Approximately 1.6 billion of asset-backed securities affected
New York, May 15, 2015 -- Following Moody's conclusion of its review of several US banks'
ratings and the assignment of their Counterparty Risk Assessments (CR
Assessment) on 14 May 2015, Moody's has upgraded the ratings
of eight classes of asset-backed securities (ABS) issued out of
American Express Credit Account Master Trust and the related American
Express Credit Account Secured Note Trusts (AECAMT), sponsored by
American Express Centurion Bank and American Express Bank, FSB (together,
American Express), five classes of asset-backed securities
issued out of Capital One Multi-asset Execution Trust (COMET),
sponsored by Capital One Bank USA (Capital One), and three classes
of asset-backed securities issued out of Synchrony Credit Card
Master Note Trust (SCCMNT), sponsored by Synchrony Bank (Synchrony).
Today's rating actions conclude the reviews to the affected ABS
initiated on 20 March 2015, following Moody's update to its methodology
for rating credit card receivables-backed securitizations on 16
March 2015. The updated methodology reflects changes in how Moody's
measures the sponsor risk of default in relation to the exposure that
credit card ABS transactions have to entities of banking groups.
In particular, Moody's now uses the sponsor's CR Assessment,
which the rating agency introduced for banks as part of its revised bank
rating methodology on 16 March 2015, rather than the sponsor's senior
unsecured debt rating to measure the probability that it will shut down
its credit card portfolio.
The complete rating actions are as follows:
Issuer: American Express Credit Account Master Trust, Series
2014-3
$65,029,000 Class B Certificates, Upgraded to
Aa2 (sf); previously on March 20, 2015 Placed on Review on
for Possible Upgrade
Issuer: American Express Credit Account Master Trust, Series
2014-2
$43,353,000 Class B Certificates, Upgraded to
Aa2 (sf); previously on March 20, 2015 Placed on Review on
for Possible Upgrade
Issuer: American Express Credit Account Master Trust, Series
2013-3
$21,676,000 Class B Certificates, Upgraded to
Aa2 (sf); previously on March 20, 2015 Placed on Review on
for Possible Upgrade
Issuer: American Express Credit Account Master Trust, Series
2013-2
$32,143,000 Class B Certificates, Upgraded to
Aa1 (sf); previously on March 20, 2015 Placed on Review on
for Possible Upgrade
Issuer: American Express Credit Account Master Trust, Series
2013-1
$53,572,000 Class B Certificates, Upgraded to
Aa1 (sf); previously on March 20, 2015 Placed on Review on
for Possible Upgrade
Issuer: American Express Credit Account Master Trust, Series
2012-1
$36,364,000 Class B Certificates, Upgraded to
Aa1 (sf); previously on March 20, 2015 Placed on Review on
for Possible Upgrade
Issuer: American Express Credit Account Master Trust, Series
2008-6
$84,375,000 Class B Certificates, Upgraded to
Aa1 (sf); previously on March 20, 2015 Placed on Review on
for Possible Upgrade
Issuer: American Express Credit Account Master Trust, Series
2008-2
$75,001,000 Class B Certificates, Upgraded to
Aa1 (sf); previously on March 20, 2015 Placed on Review on
for Possible Upgrade
Issuer: Capital One Multi-Asset Execution Trust
$150,000,000 Class B(2004-3), Upgraded
to Aa3 (sf); previously on March 20, 2015 Placed on Review
for Possible Upgrade
$100,000,000 Class B(2005-3), Upgraded
to Aa3 (sf); previously on March 20, 2015 Placed on Review
for Possible Upgrade
$175,000,000 Class B(2006-1), Upgraded
to Aa3 (sf); previously on March 20, 2015 Placed on Review
for Possible Upgrade
$350,000,000 Class B(2007-1), Upgraded
to Aa3 (sf); previously on March 20, 2015 Placed on Review
for Possible Upgrade
$300,000,000 Class C(2007-1), Upgraded
to Baa2 (sf); previously on March 20, 2015 Placed on Review
for Possible Upgrade
Issuer: Synchrony Credit Card Master Note Trust
$27,500,000 Series 2010-2 Class C, Upgraded
to A3 (sf); previously on March 20, 2015 Placed on Review for
Possible Upgrade
$68,138,802 Series 2013-1 Class C, Upgraded
to A3 (sf); previously on March 20, 2015 Placed on Review for
Possible Upgrade
$58,333,334 Series 2014-1 Class C Notes,
Upgraded to A1 (sf); previously on March 20, 2015 Placed on
Review for Possible Upgrade
RATINGS RATIONALE
In its global bank rating methodology released 16 March 2015, Moody's
introduced its CR Assessment. The CR Assessment reflects an issuer's
probability of defaulting on certain senior operating bank obligations
and other contractual commitments. Moody's also updated the credit
card and other structured finance rating methodologies to incorporate
the CR Assessment on 16 March 2015.
Moody's will now generally use the sponsor's CR Assessment as a proxy
for the likelihood of the closure of its credit card business.
Moody's will use the CR Assessment, as opposed to other proxies,
such as the sponsor's senior unsecured rating or bank deposit rating,
because Moody's expects that a successfully resolved bank will continue
the origination of credit card receivables and other core activities.
If the sponsor is not eligible for a CR Assessment or one is not available,
Moody's will use the best alternative proxy, which it may,
for example, derive from its senior unsecured debt rating or,
in some cases, its deposit rating. In limited circumstances
a sponsor could qualify for a low-volatility credit estimate in
the absence of a rating or CR Assessment.
On 14 May 2015, Moody's concluded its review of several US
banks' ratings, including several credit card ABS sponsors,
and assigned their CR Assessments (for details please see the press release
available at https://www.moodys.com/research/Moodys-concludes-reviews-on-63-US-banks-ratings--PR_325380).
In most cases, the CR Assessments are a notch higher than the senior
unsecured ratings prior to the March updates to the bank and credit card
rating methodologies. As a result, Moody's has reduced its
Aaa Credit Enhancement (Aaa CE) for the affected ABS transactions.
Therefore, because Moody's uses the ratio of available credit enhancement
to Aaa CE to rate subordinate notes, the enhancement available to
the upgraded notes is now consistent with a higher rating.
Moody's expects performance for the assets backing AECAMT to be in the
range of 2.0% - 2.5% for charge-offs,
19.0% - 22.0% for yield and 32.5%
- 35.5% for the principal payment rate.
Moody's expects performance for the assets backing COMET to be in the
range of 3.5% - 4.5% for charge-offs,
21.0% - 24.0% for yield and 24.5%
- 27.5% for the principal payment rate.
Moody's expects performance for the assets backing SCCMNT to be in the
range of 5.5% - 7.5% for charge-offs,
26.0% - 29.0% for yield and 12.5%
- 14.5% 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 March 2015. Please see the Credit Policy page on www.moodys.com
for a copy of this methodology.
Factors that would lead to an upgrade or downgrade of the rating:
Up
Moody's could upgrade the ratings of the securities if our expectation
of the trusts' 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 reduction in Moody's assessment of the likelihood of the sponsor shutting
down its credit card portfolio, generally reflected from an upgrade
in the sponsor's CR assessment, could also lead to an upgrade
to the rating of the securities.
Down
Moody's could downgrade the ratings of the securities if our expectation
of the trusts' 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 the sponsor shutting
down its credit card portfolio, generally reflected from a downgrade
in the sponsor's CR assessment, could also lead to a downgrade
to the rating of the securities.
Loss and Cash Flow Analysis:
In rating these transactions, 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.
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.
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 related to the monitoring of these transactions in the past
six months
Moody's describes its loss and cash flow analysis in the section
"Ratings Rationale" of this press release.
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.
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.
Imran Zaid Ansari
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
Matias Langer
Vice President - Senior Analyst
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 upgrades 16 US card ABS notes following conclusion on sponsors' reviews
