Fitch Affirms American Express Credit Account Master Trust; Outlook on Sub Notes Revised to Stable

NEW YORK--()--Fitch Ratings has affirmed the long-term ratings and maintained the Stable Outlook on the senior notes for American Express Credit Account Master Trust. In addition, Fitch has revised the Rating Outlook on the subordinate notes to Stable from Positive. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

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 ratings to remain stable for the next one to two years. Fitch revised the Outlook to Stable from Positive on the subordinate notes due to recent termination of key co-brand partnerships and the uncertain effect on performance but does expect ratings to remain the same over the next one to two years.

Gross yield has remained stable since last year. As of the March 2016 distribution period, 12-month average gross yield was 20.17%, up 16 basis points from the 12-month average of 20.01% as of the March 2015 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 35.92%, up from 35.66% as of the same period one year ago.

Gross charge-offs have also improved over the past year. Currently, the 12-month average is 1.99%, down from 2.34% as of the March 2015 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 Tear Sheet published on a monthly basis.

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, the agency 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 our sensitivity analysis, please see the new issue report related to one of the transactions listed below.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the ratings and revised the Rating Outlooks for the following:

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

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

--Class B at 'A+sf'; Outlook revised to Stable from Positive.

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

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

--Class B at 'A+sf'; Outlook revised to Stable from Positive.

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

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

--Class B at 'A+sf'; Outlook revised to Stable from Positive.

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

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

--Class B at 'A+sf'; Outlook revised to Stable from Positive;

--Class 1 at 'BBB+sf'; Outlook revised to Stable from Positive.

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

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

--Class B at 'A+sf'; Outlook revised to Stable from Positive;

--Class 1 at 'BBB+sf'; Outlook revised to Stable from Positive.

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

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

--Class B at 'A+sf'; Outlook revised to Stable from Positive;

--Class 1 at 'BBB+sf'; Outlook revised to Stable from Positive.

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

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

--Class B at 'A+sf'; Outlook revised to Stable from Positive;

--Class 1 at 'BBB+sf'; Outlook revised to Stable from Positive.

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

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

--Class B at 'A+sf'; Outlook revised to Stable from Positive;

--Class 1 at 'BBB+sf'; Outlook revised to Stable from Positive.

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

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

--Class B at 'A+sf'; Outlook revised to Stable from Positive;

--Class 1 at 'BBB+sf'; Outlook revised to Stable from Positive.

American Express Credit Account Master Trust, Series 2015-1:

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

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

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

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Credit Card ABS Rating Criteria (pub. 26 Jun 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867482

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1002668

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1002668

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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
Stephanie Lobaccaro, +1-212-908-0769
Analyst
Fitch Ratings Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle, +1-212-908-0849
Associate Director
or
Committee Chairperson
Herman Poon, +1-212-908-0847
Senior Director
or
Media Relations, New York
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Stephanie Lobaccaro, +1-212-908-0769
Analyst
Fitch Ratings Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Jenny Ovalle, +1-212-908-0849
Associate Director
or
Committee Chairperson
Herman Poon, +1-212-908-0847
Senior Director
or
Media Relations, New York
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com