S&P/Experian Credit Default Indices Show Decreases in Default Rates Across All Loan Types

Data through June 2011, released today by S&P Indices and Experian for the S&P/Experian Consumer Credit Default Indices, a comprehensive measure of changes in consumer credit defaults, showed first and second mortgages default rates decreased in June to 2.02% and 1.40%, respectively, from May rates of 2.09% and 1.42%. Auto loans default rate went down from 1.34% in May to 1.29% in June; and bank cards experienced the largest decrease in June from 5.93% to 5.69%.

“Default rates are continuing to decline across major consumer credit categories,” says David M. Blitzer, Managing Director and Chairman of the Index Committee for S&P Indices. “More importantly for the economy, the Federal Reserve reported that revolving credit – which includes bank cards – rose in May for the first time since 2008. Combined with the improving default experience we are seeing this is a positive sign for an economy suffering from a lack of consumer spending.  Looking at the five leading cities highlighted in this report, the lingering effects of the housing bust can be seen in the Miami where default rates remain higher than the other cities.”

Consumer credit defaults varied across major cities in the U.S. Among the five major Metropolitan Statistical Areas (MSAs) reported in this release each month, Chicago experienced a large increase in default rates, from 2.37% in May to 2.59% in June. Dallas and Miami increased moderately to 1.59% and 5.41%, from 1.58% and 5.31%. New York and Los Angeles saw default rates decrease to 1.82% and 2.17% in June, from 1.94% and 2.39% in May, respectively.

The table below summarizes the June 2011 results for the S&P/Experian Credit Default Indices. These data are not seasonally adjusted and are not subject to revision.

S&P/Experian Consumer Credit Default Indices National Indices

Source: S&P/Experian Consumer Credit Default Indices
Data through June 2011

Jointly developed by S&P Indices and Experian, the S&P/Experian Consumer Credit Default Indices are published on the third Tuesday of each month at 9:00 am ET. They are constructed to accurately track the default experience of consumer balances in four key loan categories: auto, bankcard, first mortgage lien and second mortgage lien. The Indices are calculated based on data extracted from Experian’s consumer credit database. This database is populated with individual consumer loan and payment data submitted by lenders to Experian every month. Experian’s base of data contributors includes leading banks and mortgage companies, and covers approximately $11 trillion in outstanding loans sourced from 11,500 lenders.

For more information, please visit: www.consumercreditindices.standardandpoors.com.

S&P Indices, a part of McGraw-Hill Financial, is the world’s leading index provider maintaining a wide variety of investable and benchmark indices. Over $1.25 trillion is directly indexed to Standard & Poor’s family of indices, which includes the S&P 500, the world’s most followed stock market index, the S&P/Case-Shiller Home Price Indices, the leading measure of U.S. home prices, the S&P Global BMI, an index with approximately 11,000 constituents, the S&P GSCI, the industry’s most closely watched commodities index, and the S&P National AMT-Free Municipal Bond Index, the premier investable index for U.S. municipal bonds.

Standard & Poor’s does not sponsor, endorse, sell or promote any S&P index-based investment product. The S&P/Experian Consumer Credit Default Indices are products of S&P Indices, which operates independently of Standard & Poor’s Ratings Group. Standard & Poor’s Ratings Group plays no role in the compilation, distribution or licensing of the Indices.

Formed as a response to market needs, Experian Capital Markets leverages Experian’s comprehensive U.S. consumer and business databases to provide data and analytics to serve the transparency needs of the structured finance market participants. By taking underlying borrower data and applying advanced analytics, Experian provides insight into U.S. consumer and business credit behavior across all obligations, helping to forecast future payment patterns on prepayments, delinquencies, charge-offs or defaults for non-agency residential mortgage–backed securities and other asset-backed securities.