$550 million of asset-backed securities rated
New York, March 21, 2018 -- Moody's Investors Service has assigned a definitive Aaa (sf) rating to
the Class A 3.01% Asset Backed Certificates and a definitive
Aa3 (sf) rating to the Class B 3.18% Asset Backed Certificates
of Series 2018-2 issued by the American Express Credit Account
Master Trust, sponsored by American Express Centurion Bank and American
Express Bank, FSB. Moody's has also assigned a definitive
Baa2 (sf) rating to the Class 1 3.43% Secured Notes issued
by the related American Express Credit Account Secured Note Trust 2018-2.
Moody's also announced today that the issuance of the Series 2018-2
Certificates on March 21, 2018 would not, in and of itself
and as of this time, result in the downgrade or withdrawal of the
ratings assigned to any class of outstanding securities issued by American
Express Credit Account Master Trust.
Moody's rating actions are as follows:
Issuer: American Express Credit Account Master Trust, Series
2018-2
$500,000,000 Class A 3.01% Asset Backed
Certificates, Definitive Rating Assigned Aaa (sf)
$21,429,000 Class B 3.18% Asset Backed
Certificates, Definitive Rating Assigned Aa3 (sf)
Issuer: American Express Credit Account Secured Note Trust 2018-2
$28,572,000 Class 1 3.43% Secured Notes,
Definitive Rating Assigned Baa2 (sf)
RATINGS RATIONALE
The ratings for the securities are based on the quality of the underlying
credit card receivables, the expertise of American Express Travel
Related Services Company, Inc. as servicer, the transaction's
legal and structural protections including early amortization trigger
events, the credit enhancement provided by subordinate securities,
and the likelihood of the sponsor becoming insolvent and shutting down
its credit card portfolio. Moody's assesses this likelihood from
the sponsor's counterparty risk assessment (CR Assessment).
The Class A Certificates represent 87.50% of the total issuance,
Class B Certificates represent 3.75% of the total issuance,
the Class 1 Notes issued by the American Express Credit Account Secured
Note Trust 2018-2, represent 5.00% and the
Class 2 Notes, 3.75%. The Class A Certificates
have a fixed rate coupon of 3.01% per year, the Class
B Certificates have a fixed rate coupon of 3.18% per year,
and the Class 1 Notes have a fixed rate coupon of 3.43%
per year. The expected maturity date of the securities is March
15, 2023 and their legal maturity date is October 15, 2025.Moody's
ratings address the likelihood of interest payments being made when due
and the return of principal by the legal maturity date.
The assets of the trust consist of credit card receivables, including
both proprietary and co-branded credit cards, as well as
receivables generated from the revolving credit lines extended to charge
card members, from designated card accounts originated by American
Express Centurion Bank and American Express Bank, FSB, and
serviced by American Express Travel Related Services Company, Inc.
American Express Centurion Bank's long-term deposit ratings are
Aa2 stable/long-term senior unsecured (P)A2, long-term
CR Assessment A1(cr), short-term deposits P-1,
and BCA a2. and American Express Bank, FSB's long-term
deposit ratings are Aa2 stable/long-term CR Assessment A1(cr),
short-term deposits P-1, and BCA a2. American
Express Travel Related Services Company, Inc.'s long-term
issuer rating is A2 stable.
Summary of Analytical Outputs
Moody's Aaa LGSD and the Aaa CE are 34.2% and 13.0%,
respectively, for this transaction. 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.
Moody's expects performance in the range of 2.0% -
2.5% for charge-offs, 21.0% -
24.0% for yield and 32.0% - 35.0%
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
in July 2017. Please see the Rating Methodologies page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the ratings:
Up
Moody's could upgrade the ratings of the Class B Certificates and Class
1 Notes if our expectation of the trust's 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 decrease in Moody's assessment
of the likelihood of either of the sponsors shutting down its credit card
portfolio, generally reflected from an upgrade in either of the
sponsors' CR Assessment, could also lead to an upgrade to the rating
of the Class B Certificates and Class 1 Notes.
Down
Moody's could downgrade the ratings of the Class A Certificates,
Class B Certificates and Class 1 Notes if our expectation of the trust's
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 either of the sponsors shutting down its
credit card portfolio, generally reflected from a downgrade in either
of the sponsors' CR Assessment, could also lead to a downgrade to
the rating of the Class A Certificates, Class B Certificates and
Class 1 Notes.
Loss and Cash Flow Analysis:
In rating this transaction, 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.
Stress Scenarios:
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.
RATINGS OF EXISTING CERTIFICATES UNAFFECTED
Moody's also announced today that the issuance of Series 2018-2
Certificates on March 21, 2018 would not, in and of itself
and as of this time, result in the downgrade or withdrawal of the
ratings assigned to any class of outstanding securities issued by American
Express Credit Account Master Trust.
The issuance of the Series 2018-2 Certificates will increase the
investor's share of the collateral pool of credit card receivables by
the proportional amount of the new issuance and will correspondingly decrease
the seller's share of the pool by the same proportion. Both the
Series 2018-2 Certificates and the outstanding securities share
a pro rata undivided interest in the same collateral pool of credit card
receivables, and have similar terms. Moody's has therefore
determined that the issuance, in and of itself and at this time,
will not result in the downgrade or withdrawal of the ratings currently
assigned to any class of outstanding securities issued by American Express
Credit Account Master Trust.
However, Moody's opinion addresses only the credit impact associated
with the issuance of the Series 2018-2 Certificates, and
Moody's is not expressing any opinion as to whether the issuance has,
or could have, other non-credit related effects that may
have a detrimental impact on the interests of certificate holders and/or
counterparties.
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.
Further information on the representations and warranties and enforcement
mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1116500
Moody's describes its loss and cash flow analysis in the section
"Ratings Rationale" of this press release.
Moody's describes the stress scenarios it has considered for this
rating action in the section "Ratings Rationale" of this press
release.
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 credit rating action on the support provider and in relation to
each particular credit 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 credit rating action,
and whose ratings may change as a result of this credit 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.
Alan Birnbaum
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Pedro Sancholuz Ruda
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody's Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
