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2.            You acknowledge and agree that Moody’s credit ratings: (i) are current opinions of the future relative creditworthiness of securities and address no other risk; and (ii) are not statements of current or historical fact or recommendations to purchase, hold or sell particular securities.  Moody’s credit ratings and publications are not intended for retail investors, and it would be reckless and inappropriate for retail investors to use Moody’s credit ratings and publications when making an investment decision.  No warranty, express or implied, as the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any Moody’s credit rating is given or made by Moody’s in any form whatsoever.          

 

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Rating Action:

Moody's assigns provisional ratings to American Express 2013-1 credit card-backed securities

22 Jul 2013

Approximately $565 million of Asset-Backed Securities rated

New York, July 22, 2013 -- Moody's Investors Service has assigned a (P)Aaa(sf) rating to the senior Class A floating rate certificates and a (P)A2(sf) rating to the mezzanine Class B floating rate certificates of Series 2013-1 issued from the American Express Credit Account Master Trust (the "Trust"). Moody's has also assigned a (P)Baa2(sf) rating to the Class 1 Floating Rate Secured Notes issued by the related American Express Credit Account Secured Note Trust 2013-1.

The complete rating actions are as follow:

Issuer: American Express Credit Account Master Trust, Series 2013-1

$500,000,000 Class A Floating Rate Asset Backed Certificates, Series 2013-1 Assigned (P)Aaa (sf)

$26,786,000 Class B Floating Rate Asset Backed Certificates, Series 2013-1 Assigned (P)A2 (sf)

Issuer: American Express Credit Account Secured Note Trust 2013-1

$38,691,000 Class 1 Floating Rate Secured Notes, Series 2013-1 Assigned (P)Baa2 (sf)

RATINGS RATIONALE

The rating is 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 transaction has a July 2018 expected principal payment date.

The Class A certificates constitute 84.0% of the total amount of the issuance and are supported by three subordinated classes -- the Class B certificates (4.5% of the total amount of the issuance) and the Class 1 and Class 2 Notes, issued by the Secured Note Trust and collateralized by the collateral interest of the Trust, totaling 11.5% of the total amount of the issuance. The Class 1 Notes, the more senior of the two notes issued by the Secured Note Trust, total 6.5% of the aggregate issuance amount, and the Class 2 Notes total 5.0% of the aggregate issuance amount.

Moody's expects performance in the range of 2% - 4% for charge-offs, 19% - 22% for yield and 31% - 34% 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.

Th e principal methodology used in these ratings was "Moody's Approach To Rating Credit Card Receivables-Backed Securities", published in April 2007. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

The Volatility Score ("V Score") for this transaction is Medium, which is in line with the V score assigned for the U.S. Credit Card ABS sector. On December 19, 2008, Moody's published a report introducing V Scores and Parameter Sensitivities for the global credit card ABS sector. Moody's V Scores provide a relative assessment of the quality of available credit information and the potential variability around the various inputs to a rating determination. V Scores are intended to rank transactions by the potential for significant rating changes owing to uncertainty around the 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).

Parameter Sensitivities provide a quantitative, model-indicated calculation of the number of notches that a Moody's-rated structured finance security may vary if certain input parameters used in the initial rating process differed. The analysis assumes that the deal has not aged. It is not intended to measure how the rating of the security might migrate over time, but rather how the initial rating of the security might differ as certain key parameters vary.

In rating US Credit Card ABS, the payment rate, charge-off rate, purchase rate, yield and certain other inputs are used to calculate the median expected loss and the Aaa enhancement. These two, in turn, are the 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 gross charge-off rate combinations: (1) 25% / 7%, (2) 18% / 10% and (3) 10% / 15% from the base case of 33% / 3%. The quantitative/model-indicated Parameter Sensitivities for the notes under these three additional scenarios are:

For the Class A Certificates, one notch, one notch (i.e. Aaa to Aa1) and four notches, respectively.

For the Class B Certificates, two notches, six notches, and more than nine respectively.

For the Class 1 Notes, three notches, seven notches, and more than nine respectively.

Additional research, including a pre-sale report, is available at www.moodys.com. A special report entitled "V Scores and Parameter Sensitivities in the Global Credit Card ABS Sector" is also available on moodys.com.

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments in these transaction.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF331847

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.

Matias Langer
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

Luisa De Gaetano
VP - Sr Credit Officer/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 assigns provisional ratings to American Express 2013-1 credit card-backed securities
No Related Data.
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