 09
18.44
Oct 08
18.49
Sep 10
20.78
Sep 09
18.40
Sep 08
18.79
Aug 10
20.62
Aug 09
18.85
Aug 08
19.51
Jul 10
20.64
Jul 09
18.09
Jul 08
19.54
Jun 10
19.99
Jun 09
17.59
Jun 08
19.65
Ma y 10
19.81
Ma y 09
17.20
Ma y 08
18.96
Apr 10
20.05
Apr 09
18.18
Apr 08
19.63
Ma r 10
18.61
Ma r 09
16.64
Ma r 08
18.86
Feb 10
19.11
Feb 09
17.90
Feb 08
20.42
Ja n 10
19.83
Ja n 09
17.76
Ja n 08
19.58
20
15
10
5
0
Oct 10
Oct 10
Oct 09
19.06
Oct 08
Nov 08
Jun 10
18.72
Feb 10
Nov 09
Prepayment Rate 3Mo

25
Oct 07
16.67
Oct 06
Dec 08
Oct 05
18.07
Oct 04
Dec 09
Oct 03
Prepay
Oct 02
Date
Oct 01
Prepay
Oct 00
Date
Oct 99
Prepay
Oct 98
Date
Source: Bloomberg
Exhibit 6
Credit Cards Base Rate - 1Mo (Jan 99 Oct 10)
Value
Base Rate
Dec 09
2.65
Dec 08
3.72
Nov 09
2.64
Nov 08
6.43
Oct 10
2.46
Oct 09
2.69
Oct 08
4.44
Sep 10
2.52
Sep 09
2.69
Sep 08
4.36
Aug 10
2.72
Aug 09
2.70
Aug 08
4.33
Jul 10
2.73
Jul 09
2.79
Jul 08
4.27
Jun 10
2.71
Jun 09
2.83
Jun 08
4.48
Ma y 10
2.64
Ma y 09
2.91
Ma y 08
4.40
Apr 10
2.63
Apr 09
2.99
Apr 08
4.43
Ma r 10
2.62
Ma r 09
3.02
Ma r 08
5.11
Feb 10
2.59
Feb 09
2.99
Feb 08
5.42
Ja n 10
2.65
Ja n 09
3.52
Ja n 08
5.93
Oct 10
Oct 09
Jun 09
Feb 09
Oct 08
Jun 08
Oct 07
Feb 08
Jun 07
Jun 05
0
Feb 07
Date
Oct 06
Value
Jun 06
Date
Feb 06
Value
Oct 05
Date
Source: Bloomberg
_______________________________________________________________________________________________________________________
4
Credit Card Monitor
October 2010
Credit Card Performance Monitor Issuers Details
_______________________________________________________________________________________________________________________
5
Credit Card Monitor
October 2010
Advanta Business Card Master Trust (ABCMT)

3Mo
Yield Sprd 1Mo
Delinq
Charge
90+
Off
Charge Offs
60
50
40
30
20
10
31.30
34.36
34.99
24.42
Source: Bloomberg
Prepayment Rate 3Mo
Delinq 90+
7
25
Aug 10
Aug 09
Aug 08
Delinquency
35
30
Aug 07
Aug 06
Aug 05
2.32
2.70
3.04
3.07
Aug 04
-15.20
-18.00
-18.80
-9.13
Aug 03
19.59
19.85
19.74
18.84
Aug 02
3.92
3.91
4.18
4.18
Aug 01
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 09
Prepay Portfolio Excess
Aug 00
Date
Delinq 60-89
20
15
10
Source: Bloomberg
Portfolio Yield
Aug 10
Aug 09
Aug 08
Aug 07
Aug 06
Aug 05
Aug 10
Aug 09
Aug 08
Aug 07
Aug 06
Aug 05
Aug 04
-50
Aug 03
Aug 02
-40
Aug 01
Excess Spread
Aug 00
-30
Aug 10
10
Aug 09
-20
Aug 08
15
Aug 07
-10
Aug 06
20
Aug 05
Aug 04
25
Aug 03
10
Aug 02
30
Aug 01
20
Aug 00
Aug 04
Source: Bloomberg
35
Source: Bloomberg
Aug 03
Aug 02
Aug 00
Aug 10
Aug 09
Aug 08
Aug 07
Aug 06
Aug 05
Aug 04
Aug 03
Aug 02
Aug 01
Aug 00
1
Aug 01
Source: Bloomberg
_______________________________________________________________________________________________________________________
6
Credit Card Monitor
October 2010
American Express Credit Account Master Trust (AMXCA)
10
8
6
4
2
Source: Bloomberg
Prepayment Rate 3Mo
Delinquency
35
Delinq 91+
30
25
Oct 10
Oct 09
5.28
5.45
5.43
5.93
6.10
7.26
7.57
7.81
6.77
6.94
7.51
7.36
Oct 08
1.30
1.32
1.45
1.54
1.61
1.71
1.84
2.02
2.06
2.05
2.08
2.06
14.51
15.63
15.37
15.92
15.71
15.43
16.29
15.41
16.40
15.80
14.12
13.74
Oct 07
24.33
25.05
24.84
26.44
25.12
27.90
27.74
28.86
26.19
27.05
25.94
24.88
Oct 06
29.28
28.59
27.78
28.91
27.44
27.91
26.95
27.07
25.78
26.95
25.20
24.45
Charge Offs
12
Oct 05
Off
Oct 04
91+
Oct 03
Yield Sprd 1Mo
Oct 02
3Mo
Oct 01
Charge
Oct 00
Delinq
Oct 99
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 98
Date
Delinq 61-90
20
15
10
Oct 06
Oct 07
Oct 08
Oct 09
Oct 10
Oct 07
Oct 08
Oct 09
Oct 10
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 06
Source: Bloomberg
Oct 98
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 99
Oct 98
Oct 99
Source: Bloomberg
Portfolio Yield
Excess Spread
18
35
16
30
14
25
12
20
10
15
10
Source: Bloomberg
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 98
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 99
Oct 98
Oct 99
4
5
Source: Bloomberg
_______________________________________________________________________________________________________________________
7
Credit Card Monitor
October 2010
Bank One Issuance Trust (BOIT)
17.34
17.72
17.26
17.59
17.36
17.67
19.16
17.49
15.31
16.67
15.71
15.47
2.01
2.11
2.24
2.29
2.31
2.35
2.49
2.63
2.68
2.82
2.55
2.46
7.78
8.18
7.95
8.38
8.95
9.03
9.51
9.21
10.91
7.11
8.81
8.02
8.96
9.44
9.84
9.83
8.87
9.00
9.91
8.34
4.32
9.37
6.27
6.58
10
8
6
4
2
0
Source: Bloomberg
Prepayment Rate 3Mo

25
Oct 10
21.90
22.25
21.55
21.09
20.97
19.93
20.74
18.00
19.94
20.19
18.57
19.35
Charge Offs
12
Oct 09
Off
Oct 08
90+
Oct 07
Yield Sprd 1Mo
Oct 06
3Mo
Oct 05
Charge
Oct 04
Delinq
Oct 03
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 02
Date
Delinquency
Delinq 90+
Delinq 60-89
20
3
15
10
1
5
Oct 08
Oct 09
Oct 10
Oct 09
Oct 10
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 08
Source: Bloomberg
Oct 02
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Source: Bloomberg
Portfolio Yield
Excess Spread
12
25
10
20
15
6
10
4
5
Source: Bloomberg
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Source: Bloomberg
_______________________________________________________________________________________________________________________
8
Credit Card Monitor
October 2010
Cabela's Master Credit Card Trust (CABMT)
0.38
0.39
0.42
0.43
0.49
0.48
0.51
0.56
0.53
0.51
0.53
0.52
4.02
3.99
4.38
4.81
4.71
5.11
4.83
4.94
4.85
4.94
5.25
5.14
10.61
12.33
11.72
11.22
10.83
11.23
11.57
10.32
9.08
11.58
10.53
11.18
5
4
3
2
1
0
Source: Bloomberg
Prepayment Rate 3Mo

60
Oct 10
20.32
21.87
21.76
21.62
21.09
21.95
22.14
21.23
19.90
22.63
21.70
22.33
Oct 09
39.58
40.44
40.79
41.19
38.69
40.64
39.43
36.27
38.14
39.68
37.02
39.35
Charge Offs
6
Oct 08
Off
Oct 07
90+
Oct 06
Yield Sprd 1Mo
Oct 05
3Mo
Oct 04
Charge
Oct 03
Delinq
Oct 02
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 01
Date
Delinquency
Delinq 90+
Delinq 60-89
50
40
0
30
0
20
Oct 07
Oct 08
Oct 09
Oct 10
Oct 08
Oct 09
Oct 10
Oct 06
Oct 05
Oct 04
Oct 03
Oct 07
Source: Bloomberg
Oct 01
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
10
Oct 02
Source: Bloomberg
Portfolio Yield
Excess Spread
16
30
14
25
12
20
10
8
15
10
4
5
Source: Bloomberg
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Source: Bloomberg
_______________________________________________________________________________________________________________________
9
Credit Card Monitor
October 2010
Capital One Multi-Asset Execution Trust (COMET)
18.82
19.09
19.33
18.65
18.76
17.32
19.98
19.07
18.87
20.43
19.71
19.62
2.55
2.69
2.80
2.88
2.92
3.05
3.31
3.55
3.62
3.62
3.52
3.33
7.89
7.77
7.43
8.41
8.89
9.08
9.85
9.43
9.77
9.28
8.68
8.07
7.09
7.48
8.02
6.45
6.10
4.46
6.39
5.96
5.43
7.44
7.31
7.84
10
8
6
4
2
0
Source: Bloomberg
Prepayment Rate 3Mo

25
Oct 10
19.44
19.47
19.98
19.31
19.40
18.97
19.93
17.18
17.73
19.10
16.82
18.30
Charge Offs
12
Oct 09
Off
Oct 08
90+
Oct 07
Yield Sprd 1Mo
Oct 06
3Mo
Oct 05
Charge
Oct 04
Delinq
Oct 03
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 02
Date
Delinquency
Delinq 90+
Delinq 60-89
20
4
3
15
3
2
10
2
1
1
0
Oct 08
Oct 09
Oct 10
Oct 09
Oct 10
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 08
Source: Bloomberg
Oct 02
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Source: Bloomberg
Portfolio Yield
Excess Spread
14
25
12
20
10
15
10
6
4
Source: Bloomberg
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Source: Bloomberg
_______________________________________________________________________________________________________________________
10
Credit Card Monitor
October 2010
Charming Shoppes Master Trust (CSMT)
Source: Bloomberg
Prepayment Rate 3Mo
Jun 10
Jun 09
11.96
10.88
7.63
9.36
Jun 08
5.37
5.10
5.08
4.41
26.63
15.66
30.36
19.29
Jun 07
44.88
33.41
44.90
35.54
Jun 06
14.30
13.98
14.38
14.52
Charge Offs
20
18
16
14
12
10
8
6
4
2
0
Jun 05
Off
Jun 04
90+
Jun 03
Yield Sprd 1Mo
Jun 02
3Mo
Jun 01
Charge
Jun 00
Delinq
Jun 99
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Jun 98
Date
Delinquency
25
Delinq 90+
Delinq 60-89
20
5
15
10
2
5
Jun 06
Jun 07
Jun 08
Jun 09
Jun 10
Jun 07
Jun 08
Jun 09
Jun 10
Jun 05
Jun 04
Jun 03
Jun 02
Jun 01
Jun 00
Jun 99
Jun 06
Source: Bloomberg
Jun 98
Jun 10
Jun 09
Jun 08
Jun 07
Jun 06
Jun 05
Jun 04
Jun 03
Jun 02
Jun 01
Jun 00
Jun 99
Jun 98
Source: Bloomberg
Portfolio Yield
Excess Spread
35
50
45
30
40
35
25
30
20
25
20
15
15
10
10
Source: Bloomberg
Jun 05
Jun 04
Jun 03
Jun 02
Jun 01
Jun 00
Jun 99
Jun 98
Jun 10
Jun 09
Jun 08
Jun 07
Jun 06
Jun 05
Jun 04
Jun 03
Jun 02
Jun 01
Jun 00
Jun 99
Jun 98
Source: Bloomberg
_______________________________________________________________________________________________________________________
11
Credit Card Monitor
October 2010
Chase Credit Card Master Trust (CHAMT)
20
15
10
5
Source: Bloomberg
Prepayment Rate 3Mo
Oct 10
Oct 09
8.05
8.93
7.88
8.32
9.35
9.22
8.19
9.90
11.93
7.58
9.83
8.89
Oct 08
2.09
2.20
2.38
2.42
2.39
2.44
2.58
2.78
2.83
3.05
2.75
2.67
7.50
6.74
7.33
7.70
5.97
6.79
9.73
5.69
0.95
6.56
3.73
4.05
Oct 07
17.66
17.80
17.41
18.23
17.51
18.12
20.01
17.68
14.97
16.23
15.65
15.04
Oct 06
19.71
19.71
19.23
19.12
18.40
17.34
18.48
15.65
17.64
17.82
16.19
16.49
Charge Offs
25
Oct 05
Off
Oct 04
90+
Oct 03
Yield Sprd 1Mo
Oct 02
3Mo
Oct 01
Charge
Oct 00
Delinq
Oct 99
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 98
Date
Delinquency
25
Delinq 90+
Delinq 60-89
20
3
3
15
2
10
1
0
Oct 06
Oct 07
Oct 08
Oct 09
Oct 10
Oct 07
Oct 08
Oct 09
Oct 10
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 99
Oct 06
Source: Bloomberg
Oct 98
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 99
Oct 98
Source: Bloomberg
Portfolio Yield
35
12
30
10
25
Excess Spread
20
6
15
Source: Bloomberg
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 98
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 99
Oct 98
Oct 99
10
Source: Bloomberg
_______________________________________________________________________________________________________________________
12
Credit Card Monitor
October 2010
Citibank Credit Card Issuance Trust (CCCIT)
8.99
11.18
9.10
11.46
11.16
11.23
11.55
11.29
9.80
9.56
10.29
8.79
12
10
8
6
4
2
Source: Bloomberg
Prepayment Rate 3Mo
Oct 10
2.55
2.59
2.84
2.93
3.04
3.03
3.11
3.16
3.10
2.95
2.98
2.83
7.08
5.84
6.63
6.03
6.14
4.87
5.39
6.46
6.00
5.52
5.51
6.53
Oct 09
18.52
19.48
18.24
20.04
19.84
18.48
19.28
20.13
18.14
17.43
18.19
17.77
Oct 08
18.96
18.23
18.57
19.21
17.25
18.09
18.06
17.25
17.12
18.47
16.03
17.46
Charge Offs
14
Oct 07
Off
Oct 06
95+
Oct 05
Yield Sprd 1Mo
Oct 04
3Mo
Oct 03
Charge
Oct 02
Delinq
Oct 01
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 00
Date
Delinquency
25
Delinq 95+
Delinq 35-94
20
3
3
15
2
10
1
0
Source: Bloomberg
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Source: Bloomberg
Portfolio Yield
Excess Spread
10
25
9
8
20
15
6
5
10
3
5
2
1
Source: Bloomberg
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Source: Bloomberg
_______________________________________________________________________________________________________________________
13
Credit Card Monitor
October 2010
Citibank Omni Master Trust (COMNI)

Yield Sprd 1Mo
95+
Off
11.53
11.00
11.51
11.69
10.75
11.63
11.89
10.84
11.05
11.63
10.08
10.73
25.16
26.14
24.88
25.62
26.00
25.55
27.71
28.52
24.16
23.25
26.03
24.14
3.79
3.79
3.87
3.87
4.09
4.23
4.38
4.57
4.50
4.36
4.45
4.38
11.50
12.29
12.19
13.56
13.70
13.79
13.49
14.57
12.98
11.93
14.10
11.72
7.89
8.05
6.80
6.28
6.58
6.07
8.63
8.98
6.61
6.95
7.51
7.86
Charge Offs
16
14
12
10
8
6
4
2
0
Source: Bloomberg
Prepayment Rate 3Mo

14
Oct 10
3Mo
Oct 09
Charge
Oct 08
Delinq
Oct 07
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 06
Date
Delinquency
Delinq 95+
Delinq 65-94
8
6
4
2
Oct 08
Oct 10
Oct 09
Oct 08
Oct 07
Source: Bloomberg
Source: Bloomberg
Portfolio Yield
10
20
15
10
Source: Bloomberg
Oct 10
25
Excess Spread
Oct 08
12
Oct 10
30
Oct 09
14
Oct 08
35
Oct 09
Oct 06
Oct 10
10
Oct 09
5
5
4
4
3
3
2
2
1
1
0
12
Source: Bloomberg
_______________________________________________________________________________________________________________________
14
Credit Card Monitor
October 2010
Discover Card Master Trust I (DCMT)
Source: Bloomberg
Source: Bloomberg
Oct 10
Oct 09
Oct 10
Oct 09
Oct 05
Oct 04
Delinq 60-89
Oct 03
Oct 02
Oct 01
Oct 00
Oct 98
Oct 10
Oct 09
Oct 08
Oct 07
1
Oct 06
10
Oct 05
20
Oct 04
30
Oct 03
Oct 02
40
Oct 01
Oct 00
50
Oct 99
60
Oct 98
Oct 99
Delinq 90+
70
Oct 08
Delinquency
80
Oct 08
Prepayment Rate 3Mo
Oct 07
7.15
7.98
7.28
8.00
8.82
8.42
8.51
9.11
8.58
8.68
8.98
8.54
Oct 07
2.30
2.38
2.56
2.61
2.68
2.76
2.91
3.03
3.02
2.96
2.95
2.91
13.13
12.92
13.63
12.03
11.92
10.07
12.40
10.79
10.61
12.23
11.10
11.87
Oct 06
18.76
19.43
19.59
18.84
19.51
17.45
19.74
18.83
17.87
19.68
19.17
19.60
Oct 06
21.08
21.12
21.01
20.47
20.45
19.56
19.80
18.88
20.29
20.05
18.55
18.57
Charge Offs
10
9
8
7
6
5
4
3
2
1
0
Oct 05
Off
Oct 04
90+
Oct 03
Yield Sprd 1Mo
Oct 02
3Mo
Oct 01
Charge
Oct 00
Delinq
Oct 99
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 98
Date
Source: Bloomberg
Portfolio Yield
Excess Spread
16
25
14
20
12
10
15
8
10
6
4
Source: Bloomberg
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 99
Oct 98
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 99
Oct 98
Source: Bloomberg
_______________________________________________________________________________________________________________________
15
Credit Card Monitor
October 2010
Discovery Card Master Trust (DCENT)

3Mo
Yield Sprd 1Mo
90+
Off
21.08
21.12
20.91
20.47
20.45
19.56
19.80
18.88
20.29
20.05
18.55
18.57
23.56
24.23
23.34
23.49
24.15
21.90
24.21
23.08
22.49
24.23
23.35
23.77
2.30
2.38
2.56
2.61
2.68
2.76
2.91
3.03
3.02
2.96
2.95
2.91
7.15
7.98
7.40
8.00
8.82
8.42
8.51
9.11
8.58
8.68
8.98
8.54
13.13
12.92
13.63
12.03
11.92
10.07
12.40
10.79
10.61
11.49
11.10
11.87
Charge Offs
10
9
8
7
6
5
4
3
2
1
0
Source: Bloomberg
Prepayment Rate 3Mo

25
Oct 10
Charge
Oct 09
Delinq
Oct 08
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 07
Date
Delinquency
Delinq 90+
Delinq 60-89
20
3
3
15
2
10
1
0
Oct 09
Oct 10
Oct 10
Oct 08
Oct 09
Source: Bloomberg
Oct 07
Oct 10
Oct 09
Oct 08
Oct 07
Source: Bloomberg
Portfolio Yield
Excess Spread
16
30
14
25
12
20
10
8
15
10
4
5
Source: Bloomberg
Oct 08
Oct 07
Oct 10
Oct 09
Oct 08
Oct 07
Source: Bloomberg
_______________________________________________________________________________________________________________________
16
Credit Card Monitor
October 2010
First USA Credit Card Master Trust (FUSAM)
8
7
6
5
4
3
2
1
0
Source: Bloomberg
Prepayment Rate 3Mo
Apr 08
Apr 07
4.46
4.88
4.50
4.70
4.66
4.20
3.91
4.09
3.95
3.39
3.63
3.72
Apr 06
1.52
1.54
1.58
1.57
1.62
1.64
1.59
1.50
1.45
1.42
1.34
1.29
6.30
5.90
6.75
5.73
7.05
7.49
6.66
7.88
10.36
6.29
5.31
5.74
Apr 05
15.23
15.27
15.76
15.15
16.47
16.76
16.43
18.74
20.80
16.48
16.26
16.74
Apr 04
18.71
18.29
19.04
17.45
18.71
17.57
19.61
18.37
17.38
18.92
18.22
19.65
Charge Offs
9
Apr 03
Off
Apr 02
90+
Apr 01
Yield Sprd 1Mo
Apr 00
3Mo
Apr 99
Charge
Apr 98
Delinq
Apr 97
Aug 08
Jul 08
Jun 08
Ma y 08
Apr 08
Ma r 08
Feb 08
Ja n 08
Dec 07
Nov 07
Oct 07
Sep 07
Apr 96
Date
Delinquency
25
Delinq 90+
Delinq 60-89
20
3
3
15
2
10
1
0
Apr 04
Apr 05
Apr 06
Apr 07
Apr 08
Apr 05
Apr 06
Apr 07
Apr 08
Apr 03
Apr 02
Apr 01
Apr 00
Apr 99
Apr 98
Apr 97
Apr 04
Source: Bloomberg
Apr 96
Apr 08
Apr 07
Apr 06
Apr 05
Apr 04
Apr 03
Apr 02
Apr 01
Apr 00
Apr 99
Apr 98
Apr 97
Apr 96
Source: Bloomberg
Portfolio Yield
Excess Spread
12
25
10
20
15
6
10
4
5
Source: Bloomberg
Apr 03
Apr 02
Apr 01
Apr 00
Apr 99
Apr 98
Apr 97
Apr 96
Apr 08
Apr 07
Apr 06
Apr 05
Apr 04
Apr 03
Apr 02
Apr 01
Apr 00
Apr 99
Apr 98
Apr 97
Apr 96
Source: Bloomberg
_______________________________________________________________________________________________________________________
17
Credit Card Monitor
October 2010
GE Capital Credit Card Master Note Trust (GEMNT)

Off
13.97
13.38
13.69
13.68
14.74
14.59
13.82
13.62
13.57
13.31
12.43
12.88
25.43
24.42
24.12
23.36
23.86
24.31
25.96
26.63
21.04
22.00
21.89
19.04
2.44
2.37
2.32
2.26
2.41
2.43
2.66
2.70
2.71
2.58
2.64
2.50
9.01
8.64
8.15
9.31
9.52
10.04
9.28
9.21
9.20
9.22
9.30
8.15
10.50
9.85
10.05
7.89
8.21
8.34
10.62
11.03
6.18
7.02
6.41
5.06
Charge Offs
14
12
10
8
6
4
2
Source: Bloomberg
Prepayment Rate 3Mo
Delinquency
18
Delinq 90+
16
Oct 10
90+
Oct 09
Yield Sprd 1Mo
Oct 08
3Mo
Oct 07
Charge
Oct 06
Delinq
Oct 05
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 04
Date
Delinq 60-89
14
12
10
Oct 08
Oct 09
Oct 10
Oct 09
Oct 10
Oct 07
Oct 04
Oct 08
Source: Bloomberg
Oct 06
Oct 10
Oct 09
1
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 05
Source: Bloomberg
Portfolio Yield
35
16
30
14
Excess Spread
12
25
10
20
8
15
10
Source: Bloomberg
Oct 07
Oct 06
Oct 04
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
0
Oct 05
Oct 04
Oct 05
Source: Bloomberg
_______________________________________________________________________________________________________________________
18
Credit Card Monitor
October 2010
Household Credit Card Master Note Trust I (HMNT)
13.47
11.05
12.33
12.85
14.01
11.84
12.84
12.21
12.91
11.93
12.89
12.06
14
12
10
8
6
4
2
0
Source: Bloomberg
Prepayment Rate 3Mo
Oct 10
3.16
3.42
3.49
3.55
3.39
3.68
3.67
3.77
3.64
3.77
3.69
3.76
0.79
1.56
2.13
2.26
1.55
2.60
3.27
3.64
5.11
5.53
4.85
6.29
Oct 09
22.79
22.48
23.17
22.37
22.18
21.70
23.02
22.13
24.49
23.24
22.57
22.92
Oct 08
7.56
7.46
7.66
7.39
7.47
7.35
7.73
6.32
6.65
6.35
6.02
6.36
Charge Offs
16
Oct 07
Off
Oct 06
60+
Oct 05
Yield Sprd 1Mo
Oct 04
3Mo
Oct 03
Charge
Oct 02
Delinq
Oct 01
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 00
Date
Delinquency
12
Delinq 60+
Delinq 30-59
10
4
8
3
3
2
1
1
0
Source: Bloomberg
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Source: Bloomberg
Portfolio Yield
Excess Spread
14
30
12
25
10
20
8
6
15
10
2
5
Source: Bloomberg
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
Oct 10
Oct 09
Oct 08
Oct 07
Oct 06
Oct 05
Oct 04
Oct 03
Oct 02
Oct 01
Oct 00
-2
Source: Bloomberg
_______________________________________________________________________________________________________________________
19
Credit Card Monitor
October 2010
HSBC Private Label Credit Card Master Note Trust (HPLCC)
3.57
3.44
3.44
3.56
3.45
3.78
3.69
3.51
3.27
3.32
3.33
3.23
10.33
10.30
10.29
9.97
11.33
10.63
9.56
9.95
10.32
9.77
9.44
9.03
3.30
4.43
5.12
7.32
7.36
8.76
11.59
11.41
13.00
13.31
17.95
16.23
25
20
15
10
5
0
-5
Source: Bloomberg
Prepayment Rate 3Mo

18
Delinquency
Delinq 90+
16
Feb 10
29.39
28.51
26.85
28.44
27.58
27.11
28.46
26.97
28.17
26.52
29.87
27.98
Feb 09
12.44
12.18
10.87
11.14
9.83
9.45
10.40
10.30
10.65
9.91
11.44
10.24
Charge Offs
30
Feb 08
Off
Feb 07
90+
Feb 06
Yield Sprd 1Mo
Feb 05
3Mo
Feb 04
Charge
Feb 03
Delinq
Feb 02
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 09
Sep 09
Aug 09
Jul 09
Jun 09
Ma y 09
Apr 09
Ma r 09
Feb 01
Date
Delinq 60-89
14
12
10
Source: Bloomberg
Portfolio Yield
Feb 10
Feb 09
Feb 08
Feb 07
Feb 06
Feb 10
Feb 09
Feb 08
Feb 07
Feb 06
-10
Feb 05
Feb 04
-5
Feb 03
Feb 02
Excess Spread
Feb 01
10
Feb 10
Feb 09
15
Feb 08
10
Feb 07
20
Feb 06
15
Feb 05
25
Feb 04
20
Feb 03
30
Feb 02
25
Feb 01
Feb 05
Source: Bloomberg
35
Source: Bloomberg
Feb 04
Feb 03
Feb 01
Feb 10
Feb 09
Feb 08
Feb 07
Feb 06
Feb 05
Feb 04
Feb 03
Feb 02
Feb 01
Feb 02
Source: Bloomberg
_______________________________________________________________________________________________________________________
20
Credit Card Monitor
October 2010
MBNA Credit Card Master Note Trust (MBNAS)
3.13
3.31
3.47
3.66
3.75
3.95
4.08
4.12
4.05
4.08
3.94
11.73
11.39
11.98
13.33
12.71
12.54
13.51
13.25
13.53
13.00
13.22
13.11
13.30
12.21
10.40
10.70
11.47
8.25
7.85
9.13
7.73
8.28
14
12
10
8
6
4
2
0
Source: Bloomberg
Prepayment Rate 3Mo

25
Sep 10
27.38
27.30
26.82
26.38
26.04
26.61
24.45
23.80
25.38
23.45
24.23
Sep 09
14.99
14.93
14.86
14.42
14.42
14.84
13.29
13.81
14.24
13.24
14.18
Charge Offs
16
Sep 08
Off
Sep 07
90+
Sep 06
Yield Sprd 1Mo
Sep 05
3Mo
Sep 04
Charge
Sep 03
Delinq
Sep 02
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Sep 01
Date
Delinquency
Delinq 90+
Delinq 60-89
Sep 07
Sep 08
Sep 09
Sep 10
Sep 07
Sep 08
Sep 09
Sep 10
Source: Bloomberg
Sep 01
Sep 10
Sep 09
Sep 08
Sep 07
Sep 06
Sep 05
Sep 04
Sep 03
Sep 02
Sep 01
Sep 06
Sep 05
10
Sep 04
15
Sep 03
20
Sep 02
5
5
4
4
3
3
2
2
1
1
0
Source: Bloomberg
Portfolio Yield
30
14
25
12
Excess Spread
10
20
8
15
6
10
Source: Bloomberg
Sep 06
Sep 05
Sep 04
Sep 03
Sep 01
Sep 10
Sep 09
Sep 08
Sep 07
Sep 06
Sep 05
Sep 04
Sep 03
0
Sep 02
Sep 01
Sep 02
Source: Bloomberg
_______________________________________________________________________________________________________________________
21
Credit Card Monitor
October 2010
Providian Master Note Trust (PMNT)

3Mo
Yield Sprd 1Mo
Delinq
Charge
Off
Charge Offs
14
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
12
10
8
6
4
2
Source: Bloomberg
Prepayment Rate 3Mo
Sep 10
Sep 09
Sep 08
Sep 07
Sep 05
Sep 06
Date
Delinquency
10
Delinq
Delinq
6
6
Sep 09
Sep 10
Sep 10
Sep 08
Sep 07
Sep 06
Sep 09
Source: Bloomberg
Sep 05
Sep 10
Sep 09
Sep 08
Sep 07
Sep 06
-2
Sep 05
Source: Bloomberg
Portfolio Yield
30
14
25
12
Excess Spread
10
20
8
15
6
10
Source: Bloomberg
Sep 08
Sep 07
Sep 05
Sep 10
Sep 09
Sep 08
Sep 07
Sep 06
Sep 05
Sep 06
Source: Bloomberg
_______________________________________________________________________________________________________________________
22
Credit Card Monitor
October 2010
Target Credit Card Master Trust (TGT)
4.17
4.49
4.65
4.61
4.69
4.59
4.28
4.12
4.10
4.16
4.28
4.39
15.93
15.09
14.82
15.25
14.99
13.49
14.37
14.39
13.95
15.78
15.49
15.73
8.54
8.59
7.57
6.98
6.40
9.04
8.19
7.39
8.38
6.68
5.80
3.23
16
14
12
10
8
6
4
2
0
Source: Bloomberg
Prepayment Rate 3Mo
Delinquency
40
Delinq 90+
35
Apr 10
26.71
25.90
24.62
24.45
23.62
24.77
24.81
24.04
24.60
24.75
23.57
21.36
Apr 09
13.26
12.98
13.02
12.28
11.19
11.35
11.75
11.40
11.46
11.74
11.54
11.06
Charge Offs
18
Apr 08
Off
Apr 07
90+
Apr 06
Yield Sprd 1Mo
Apr 05
3Mo
Apr 04
Charge
Apr 03
Delinq
Apr 02
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Oct 09
Sep 09
Aug 09
Jul 09
Jun 09
Ma y 09
Apr 01
Date
Delinq 60-89
Source: Bloomberg
Apr 10
Apr 09
Apr 01
Apr 10
Apr 09
Apr 08
Apr 07
Apr 06
Apr 05
Apr 04
Apr 03
Apr 02
Apr 01
Apr 08
Apr 07
10
Apr 06
15
Apr 05
20
Apr 04
25
Apr 03
30
Apr 02
5
5
4
4
3
3
2
2
1
1
0
Source: Bloomberg
Portfolio Yield
Excess Spread
30
45
40
25
35
20
30
25
15
20
10
15
10
Source: Bloomberg
Apr 10
Apr 09
Apr 08
Apr 07
Apr 06
Apr 05
Apr 04
Apr 03
Apr 02
Apr 01
Apr 10
Apr 09
Apr 08
Apr 07
Apr 06
Apr 05
Apr 04
Apr 03
Apr 02
Apr 01
Source: Bloomberg
_______________________________________________________________________________________________________________________
23
Credit Card Monitor
October 2010
Washington Mutual Master Note Trust (WMMNT)

3Mo
Yield Sprd 1Mo
Delinq
Charge
Off
Charge Offs
16
14
12
10
8
6
4
2.64
4.85
6.08
5.18
2.12
Source: Bloomberg
Delinquency
Apr 08
Apr 07
Delinq
Apr 10
Source: Bloomberg
8
7
6
5
4
3
2
1
0
-1
Apr 06
Mar 10
Mar 09
Mar 08
Mar 07
Delinq
Mar 06
18
16
14
12
10
8
6
4
2
0
-2
Apr 10
Prepayment Rate 3Mo
Mar 10
0
Mar 09
0.72
0.73
2.80
2.32
1.80
Apr 09
11.87
6.91
6.88
6.85
9.89
Apr 09
17.40
14.65
15.85
14.93
14.91
Mar 08
15.53
16.51
17.05
15.28
15.23
Mar 07
Oct 10
Sep 10
Aug 10
Jul 10
Jun 10
Ma y 10
Apr 10
Ma r 10
Feb 10
Ja n 10
Dec 09
Nov 09
Mar 06
Date
Source: Bloomberg
Portfolio Yield
Excess Spread
14
30
12
25
10
20
8
6
15
10
2
5
Source: Bloomberg
Apr 08
Apr 07
Apr 06
Apr 10
Apr 09
Apr 08
Apr 07
Apr 06
-2
Source: Bloomberg
_______________________________________________________________________________________________________________________
24

2010 10 Credit Card Monitor

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2010 10 Credit Card Monitor

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Credit Card Monitor

Consumer Credit Survey .......

Performance Detail ........

Advanta Business Card Master Trust ....

American Express Credit Account Master Trust ..

Bank One Issuance Trust .......

Cabela's Master Credit Card Trust ....

Capital One Multi-Asset Execution Trust ..

Charming Shoppes Master Trust .......

Chase Credit Card Master Trust ........

Citibank Credit Card Issuance Trust .....

Citibank Omni Master Trust ........

Discover Card Master Trust I ......

Discovery Card Master Trust ......

First USA Credit Card Master Trust ......

GE Capital Credit Card Master Note Trust ..

Household Credit Card Master Note Trust I .

HSBC Private Label Credit Card Master Note Trust

MBNA Credit Card Master Note Trust .....

Providian Master Note Trust ......

Target Credit Card Master Trust .......

Washington Mutual Master Note Trust .....

Credit Card Monitor

Consumer Credit Summary

Credit Cards Charge-off rates (Jan 99 Oct 10)

Credit Cards Delinquency (90+ days) rate (Jan 99 Oct 10)

Credit Card Monitor

Credit Cards Excess Spread - 1Mo (Jan 99 Oct 10)

Excess Spread 1Mo

Credit Cards Portfolio Yield - 1Mo (Jan 99 Oct 10)

Credit Card Monitor

Credit Cards Prepayment Rate - 3Mo (Jan 99 Oct 10)

Prepayment Rate 3Mo

Credit Cards Base Rate - 1Mo (Jan 99 Oct 10)

Credit Card Monitor

Credit Card Performance Monitor Issuers Details

Credit Card Monitor

Advanta Business Card Master Trust (ABCMT)

Yield Sprd 1Mo

Prepayment Rate 3Mo

Prepay Portfolio Excess

Credit Card Monitor

American Express Credit Account Master Trust (AMXCA)

Prepayment Rate 3Mo

Yield Sprd 1Mo

Prepay Portfolio Excess

Credit Card Monitor

Bank One Issuance Trust (BOIT)

Prepayment Rate 3Mo

Yield Sprd 1Mo

Prepay Portfolio Excess

Credit Card Monitor

Cabela's Master Credit Card Trust (CABMT)

Prepayment Rate 3Mo

Yield Sprd 1Mo

Prepay Portfolio Excess

Credit Card Monitor

Capital One Multi-Asset Execution Trust (COMET)

Prepayment Rate 3Mo

Yield Sprd 1Mo

Prepay Portfolio Excess

Credit Card Monitor

Charming Shoppes Master Trust (CSMT)