Approximately $3.3 billion of asset-backed securities affected
New York, March 19, 2009 -- Moody's Investors Service has placed on review for possible downgrade
57 classes of subordinated asset-backed securities issued out of
American Express Credit Account Master Trust and the American Express
Credit Account Secured Note Trust (the "Trust"). These
securities are backed by a $37.2 billion revolving pool
of unsecured consumer general purpose bank credit card receivables originated
by American Express Co. ("Amex") and its affiliates.
RATIONALE
The review is primarily driven by a steady and marked deterioration in
some key performance metrics of the Trusts, particularly charge-offs
and delinquencies.
Amex's Trusts have generally performed better than the industry average,
as tracked by Moody's Credit Card Index (the "Index").
The Trusts have a relatively large proportion of high credit quality obligors
as measured by credit score. Even so, Amex's Trust
has a greater concentration of obligors with billing addresses in states
such as California and Florida, where the broad-based housing-related
contraction is particularly acute and is expected to worsen in the coming
year. Also, Amex cardholders have, on average,
much higher credit lines, which may present incremental risk.
As a result of these and other factors, the positive performance
differential between Amex's trusts and the industry average has
diminished substantially.
Amex Trust charge-offs are on the rise at a faster pace than that
of the industry. In January, Trust gross charge-offs
were 8.7%, versus 7.7% for the Index,
and have since increased to 10.3% in February. Likewise,
delinquencies--often a harbinger of future charge-offs--reached
5.4% in February. The February results are all-time
highs for both Trust performance metrics.
While Moody's believes that Amex is trying to mitigate the underlying
risks, it has yet to be demonstrated whether Amex can successfully
do so without simultaneously incurring material adverse attrition among
its cardholders.
Moody's review will focus on Amex's ability to address and mitigate
the aforementioned incremental risks. At the conclusion of the
review, which is typically no longer than 90 days, Moody's
may downgrade the notes. A downgrade, if any, is not
likely to exceed two notches.
The complete rating actions are as follows:
UNDER REVIEW FOR POSSIBLE DOWNGRADE
Issuer: American Express Credit Account Master Trust:
$30,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2004-2, rated Aa3
$45,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-1, rated Aa3
$45,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-2, rated Aa3
$37,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-4, rated Aa3
$82,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-5, rated Aa3
$52,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-7, rated Aa3
$37,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2005-8, rated Aa3
$75,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2006-1, rated Aa3
$27,500,000 Class B Fixed Rate Asset Backed Certificates,
Series 2006-2, rated Aa3
$45,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2006-3, rated Aa3
$52,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2006-B, rated Aa3
$27,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-1, rated A2
$27,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-2, rated A2
$33,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-3, rated A2
$44,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-4, rated A2
$27,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-5, rated A2
$55,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-6, rated A2
$49,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-7, rated A2
$66,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2007-8, rated A2
$158,125,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-1, rated A2
$75,001,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-2, rated A2
$93,751,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-3, rated A2
$33,438,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-4, rated A2
$50,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-5, rated A2
$84,375,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-6, rated A2
$32,813,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-7, rated A2
$40,625,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-8, rated A2
$34,375,000 Class B Floating Rate Asset Backed Certificates,
Series 2008-9, rated A2
Issuer: American Express Credit Account Secured Note Trust 2004-2
$36,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2005-1
$54,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2005-2
$54,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2005-4
$45,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2005-5
$99,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2005-7
$63,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2005-8
$45,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2006-1
$90,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2006-2
$35,000,000 Fixed Rate Secured Notes, rated Baa1
Issuer: American Express Credit Account Secured Note Trust 2006-3
$54,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2006-B
$63,000,000 Floating Rate Secured Notes, rated
Baa1
Issuer: American Express Credit Account Secured Note Trust 2007-1
$32,500,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2007-2
$32,500,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2007-3
$39,000,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2007-4
$52,000,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2007-5
$32,500,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2007-6
$65,000,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2007-7
$58,500,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2007-8
$78,000,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2008-1
$186,875,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2008-2
$88,637,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2008-3
$110,796,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2008-4
$39,518,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2008-5
$59,091,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2008-6
$99,716,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2008-7
$38,779,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2008-8
$48,012,000 Floating Rate Secured Notes, rated
Baa2
Issuer: American Express Credit Account Secured Note Trust 2008-9
$40,625,000 Floating Rate Secured Notes, rated
Baa2
The following outstanding series are not under review because they are
expected to mature within the next six months:
Issuer: American Express Credit Account Master Trust:
$30,000,000 Class B Fixed Rate Asset Backed Certificates,
Series 2004-3, rated Aa3
$48,000,000 Class B Floating Rate Asset Backed Certificates,
Series 2002-5, rated Aa3
$82,500,000 Class B Floating Rate Asset Backed Certificates,
Series 2004-4, 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
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 February 25, 2009, Moody's placed on review for possible
downgrade the long-term senior unsecured and short-term
debt ratings of Amex; currently A2/Prime-1 respectively.
At the same time, the long-term debt ratings of American
Express Travel Related Services ("TRS"; senior at A1) and its rated
operating subsidiaries (senior at A1) were also placed on review for possible
downgrade. The Prime-1 short-term ratings for TRS
and its rated operating subsidiaries were affirmed. 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
Mark DiRienz
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Rebeca Sanchez Sarmiento
Associate Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's places subordinate classes of American Express credit card receivables-backed securities on review for possible downgrade
