Fitch Affirms American Express Credit Account Master Trust

NEW YORK--()--Fitch Ratings has affirmed the long-term ratings and maintained the Rating Outlooks assigned to American Express Credit Account Master Trust. A detailed list of rating actions follows at the end of this release.

Key Rating Drivers:

The affirmation is based on continued positive trust performance. Fitch has maintained the Outlook at Positive on the subordinate notes due to the strong trust performance and ability to generate robust excess spread with high breakeven multiples.

Gross yield has remained stable since last year. As of the April 2015 distribution period, the 12-month average gross yield was 20.08%, up 38 basis points from the 12-month average of 19.70% as of the April 2014 distribution period.

Monthly payment rate (MPR), a measure of how quickly consumers pay down credit card debt, has improved over the past year. Currently, the 12-month average is 35.80%, up from 34.44% as of the same period one year ago.

Gross charge-offs have improved over the past year. Currently, the 12-month average is 2.30%, down from 2.67% as of the April 2014 distribution period; 60+ day delinquencies have remained below 1% over the past year.

Fitch runs a cash flow breakeven analysis by applying stress scenarios to 3-, 6-, and 12-month performance metric averages to test whether the trust can withstand stresses and losses commensurate with the current rating level given the available credit enhancement. The variables that Fitch stresses are gross yield, monthly payment rate, gross charge-off, and purchase rate. For further information, please review Fitch's U.S. Credit Card ABS Issuance updates published on a monthly basis.

The affirmations are based on the performance of the trust in line with expectations. The Stable Outlook on the senior notes indicates that Fitch expects the ratings will remain stable for the next one to two years.

Fitch's analysis included a comparison of observed performance trends over the past few months to Fitch's base case expectations for each outstanding rating category. As part of its ongoing surveillance efforts, Fitch will continue to monitor the performance of these trusts.

Rating Sensitivities:

Fitch models three different scenarios when evaluating the rating sensitivity compared to expected performance for credit card asset-backed securities transactions: 1) increased defaults; 2) a reduction in purchase rate, and 3) a combination stress of higher defaults and lower MPR.

Decreasing purchase rate alone has the least impact on rating migration even in the most severe scenario of a 100% decrease in purchase rate. The rating sensitivity to an increase in defaults also does not result in any rating migration in the most severe scenario of a 75% increase in defaults. The harshest scenario assumes stresses to defaults and MPR to occur simultaneously. The ratings would only be downgraded under the severe stress of a 75% increase in defaults and 35% reduction in MPR. To date, the transactions have exhibited strong performance with all performance metrics within Fitch's initial expectations. For further discussion of the sensitivity analysis, please see the new issue report related to one of the transactions listed below.

Fitch has affirmed the following classes and maintained the Outlooks as indicated:

American Express Credit Account Master Trust, Series 2012-1:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2012-2:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2012-3:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2012-4:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2012-5:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive.

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

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2013-2:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive;

--Class 1 at 'BBB+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2013-3:

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive;

--Class 1 at 'BBB+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2014-1;

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive;

--Class 1 at 'BBB+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2014-2;

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive;

--Class 1 at 'BBB+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2014-4;

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive;

--Class 1 at 'BBB+sf'; Outlook Positive.

American Express Credit Account Master Trust, Series 2014-5;

--Class A at 'AAAsf'; Outlook Stable;

--Class B at 'A+sf'; Outlook Positive;

--Class 1 at 'BBB+sf'; Outlook Positive.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' dated March 2015;

--'Global Credit Card ABS Rating Criteria,' dated May 2014.

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268

Global Credit Card ABS Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748920

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=983710

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contacts

Fitch Ratings
Primary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Herman C. Poon
Director
+1-212-908-0847
or
Committee Chairperson
Tracy Wan
Senior Director
+1-212-908-9171
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Jenny Ovalle
Associate Director
+1-212-908-0849
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Herman C. Poon
Director
+1-212-908-0847
or
Committee Chairperson
Tracy Wan
Senior Director
+1-212-908-9171
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com