Approximately $3.3 billion of asset-backed securities affected
New York, June 22, 2009 -- Moody's Investors Service has confirmed the ratings on 34 classes
of subordinated asset-backed securities issued out of the American
Express Credit Account Master Trust and the American Express Credit Account
Secured Note Trust (collectively, the "Trust"). Moody's
has also downgraded the ratings on 22 classes of subordinated asset-backed
securities issued out of the Trust. The securities are backed by
a $35.5 billion revolving pool of unsecured consumer general
purpose bank credit card receivables originated by American Express Co.
("Amex") and its affiliates.
The rating actions today conclude the review initiated on March 19,
2009 when Moody's placed these ratings under review for possible
downgrade, and follow Amex's issuance of Class D Certificates
to provide additional credit enhancement to the outstanding series and
implementation of principal receivables discounting in order to bolster
yield.
RATIONALE
On June 5, 2009, Amex added credit enhancement for the benefit
of substantially all classes of currently outstanding securities by issuing
subordinated Class D certificates. The size of the Class D certificates
varied due to the different capital structures of the outstanding series.
Generally, the capital structure for series issued prior to 2007
had more credit enhancement (and higher ratings for subordinated classes)
than those issued in 2007 or later. For those series issued prior
to 2007, the Class D certificates were sized at approximately 4.2%
of the aggregate outstanding invested amount of that series, i.e.
Class A, B, C and D. For those series issued in 2007
or later, the Class D certificates were sized at approximately 6.3%
of the aggregate outstanding invested amount of that series, i.e.
Class A, B, C and D.
In addition, Amex will bolster the Trust's yield (and, by
extension, excess spread) by utilizing a structural feature called
the discount option. The receivables will be discounted by 6%
in June 2009, 3% in July 2009, and 2% from August
2009 until December 2010. The boost to yield (and, by extension
excess spread) will grow over time, and we estimate that it will
reach a maximum incremental increase of between 4% and 5%.
As a result of discounting and the additional 6.3% of credit
enhancement, Moody's has confirmed the ratings on all certificates
issued in 2007 and 2008. For those subordinated certificates issued
prior to 2007, however, the combination of the incremental
4.2% subordination and discounting was not enough to maintain
the ratings, and we therefore downgraded those Class B and Class
C certificates (see below for details).
The complete rating actions are as follows:
RATINGS CONFIRMED
Issuer: American Express Credit Account Master Trust:
$27,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-1, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$27,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-2, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$33,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-3, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$44,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-4, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$27,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-5, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$55,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-6, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$49,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-7, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$66,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-8, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$158,125,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-1, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$75,001,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-2, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$93,751,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-3, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$33,438,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-4, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$50,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-5, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$84,375,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-6, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$32,813,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-7, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$40,625,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-8, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
$34,375,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-9, confirmed at A2, previously on March
19, 2009 placed under review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2007-1
$32,500,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2007-2
$32,500,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2007-3
$39,000,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2007-4
$52,000,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2007-5
$32,500,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2007-6
$65,000,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2007-7
$58,500,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2007-8
$78,000,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2008-1
$186,875,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2008-2
$88,637,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2008-3
$110,796,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2008-4
$39,518,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2008-5
$59,091,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2008-6
$99,716,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2008-7
$38,779,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2008-8
$48,012,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2008-9
$40,625,000 Floating Rate Secured Notes, confirmed
at Baa2, previously on March 19, 2009 placed under review
for possible downgrade
RATINGS DOWNGRADED
Issuer: American Express Credit Account Master Trust:
$30,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2004-2, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$45,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-1, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$45,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-2, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$37,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-4, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$82,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-5, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$52,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-7, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$37,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-8, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$75,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2006-1, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$27,500,000 Class B Fixed Rate Asset Backed Certificates,
Series 2006-2, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$45,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2006-3, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
$52,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2006-B, downgraded to A1 from Aa3; previously
on March 19, 2009 placed under review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2004-2
$36,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2005-1
$54,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2005-2
$54,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2005-4
$45,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2005-5
$99,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2005-7
$63,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2005-8
$45,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2006-1
$90,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2006-2
$35,000,000 Fixed Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2006-3
$54,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
Issuer: American Express Credit Account Secured Note Trust 2006-B
$63,000,000 Floating Rate Secured Notes, downgraded
to Baa2 from Baa1; previously on March 19, 2009 placed under
review for possible downgrade
The following outstanding series were not placed under review for downgrade
due to their near-term expected maturity.
Issuer: American Express Credit Account Master Trust:
$48,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2002-5, rated Aa3
$30,000,000 Class B Fixed Rate Asset Backed Certificates,
Series 2004-3, rated Aa3
$82,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2004-4, rated Aa3
$75,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2004-5, rated Aa3
Issuer: American Express Credit Account Secured Note Trust 2004-3
$48,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2004-4
$99,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2004-5
$90,000,000 Floating Rate Secured Notes, rated
Baa1
PERFORMANCE EXPECTATIONS
Our performance expectation for the Trust charge-off rate is 12%-15%,
principal payment rate is 21%-24% and yield is 22%-25%.
This range of expected yield performance considers the recently employed
structural feature known as discounting that will bolster yield.
These performance expectations indicate our forward-looking view
of the likely range of performance over the medium term. From time
to time, we may, if warranted, change these expectations.
Performance that falls outside a given range may indicate that the collateral's
credit quality is stronger or weaker than 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
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 Credit Policy
& Methodologies directory, in the Ratings Methodologies subdirectory.
Other methodologies and factors that may have been considered in the process
of rating this issue can also be found in the Credit Policy & Methodologies
directory.
BACKGROUND
Amex is a New York-based bank holding company that is comprised
of a group of operating and financing subsidiaries that operates in the
global payment-services, charge card, credit card and
travel services industries. As of December 31, 2008,
American Express reported total managed assets of $156 billion
and shareholders equity of $12 billion.
On April 24, Moody's downgraded the long-term and short-term
ratings of Amex. The senior long-term debt rating was lowered
to A3 from A2; and the short-term rating was lowered to Prime-2
from Prime-1. The outlook for the Amex long-term
ratings is negative. Moody's also downgraded the long-term
ratings of American Express Travel Related Services ("TRS") and its rated
operating subsidiaries, including American Express Credit Corp.
The senior debt and deposit ratings of TRS and subsidiaries were downgraded
to A2 from A1. The Bank Financial Strength Ratings of American
Express Bank, FSB and American Express Centurion Bank were also
lowered to C+ from B-. The Prime-1 short-term
ratings for TRS and its rated operating subsidiaries were affirmed.
The rating outlook for the TRS debt and deposit ratings is now stable.
TRS is the principal operating subsidiary of Amex as well as the servicer
of the Trust.
For more information, please visit Moodys.com.
New York
William Black
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Gregory J. Gemson
Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's concludes rating review of American Express' credit card receivables-backed securities
