New York, June 20, 2016 -- Moody's Investors Service has affirmed the ratings of 24 classes of asset-backed
securities (ABS) issued out of American Express Credit Account Master
Trust and the related American Express Credit Account Secured Note Trusts
(AECAMT), sponsored by American Express Centurion Bank and American
Express Bank, FSB (together, American Express) following today's
removal of the Costco co-brand portfolio constituting approximately
3,100,000 accounts from AECAMT on 17 June 2016.
The complete rating actions are as follows:
Issuer: American Express Credit Account Master Trust, Series
2008-2
2008-2 Cl. A, Affirmed Aaa (sf); previously on
Mar 5, 2008 Definitive Rating Assigned Aaa (sf)
2008-2 Cl. B, Affirmed Aa1 (sf); previously on
May 15, 2015 Upgraded to Aa1 (sf)
Issuer: American Express Credit Account Secured Note Trust 2008-2
2008-2 Cl. C, Affirmed Baa1 (sf); previously
on Sep 17, 2014 Upgraded to Baa1 (sf)
Issuer: American Express Credit Account Master Trust, Series
2012-1
2012-1 Class A, Affirmed Aaa (sf); previously on Jun
25, 2012 Definitive Rating Assigned Aaa (sf)
2012-1 Class B, Affirmed Aa1 (sf); previously on May
15, 2015 Upgraded to Aa1 (sf)
Issuer: American Express Credit Account Secured Note Trust 2012-1
2012-1 Class 1 (Senior CIA), Affirmed Baa1 (sf); previously
on Sep 17, 2014 Upgraded to Baa1 (sf)
Issuer: American Express Credit Account Master Trust, Series
2013-1
2013-1 Class A, Affirmed Aaa (sf); previously on Jul
25, 2013 Definitive Rating Assigned Aaa (sf)
2013-1 Class B, Affirmed Aa1 (sf); previously on May
15, 2015 Upgraded to Aa1 (sf)
Issuer: American Express Credit Account Secured Note Trust 2013-1
2013-1 Class 1, Affirmed Baa1 (sf); previously on Sep
17, 2014 Upgraded to Baa1 (sf)
Issuer: American Express Credit Account Master Trust, Series
2013-2
2013-2 Class A, Affirmed Aaa (sf); previously on Nov
14, 2013 Definitive Rating Assigned Aaa (sf)
2013-2 Class B, Affirmed Aa1 (sf); previously on May
15, 2015 Upgraded to Aa1 (sf)
Issuer: American Express Credit Account Secured Note Trust 2013-2
2013-2 Class 1, Affirmed Baa1 (sf); previously on Sep
17, 2014 Upgraded to Baa1 (sf)
Issuer: American Express Credit Account Master Trust, Series
2013-3
2013-3 Class A, Affirmed Aaa (sf); previously on Nov
14, 2013 Definitive Rating Assigned Aaa (sf)
2013-3 Class B, Affirmed Aa2 (sf); previously on May
15, 2015 Upgraded to Aa2 (sf)
Issuer: American Express Credit Account Secured Note Trust 2013-3
2013-3 Class 1, Affirmed Baa1 (sf); previously on Sep
17, 2014 Upgraded to Baa1 (sf)
Issuer: American Express Credit Account Master Trust, Series
2014-2
Class A Certificates, Affirmed Aaa (sf); previously on Jul
1, 2014 Definitive Rating Assigned Aaa (sf)
Class B Certificates, Affirmed Aa2 (sf); previously on May
15, 2015 Upgraded to Aa2 (sf)
Issuer: American Express Credit Account Secured Note Trust 2014-2
2014-2 Class 1 Notes, Affirmed Baa1 (sf); previously
on Sep 17, 2014 Upgraded to Baa1 (sf)
Issuer: American Express Credit Account Master Trust, Series
2014-3
Class A Certificates, Affirmed Aaa (sf); previously on Sep
22, 2014 Definitive Rating Assigned Aaa (sf)
Class B Certificates, Affirmed Aa2 (sf); previously on May
15, 2015 Upgraded to Aa2 (sf)
Issuer: American Express Credit Account Secured Note Trust 2014-3
2014-3 Class 1 Secured Notes, Affirmed Baa1 (sf); previously
on Sep 22, 2014 Definitive Rating Assigned Baa1 (sf)
Issuer: American Express Credit Account Master Trust, Series
2015-1
Class A Floating Rate Asset Backed Certificates, Affirmed Aaa (sf);
previously on Jul 21, 2015 Definitive Rating Assigned Aaa (sf)
Class B Floating Rate Asset Backed Certificates, Affirmed Aa2 (sf);
previously on Jul 21, 2015 Definitive Rating Assigned Aa2 (sf)
Issuer: American Express Credit Account Secured Note Trust 2015-1
Class 1 Floating Rate Asset Backed Secured Notes, Affirmed Baa2
(sf); previously on Jul 21, 2015 Definitive Rating Assigned
Baa2 (sf)
RATINGS RATIONALE
The Costco co-brand accounts have generally shown higher principal
payment rates than the overall Trust, but the addition of 1,800,000
accounts on 1 June 2016, which have also shown higher principal
payment rates than the overall Trust and the credit enhancement provided
by the issuance of the 2016-E series on 7 June 2016, mitigate
the removal of the Costco co-brand accounts.
Summary of Analytical Outputs
Following the removal of the Costco co-brand accounts, Moody's
has also updated the summary of its assumptions and analytical outputs
for AECAMT. Moody's Aaa LGSD and the Aaa CE increased to 33.9%
and 12.9% respectively for the floating rate securities,
from 32.8% and 12.5% respectively.
Moody's Aaa LGSD and the Aaa CE increased to 32.6% and 12.4%
respectively for the fixed rate securities, from 31.5%
and 12.0% respectively.
The Aaa LGSD reflects Moody's expectation of the trust's performance following
a sponsor default and portfolio shutdown. The Aaa CE reflects the
level of credit enhancement consistent with a Aaa (sf) rating by haircutting
the Aaa LGSD based on the CR assessment of the sponsor.
The list of assumptions for each trust with outstanding ratings is available
at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1030922
The list includes only trusts with sponsors that are publicly rated by
Moody's.
Moody's expects performance for the assets backing AECAMT to be in the
range of 2.0% - 2.5% for charge-offs,
20.0% - 23.0% for yield and 32.5%
- 35.5% for the principal payment rate.
Moody's performance expectations for a given variable indicate Moody's
forward-looking view of the likely range of performance over the
medium term. From time to time, Moody's may, if warranted,
change these expectations. Performance that falls outside the given
range may indicate that the collateral's credit quality is stronger or
weaker than Moody's had anticipated when the related securities were rated.
Even so, a deviation from the expected range will not necessarily
result in a rating action nor does performance within expectations preclude
such actions. The decision to take (or not take) a rating action
is dependent on an assessment of a range of factors including, but
not exclusively, the performance metrics.
Methodology Underlying the Rating Actions:
The principal methodology used in these ratings was "Moody's Approach
to Rating Credit Card Receivables-Backed Securities" published
June 2015. Please see the Ratings Methodologies page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of ratings:
Up
Moody's could upgrade the ratings of the securities if our expectation
of the trusts' performance following a sponsor default and portfolio shutdown
(i.e., Aaa LGSD) improves materially, specifically,
if the charge-off rate falls or the payment rate or yield rises.
A reduction in Moody's assessment of the likelihood of the sponsor shutting
down its credit card portfolio, generally reflected from an upgrade
in the sponsor's CR assessment, could also lead to an upgrade to
the rating of the securities.
Down
Moody's could downgrade the ratings of the securities if our expectation
of the trusts' performance following a sponsor default and portfolio shutdown
(i.e., Aaa LGSD) deteriorates materially, specifically,
if the charge-off rate rises or the payment rate or yield falls.
An increase in Moody's assessment of the likelihood of the sponsor shutting
down its credit card portfolio, generally reflected from a downgrade
in the sponsor's CR assessment, could also lead to a downgrade to
the rating of the securities.
Loss and Cash Flow Analysis:
In rating these transactions, Moody's uses a cash flow model to
determine the collateral losses in a maximum stress scenario. As
a second step, Moody's haircuts such collateral losses based on
the sponsor's credit quality. Finally, Moody's compares note
available credit enhancement with the adjusted collateral losses,
taking into account loss allocation and other structural features,
to derive the expected loss for each rated instrument.
REGULATORY DISCLOSURES
For further specification of Moody's key rating assumptions and sensitivity
analysis, see the sections Methodology Assumptions and Sensitivity
to Assumptions of the disclosure form.
Moody's describes its loss and cash flow analysis in the section
"Ratings Rationale" of this press release.
Moody's quantitative analysis entails an evaluation of scenarios
that stress factors contributing to sensitivity of ratings and take into
account the likelihood of severe collateral losses or impaired cash flows.
For ratings issued on a program, series or category/class of debt,
this announcement provides certain regulatory disclosures in relation
to each rating of a subsequently issued bond or note of the same series
or category/class of debt or pursuant to a program for which the ratings
are derived exclusively from existing ratings in accordance with Moody's
rating practices. For ratings issued on a support provider,
this announcement provides certain regulatory disclosures in relation
to the rating action on the support provider and in relation to each particular
rating action for securities that derive their credit ratings from the
support provider's credit rating. For provisional ratings,
this announcement provides certain regulatory disclosures in relation
to the provisional rating assigned, and in relation to a definitive
rating that may be assigned subsequent to the final issuance of the debt,
in each case where the transaction structure and terms have not changed
prior to the assignment of the definitive rating in a manner that would
have affected the rating. For further information please see the
ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
For any affected securities or rated entities receiving direct credit
support from the primary entity(ies) of this rating action, and
whose ratings may change as a result of this rating action, the
associated regulatory disclosures will be those of the guarantor entity.
Exceptions to this approach exist for the following disclosures,
if applicable to jurisdiction: Ancillary Services, Disclosure
to rated entity, Disclosure from rated entity.
Regulatory disclosures contained in this press release apply to the credit
rating and, if applicable, the related rating outlook or rating
review.
Please see www.moodys.com for any updates on changes to
the lead rating analyst and to the Moody's legal entity that has issued
the rating.
Please see the ratings tab on the issuer/entity page on www.moodys.com
for additional regulatory disclosures for each credit rating.
Pedro Sancholuz Ruda
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Kruti Muni
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's affirms ratings on American Express' card ABS following Costco account removal and publishes updated US card ABS assumptions