RiskMetrics Group just recently completed a report on Credit Card Master Performance Trusts. The report examines why credit quality measures deteriorated across several credit card issuers during September, ending a summer in which credit quality stablized for most issuers in the survey group. Prior to the summer, we had seen credit quality measures deteriorate since early 2006.

The September data from our survey of credit card master trusts may indicate developing credit pressures for the U.S. retail consumer. We found that credit card master trusts whose underlying credit cards had direct exposure to the retail sector experienced greater deterioration in their credit quality measures compared to other master trusts in our survey group. Those credit card master trusts with direct retail exposure included those with private-label and co-branded credit cards.

For our survey group as a whole, our adjusted credit quality measure (accounts that are 60 or more days delinquent + charge offs) deteriorated during September 2007 on a sequential and year-over-year basis. That is 41 basis points sequentially, and 93 basis points year-over-year. While we cannot draw a straight line between the deterioration in the housing market and the deterioration in credit quality at several credit card issuers, the timing suggests that there is, at the very least, some connection. Looking forward, we anticipate that credit card charge off rates will continue to rise through the holiday season and into 2008.