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Rating Action:

Moody's affirms ratings on American Express' card ABS following Costco account removal and publishes updated US card ABS assumptions

20 Jun 2016

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
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