DBRS Publishes First Quarter 2010 Canadian Credit Card Performance Index

DBRS has today published the First Quarter 2010 Canadian Credit Card Performance Index, dating from January 2000. The index is published quarterly and provides data on key performance metrics, including gross yield, loss rate, payment rate and excess spread. To be consistent with other metrics, excess spread is also reported at the issuer level, taking into consideration the weighted-average cost of funds and expenses of all outstanding series.

Since the release of the inaugural index up to Q4 2009 on March 3, 2010, the average loss rate has continued to stabilize and stood at 6.14% as of March 31, 2010, almost unchanged from the end of 2009. This is consistent with what DBRS expected. February saw a small spike to 6.33%, due to the usual seasonality. Loss rates among issuers remained divergent, ranging from around 4% to as high as 12%.

The average payment rate remained high at 32.08% at the end of March, almost unchanged from the end of 2009. The difference in payment rates among issuers continued to be large, ranging from 10.39% to 48.21%. As expected, January and February payment rates were relatively lower due to seasonality. Average gross yield at the end of March was 21.13%, again almost unchanged from the end of 2009. Average excess spread remained resilient and reached a historical peak of 10.1% at the end of March. There continued to be a large gap among issuers as excess spread ranged from 4.98% to 14.34%.

All securitization transactions rated by DBRS and funded either in the term or commercial paper markets are included in the calculation of industry averages. These averages are dollar-weighted and based on the receivables balance of custodial pools at the end of each reporting period. As such, these metrics are monthly results. The custodial pool is generally a subset of an issuer’s managed portfolio, depending on the mix of the issuer’s receivables and the matter in which eligible receivables are selected for securitizations. As at March 31, 2010, the aggregate custodial pool stood at $44.9 billion.

In order to provide investors timely and insightful analysis, DBRS monitors each class of all credit card transactions on a monthly basis, focusing on the key performance metrics of securitization portfolios in recent months and, if appropriate, revising base case assumptions and performing stress testing under various scenarios.

Copies of the index are available at www.dbrs.com or by contacting us at info@dbrs.com.

Notes:
All figures are in Canadian dollars unless otherwise noted.

The applicable methodology is DBRS Criteria for Canadian Credit Card Securitization, which can be found on our website under Methodologies.

MEDIA CONTACT
Caroline Creighton
Senior Vice President,
Communications
Tel. +1 416 597 7317