Approximately $863.6 million in asset-backed securities rated
New York, April 28, 2010 -- Moody's Investors Service has assigned a (P)Aaa rating to the senior Class
A floating rate certificates and a (P)A2 rating to the mezzanine Class
B floating rate certificates of Series 2010-1 issued from the American
Express Credit Account Master Trust. Moody's has also assigned
a (P)Baa2 rating to the floating rate secured notes (Class 1) issued by
the related American Express Credit Account Secured Note Trust 2010-1.
The ratings are based on the quality of the underlying pool of credit
card receivables, the expertise of American Express Travel Related
Services Company, Inc. (long-term issuer rating of
A2 with a stable outlook, short-term rating of Prime-1)
as servicer, the transaction's structural protections, including
early amortization trigger events, and credit enhancement levels
that reflect the potential risks associated with the floating rate payment
obligations of the trust.
The trust allocates finance charges to each of two grouped series (a.k.a.
Group I and Group II) based on the aggregate expenses (coupon, losses
and servicing fees) of the respective group. Series 2010-1,
a floating rate series, was issued out of the same group as a number
of other previously issued floating rate series.
The Class A certificates constitute 82.5% of the total amount
of the issuance and are supported by three subordinated classes --
the Class B certificates (6.0% of the aggregate issuance
amount) and two collateral interest notes totaling 11.5%.
The collateral interest is divided into two notes: the Class 1 Notes
and the Class 2 Notes. The Class 1 Notes, the more senior
of the two, total 6.5% of the aggregate issuance amount,
and the Class 2 Notes total 5.0% of the aggregate issuance
The complete rating action was as follows:
Issuer: American Express Credit Account Master Trust, Series
$750,000,000 Class A Floating Rate Asset Backed Certificates,
Series 2010-1, rated (P)Aaa
$54,545,000 Class B Floating Rate Asset Backed Certificates,
Series 2010-1, rated (P)A2
Issuer: American Express Credit Account Secured Note Trust 2010-1
$59,091,000 Floating Rate Secured Class 1 Notes,
The principal methodology used in rating the transaction was "Moody's
Approach To Rating Credit Card Receivables-Backed Securities",
which can be found at www.moodys.com in the Rating Methodologies
sub-directory under the Research & Ratings tab. Other
methodologies and factors that may have been considered in the process
of rating this issuer can also be found in the Rating Methodologies sub-directory
on Moody's website.
Our performance expectation for the Trust charge-off rate is 6%-9%,
and for the principal payment rate is 21%-24%.
Our performance expectation for the Trust yield is 22%-25%.
This range of expected yield performance considers the structural feature
known as discounting that bolsters yield.
The 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.
Moody's Volatility Scores ("V Scores") provide a relative assessment of
the quality and potential variability of available credit information
around various inputs to a rating determination. V Scores order
rank transactions by the potential for significant rating changes owing
to uncertainty around our assumptions due to data quality, historical
performance, the level of disclosure, transaction complexity,
the modeling and the transaction governance that underlie the ratings.
V Scores apply to the entire transaction (rather than individual tranches).
The V Score for this transaction is Medium, which is in line with
the V score assigned for the U.S. Credit Card ABS sector.
In addition, the four broad components underlying the V Score have
each been assessed a Medium assumption uncertainty for the American Express
Credit Account Trust, which are also the same assessments for the
U.S. Card ABS sector. Sub-component 2.2
was assessed a Medium assumption uncertainty, as opposed to the
baseline credit card ABS assessment of Low/Medium assumption uncertainty,
due to historical performance volatility of certain reward program accounts
in the trust.
Parameter Sensitivities provide a model-driven estimate of the
number of rating notches that a structured finance security may drop as
certain inputs used in the initial rating process vary. It is a
measure of how the initial rating of the security might differ as certain
key parameters change, and is not intended to measure how the rating
of the security might migrate over time.
In rating US Credit Card ABS, performance metrics (e.g.
the payment rate, charge-off rate, purchase rate,
yield) are used to calculate the median expected loss and the Aaa proxy
level, which in turn are the two inputs used to determine a new
lognormal loss distribution. Three new lognormal loss distributions
were calculated for each rating class by assuming the following three
payment and charge-off rate combinations: (1) 20%/12%,
(2) 16%/15% and (3) 12%/18% from the base
case of 24%/9%. The quantitative/model-indicated
Parameter Sensitivities for the notes under these three additional scenarios
For the Class A Notes, one notch (i.e. Aaa to Aa1),
two notches and three notches, respectively.
For the Class B Notes, one notch, three notches and five notches,
For the Class 1 Notes, one notch, three notches and five notches,
American Express Travel Related Services Company, Inc.,
the servicer of the receivables, is an operating subsidiary of the
American Express Company with headquarters in New York City.
For more information, please visit http://www.moodys.com.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
Senior Vice President
Structured Finance Group
Moody's Investors Service
Moody's assigns provisional ratings to American Express 2010-1 credit card-backed securities
Gregory J. Gemson
Structured Finance Group
Moody's Investors Service