Predicting Credit Card Delinquency Rates, Accessible Data

Percent
Quarterly, s.a.

Date	Seasonally Adjusted Credit Card Delinquency Rate
2000 Q1	4.42
2000 Q2	4.39
2000 Q3	4.62
2000 Q4	4.63
2001 Q1	5.11
2001 Q2	5.53
2001 Q3	5.58
2001 Q4	5.90
2002 Q1	5.86
2002 Q2	5.74
2002 Q3	5.76
2002 Q4	5.90
2003 Q1	5.97
2003 Q2	6.02
2003 Q3	5.87
2003 Q4	5.51
2004 Q1	5.30
2004 Q2	5.07
2004 Q3	4.78
2004 Q4	4.78
2005 Q1	4.55
2005 Q2	4.31
2005 Q3	4.45
2005 Q4	3.95
2006 Q1	4.09
2006 Q2	4.37
2006 Q3	4.45
2006 Q4	4.46
2007 Q1	4.25
2007 Q2	4.41
2007 Q3	4.68
2007 Q4	4.89
2008 Q1	4.97
2008 Q2	5.20
2008 Q3	5.38
2008 Q4	5.99
2009 Q1	6.86
2009 Q2	7.16
2009 Q3	6.88
2009 Q4	6.63
2010 Q1	6.35
2010 Q2	5.96
2010 Q3	5.25
2010 Q4	4.86
2011 Q1	4.30
2011 Q2	3.91
2011 Q3	3.68
2011 Q4	3.60
2012 Q1	3.42
2012 Q2	3.39
2012 Q3	3.15
2012 Q4	3.05
2013 Q1	2.95
2013 Q2	2.82
2013 Q3	2.81
2013 Q4	2.62
2014 Q1	2.54
2014 Q2	2.48
2014 Q3	2.46
2014 Q4	2.49
2015 Q1	2.40
2015 Q2	2.47
2015 Q3	2.46
2015 Q4	2.43
2016 Q1	2.46
2016 Q2	2.51
2016 Q3	2.61
2016 Q4	2.67
2017 Q1	2.73
2017 Q2	2.88
2017 Q3	3.03
2017 Q4	2.95
2018 Q1	2.94
2018 Q2	2.94
2018 Q3	3.04
2018 Q4	3.01
2019 Q1	3.04
2019 Q2	3.11
2019 Q3	3.21
2019 Q4	3.18
2020 Q1	3.16
2020 Q2	2.83
2020 Q3	2.51
2020 Q4	2.47
2021 Q1	2.31
2021 Q2	1.95
2021 Q3	1.93
2021 Q4	2.01
2022 Q1	2.14
2022 Q2	2.25
2022 Q3	2.46
2022 Q4	2.78
2023 Q1	3.05
2023 Q2	3.51
2023 Q3	3.77
2023 Q4	3.90
2024 Q1	4.01
2024 Q2	4.18
2024 Q3	4.28

Note: Fraction of balances at least 30 days past due, excluding severely derogatory balances.

Source: Federal Reserve Bank of New York Consumer Credit Panel/Equifax.

Percent

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Date	Observed Seasonally Adjusted Credit Card Delinquency Rate	Predicted Seasonally Adjusted Credit Card Delinquency Rate	Lower 95% Confidence Bound on Prediction	Upper 95% Confidence Bound on Prediction
2000 Q1	4.42	4.29	4.10	4.48
2000 Q2	4.39	4.52	4.32	4.72
2000 Q3	4.62	4.46	4.27	4.65
2000 Q4	4.63	4.50	4.32	4.67
2001 Q1	5.11	4.69	4.54	4.84
2001 Q2	5.53	4.90	4.78	5.02
2001 Q3	5.58	4.94	4.82	5.06
2001 Q4	5.90	5.54	5.42	5.67
2002 Q1	5.86	6.04	5.88	6.20
2002 Q2	5.74	5.86	5.73	6.00
2002 Q3	5.76	6.06	5.92	6.20
2002 Q4	5.90	6.23	6.07	6.39
2003 Q1	5.97	5.78	5.65	5.92
2003 Q2	6.02	5.86	5.72	6.00
2003 Q3	5.87	5.80	5.67	5.93
2003 Q4	5.51	5.82	5.68	5.95
2004 Q1	5.30	5.34	5.20	5.47
2004 Q2	5.07	5.14	5.01	5.27
2004 Q3	4.78	5.07	4.95	5.18
2004 Q4	4.78	4.95	4.85	5.04
2005 Q1	4.55	4.89	4.80	4.97
2005 Q2	4.31	4.73	4.65	4.81
2005 Q3	4.45	4.50	4.42	4.57
2005 Q4	3.95	4.32	4.23	4.40
2006 Q1	4.09	4.64	4.53	4.75
2006 Q2	4.37	4.55	4.43	4.68
2006 Q3	4.45	4.64	4.50	4.78
2006 Q4	4.46	4.69	4.55	4.83
2007 Q1	4.25	4.54	4.39	4.69
2007 Q2	4.41	4.56	4.41	4.71
2007 Q3	4.68	4.74	4.59	4.90
2007 Q4	4.89	4.94	4.79	5.10
2008 Q1	4.97	5.09	4.94	5.24
2008 Q2	5.20	5.16	5.00	5.31
2008 Q3	5.38	5.30	5.17	5.43
2008 Q4	5.99	5.76	5.59	5.94
2009 Q1	6.86	6.66	6.50	6.82
2009 Q2	7.16	6.97	6.79	7.15
2009 Q3	6.88	6.78	6.60	6.96
2009 Q4	6.63	6.53	6.35	6.71
2010 Q1	6.35	6.19	6.00	6.38
2010 Q2	5.96	5.79	5.61	5.96
2010 Q3	5.25	5.18	5.05	5.31
2010 Q4	4.86	4.66	4.53	4.79
2011 Q1	4.30	4.22	4.10	4.34
2011 Q2	3.91	3.99	3.86	4.12
2011 Q3	3.68	3.87	3.73	4.00
2011 Q4	3.60	3.53	3.39	3.67
2012 Q1	3.42	3.08	2.91	3.25
2012 Q2	3.39	3.09	2.95	3.24
2012 Q3	3.15	3.29	3.18	3.40
2012 Q4	3.05	3.07	2.95	3.19
2013 Q1	2.95	3.30	3.19	3.41
2013 Q2	2.82	3.14	3.04	3.24
2013 Q3	2.81	2.82	2.71	2.93
2013 Q4	2.62	2.91	2.81	3.01
2014 Q1	2.54	2.86	2.77	2.96
2014 Q2	2.48	2.60	2.50	2.70
2014 Q3	2.46	2.56	2.46	2.66
2014 Q4	2.49	2.54	2.44	2.64
2015 Q1	2.40	2.18	2.03	2.32
2015 Q2	2.47	2.58	2.49	2.68
2015 Q3	2.46	2.56	2.46	2.66
2015 Q4	2.43	2.56	2.46	2.67
2016 Q1	2.46	2.47	2.36	2.57
2016 Q2	2.51	2.64	2.54	2.73
2016 Q3	2.61	2.63	2.52	2.73
2016 Q4	2.67	2.84	2.73	2.94
2017 Q1	2.73	2.68	2.58	2.78
2017 Q2	2.88	2.80	2.69	2.90
2017 Q3	3.03	2.95	2.84	3.07
2017 Q4	2.95	2.84	2.74	2.95
2018 Q1	2.94	2.77	2.66	2.87
2018 Q2	2.94	3.02	2.86	3.19
2018 Q3	3.04	2.92	2.78	3.07
2018 Q4	3.01	2.93	2.79	3.06
2019 Q1	3.04	2.83	2.72	2.95
2019 Q2	3.11	2.74	2.61	2.87
2019 Q3	3.21	2.73	2.61	2.85
2019 Q4	3.18	2.74	2.62	2.86
2020 Q1	3.16	2.87	2.75	2.99
2020 Q2	2.83	6.60	6.35	6.85
2020 Q3	2.51	4.49	4.37	4.60
2020 Q4	2.47	3.54	3.41	3.66
2021 Q1	2.31	3.54	3.33	3.75
2021 Q2	1.95	3.17	2.94	3.41
2021 Q3	1.93	2.28	2.15	2.40
2021 Q4	2.01	1.48	1.33	1.62
2022 Q1	2.14	1.03	0.83	1.24
2022 Q2	2.25	0.92	0.70	1.13
2022 Q3	2.46	1.12	0.93	1.30
2022 Q4	2.78	1.77	1.61	1.93
2023 Q1	3.05	1.73	1.55	1.91
2023 Q2	3.51	2.07	1.87	2.26
2023 Q3	3.77	2.43	2.21	2.65
2023 Q4	3.90	2.65	2.42	2.89
2024 Q1	4.01	3.00	2.72	3.27
2024 Q2	4.18	2.92	2.68	3.17
2024 Q3	4.28	2.90	2.68	3.12

Note: Figure plots fitted values from a regression of quarterly delinquency rate on the prime rate, unemployment rate, real revolving credit, the SLOOS fraction of banks reporting tightening, lagged one year, and the nonprime share of balances. Fitted values are plotted in red, with dotted black lines denoting the 95% confidence interval. The realized delinquency rate is plotted in the black line. The models are trained on quarterly data from 2000:Q1 through 2019:Q4; the model’s performance in the out of sample period of 2020:Q1 through 2024:Q3 is highlighted in blue.

Source: Authors’ calculations, from Federal Reserve Bank of New York CCP/Equifax, Federal Reserve Board, Bureau of Labor Statistics, Federal Reserve Board Statistical Release G.19.

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Date	Prime Rate Contribution	Unemployment Rate Contribution	Real Revolving Credit Contribution	SLOOS Contribution	Nonprime Balance Share Contribution
3/31/2000	-0.04	0.47	1.86	0.01	1.99
6/30/2000	-0.04	0.48	1.96	0.01	2.12
9/29/2000	-0.04	0.48	1.99	0.01	2.02
12/30/2000	-0.04	0.47	2.05	0.01	2.01
4/1/2001	-0.04	0.53	2.16	0.01	2.06
6/30/2001	-0.03	0.57	2.25	-0.02	2.12
9/29/2001	-0.03	0.63	2.25	-0.01	2.11
12/30/2001	-0.03	0.77	2.46	-0.02	2.31
4/1/2002	-0.03	0.85	2.62	0.03	2.45
6/30/2002	-0.02	0.85	2.59	0.15	2.40
9/29/2002	-0.03	0.86	2.67	0.05	2.43
12/30/2002	-0.02	0.89	2.74	0.13	2.46
4/1/2003	-0.02	0.85	2.61	0.16	2.31
6/30/2003	-0.02	0.89	2.66	0.04	2.32
9/29/2003	-0.02	0.89	2.63	0.02	2.28
12/30/2003	-0.02	0.85	2.62	0.03	2.27
3/31/2004	-0.02	0.78	2.48	0.09	2.10
6/30/2004	-0.02	0.75	2.41	0.00	2.00
9/29/2004	-0.02	0.72	2.40	0.00	1.97
12/30/2004	-0.02	0.70	2.36	0.00	1.90
4/1/2005	-0.02	0.68	2.35	0.00	1.88
6/30/2005	-0.03	0.64	2.30	0.00	1.82
9/29/2005	-0.03	0.60	2.20	0.00	1.72
12/30/2005	-0.03	0.58	2.14	0.00	1.63
4/1/2006	-0.03	0.59	2.40	0.00	1.69
6/30/2006	-0.03	0.57	2.38	-0.01	1.64
9/29/2006	-0.04	0.57	2.41	0.00	1.65
12/30/2006	-0.04	0.55	2.47	0.05	1.65
4/1/2007	-0.04	0.55	2.43	0.05	1.60
6/30/2007	-0.04	0.55	2.45	0.00	1.59
9/29/2007	-0.04	0.59	2.56	0.00	1.64
12/30/2007	-0.03	0.62	2.67	-0.01	1.68
3/31/2008	-0.03	0.66	2.75	0.00	1.71
6/30/2008	-0.02	0.71	2.76	0.00	1.71
9/29/2008	-0.02	0.82	2.76	0.00	1.72
12/30/2008	-0.02	0.99	2.98	0.03	1.81
4/1/2009	-0.02	1.31	3.25	0.00	1.98
6/30/2009	-0.02	1.52	3.24	0.14	2.00
9/29/2009	-0.02	1.55	3.10	0.23	1.93
12/30/2009	-0.02	1.56	2.92	0.21	1.86
4/1/2010	-0.02	1.49	2.75	0.20	1.76
6/30/2010	-0.02	1.39	2.57	0.20	1.66
9/29/2010	-0.02	1.27	2.33	0.16	1.52
12/30/2010	-0.01	1.18	2.10	0.07	1.39
4/1/2011	-0.01	1.04	1.90	0.01	1.28
6/30/2011	-0.01	1.01	1.80	0.01	1.22
9/29/2011	-0.01	0.97	1.75	-0.01	1.18
12/30/2011	-0.01	0.87	1.63	-0.02	1.09
3/31/2012	-0.01	0.75	1.46	-0.04	0.96
6/30/2012	-0.01	0.75	1.46	-0.08	0.96
9/29/2012	-0.01	0.77	1.53	-0.07	1.01
12/30/2012	-0.01	0.71	1.44	-0.01	0.97
4/1/2013	-0.01	0.74	1.53	-0.04	1.03
6/30/2013	-0.01	0.69	1.47	0.01	0.99
9/29/2013	-0.01	0.61	1.35	-0.01	0.91
12/30/2013	-0.01	0.60	1.38	-0.04	0.94
4/1/2014	-0.01	0.57	1.37	0.00	0.93
6/30/2014	-0.01	0.49	1.28	0.00	0.86
9/29/2014	-0.01	0.47	1.27	-0.02	0.85
12/30/2014	-0.01	0.44	1.27	-0.03	0.84
4/1/2015	-0.01	0.38	1.12	0.00	0.75
6/30/2015	-0.01	0.43	1.31	-0.07	0.86
9/29/2015	-0.01	0.40	1.31	0.00	0.86
12/30/2015	-0.01	0.39	1.31	0.00	0.87
3/31/2016	-0.01	0.37	1.26	0.00	0.84
6/30/2016	-0.01	0.39	1.35	0.00	0.90
9/29/2016	-0.01	0.39	1.37	0.00	0.90
12/30/2016	-0.01	0.40	1.46	-0.02	0.96
4/1/2017	-0.01	0.37	1.40	0.02	0.92
6/30/2017	-0.01	0.37	1.47	0.00	0.95
9/29/2017	-0.01	0.38	1.55	0.02	0.99
12/30/2017	-0.01	0.35	1.52	0.04	0.96
4/1/2018	-0.01	0.34	1.50	0.02	0.94
6/30/2018	-0.02	0.35	1.60	0.01	1.01
9/29/2018	-0.02	0.33	1.57	0.08	0.98
12/30/2018	-0.02	0.33	1.58	0.06	0.97
4/1/2019	-0.02	0.33	1.55	0.05	0.94
6/30/2019	-0.02	0.30	1.51	0.02	0.91
9/29/2019	-0.02	0.30	1.52	0.03	0.91
12/30/2019	-0.01	0.30	1.52	0.02	0.92
3/31/2020	-0.01	0.33	1.58	0.02	0.96
6/30/2020	-0.02	2.05	2.70	0.04	1.82
9/29/2020	-0.01	1.06	2.01	0.03	1.38
12/30/2020	-0.01	0.68	1.65	0.04	1.15
4/1/2021	-0.01	0.63	1.63	0.06	1.16
6/30/2021	-0.01	0.55	1.49	0.12	1.01
9/29/2021	-0.01	0.36	1.15	0.10	0.76
12/30/2021	-0.01	0.20	0.79	0.01	0.51
4/1/2022	0.00	0.13	0.58	-0.02	0.37
6/30/2022	0.00	0.11	0.53	-0.04	0.32
9/29/2022	-0.01	0.13	0.65	-0.05	0.39
12/30/2022	-0.01	0.20	1.00	-0.07	0.58
4/1/2023	-0.02	0.20	1.00	0.00	0.57
6/30/2023	-0.02	0.23	1.18	-0.02	0.67
9/29/2023	-0.02	0.28	1.37	0.00	0.77
12/30/2023	-0.02	0.30	1.49	0.04	0.83
3/31/2024	-0.03	0.34	1.66	0.06	0.92
6/30/2024	-0.03	0.35	1.63	0.10	0.90
9/29/2024	-0.03	0.36	1.63	0.07	0.89

Note: Figure plots the contributions of each variable to the fitted value delinquency rate, excluding the constant term. The model is trained on quarterly data from 2000:Q1 through 2019:Q4; the out of sample period of 2020:Q1 through 2024:Q3 is highlighted in blue.

Source: Authors’ calculations, from Federal Reserve Bank of New York CCP/Equifax, Federal Reserve Board, Bureau of Labor Statistics, Federal Reserve Board Statistical Release G.19.

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Date	Observed Seasonally Adjusted Credit Card Delinquency Rate	Predicted Seasonally Adjusted Credit Card Delinquency Rate no Counterfactual	Predicted Seasonally Adjusted Credit Card Delinquency Rate with Counterfactual
2016 Q1	2.46	2.47	2.47
2016 Q2	2.51	2.64	2.63
2016 Q3	2.61	2.63	2.62
2016 Q4	2.67	2.84	2.84
2017 Q1	2.73	2.68	2.68
2017 Q2	2.88	2.80	2.80
2017 Q3	3.03	2.95	2.95
2017 Q4	2.95	2.84	2.84
2018 Q1	2.94	2.77	2.77
2018 Q2	2.94	3.02	3.03
2018 Q3	3.04	2.92	2.91
2018 Q4	3.01	2.93	2.93
2019 Q1	3.04	2.83	2.84
2019 Q2	3.11	2.74	2.74
2019 Q3	3.21	2.73	2.72
2019 Q4	3.18	2.74	2.74
2020 Q1	3.16	2.87	2.88
2020 Q2	2.83	6.60	6.61
2020 Q3	2.51	4.49	4.47
2020 Q4	2.47	3.54	3.55
2021 Q1	2.31	3.54	3.53
2021 Q2	1.95	3.17	3.34
2021 Q3	1.93	2.28	2.53
2021 Q4	2.01	1.48	1.81
2022 Q1	2.14	1.03	1.49
2022 Q2	2.25	0.92	1.51
2022 Q3	2.46	1.12	1.75
2022 Q4	2.78	1.77	2.46
2023 Q1	3.05	1.73	2.52
2023 Q2	3.51	2.07	2.86
2023 Q3	3.77	2.43	3.26
2023 Q4	3.90	2.65	3.49
2024 Q1	4.01	3.00	3.86
2024 Q2	4.18	2.92	3.82
2024 Q3	4.28	2.90	3.81

Note: This figure plots the realized delinquency rate, the predicted delinquency rate from specification 2 and the predicted delinquency rate from specification 2, fixing the nonprime share at its 2019:Q4 level. The out of sample period of 2020:Q1 through 2024:Q3 is highlighted in blue.

Source: Authors’ calculations, from Federal Reserve Bank of New York CCP/Equifax, Federal Reserve Board, Bureau of Labor Statistics, Federal Reserve Board Statistical Release G.19.

Board of Governors of the Federal Reserve System

Accessible Version

Predicting Credit Card Delinquency Rates, Accessible Data

Figure 1. Credit Card Delinquency Rate

Figure 2. Fitted Values and Out of Sample Performance

Figure 3. Variable Contributions

Figure 4. Credit Score Migration Adjustment