News Column

Fitch Affirms American Express Credit Account Master Trust

May 2, 2014

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the long-term ratings and revised 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 revised the Outlook to Positive from Stable on the subordinate notes due to the strong trust performance and ability to generate robust excess spread and breakeven multiples.

Gross yield has remained stable since last year. As of the April 2014 distribution period, the 12-month average gross yield was 19.70%, up one basis point from the 12-month average of 19.69% as of the April 2013 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 34.44%, up from 33.07% as of the April 2013 distribution period.

Gross chargeoffs have improved slightly over the past year. Currently, the 12-month average is 2.67%, down from 3.01% as of the April 2013 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 the U.S. Credit Card ABS Issuance updates published on a monthly basis.

The affirmations are based on the performance of the trusts 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 our sensitivity analysis, please see the new issue report related to one of the transactions listed below.

Fitch has affirmed the following classes and revised the Rating Outlooks as indicated:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Additional information is available at www.fitchratings.com.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 24, 2013);

--'Global Credit Card ABS Rating Criteria' (June 7, 2013).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

Global Credit Card ABS Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709356

Additional Disclosure

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.



Fitch Ratings

Primary Analyst:

Jared Kirsch, +1-212-908-0646

Analyst

33 Whitehall Street

New York, NY 10004

or

Secondary Analyst:

Herman Poon, +1-212-908-0847

Director

or

Committee Chairperson:

Steven Stubbs, +1-212-908-0676

Senior Director

or

Media Relations:

Sandro Scenga, +1-212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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