Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(D) of the
Securities Exchange Act of 1934
Pursuant to Section 13 or 15(D) of the
Securities Exchange Act of 1934
Date
of Report (Date of earliest event reported) May 16, 2011
| AMERICAN EXPRESS | AMERICAN EXPRESS | AMERICAN EXPRESS | ||
| RECEIVABLES | RECEIVABLES | RECEIVABLES | ||
| FINANCING | FINANCING | FINANCING | ||
| CORPORATION II | CORPORATION III LLC | CORPORATION IV LLC |
(as Originators of the American Express Credit Account Master Trust)
(Exact Name of Registrant as Specified in Charter)
on behalf of
American Express Credit Account Master Trust
| Delaware | 333-155765-02 | 13-3854638 | Delaware | 333-155765 | 20-0942395 | Delaware | 333-155765-01 | 20-0942445 | ||||||||
| (State or Other | (Commission | (I.R.S. | (State or Other | (Commission File | (I.R.S. | (State or Other | (Commission | (I.R.S. | ||||||||
| Jurisdiction of | File Number) | Employer | Jurisdiction of | Number) | Employer | Jurisdiction of | File Number) | Employer | ||||||||
| Incorporation | Identification | Incorporation or | Identification | Incorporation or | Identification | |||||||||||
| or | Number) | Organization) | Number) | Organization) | Number) | |||||||||||
| Organization) |
| 200 Vesey Street, Room 138 Mail Stop 01-31-12 New York, New York 10285 (212) 640-2000 |
4315 South 2700 West, Room 1900 Mail Stop 02-01-50 Salt Lake City, Utah 84184 (801) 945-2550 |
4315 South 2700 West, Room 1900 Mail Stop 02-01-56 Salt Lake City, Utah 84184 (801) 945-2068 |
(Address, Including Zip Code, and Telephone Number,
Including Area Code, of each Registrant’s Principal Executive Offices)
| N/A (Former Name or Former Address, if Changed Since Last Report) |
N/A (Former Name or Former Address, if Changed Since Last Report) |
N/A (Former Name or Former Address, if Changed Since Last Report) |
||
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the
filing obligation of the registrant under any of the following provisions.
| o | Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) | |
| o | Soliciting material pursuant to Rule 14a-12(b) under the Exchange Act (17 CFR 240.14a-12) | |
| o | Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) | |
| o | Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) |
INFORMATION TO BE INCLUDED IN THE REPORT
TABLE OF CONTENTS
| Item 8.01. Other Events | ||||||||
| SIGNATURES | ||||||||
Table of Contents
Item 8.01. Other Events
The following information relates to the credit card receivables owned by American Express
Credit Account Master Trust and the related credit card accounts. Some of the terms used herein
are used as defined in the Glossary of Terms at the end of this report.
Table of Contents
The
Trust Portfolio
General
The primary assets of the trust are receivables generated from
time to time in a portfolio of designated American Express
credit cards and Sign & Travel/Extended Payment Option
consumer revolving credit accounts or features and, in the
future, may include other charge or credit accounts or products.
The accounts in the Trust Portfolio were selected from the
Total Portfolio based upon the eligibility criteria specified in
the purchase agreements and the pooling and servicing agreement
applied with respect to the accounts as of their selection date.
Subject only to these criteria and any applicable regulatory
guidelines, the account owners have the discretion to select the
accounts in the Total Portfolio for addition to the
Trust Portfolio. The account owners have in the past
considered, and may in the future consider, factors such as
product type, tenure of an account and interest rate applicable
to an account in determining the accounts to be added to the
Trust Portfolio. Set forth below is certain information
with respect to the Trust Portfolio.
The Trust Portfolio’s yield, loss, delinquency and
payment rate is comprised of segments which may, when taken
individually, have yield, loss, delinquency and payment rate
characteristics different from those of the overall
Trust Portfolio. There can be no assurance that the yield,
loss, delinquency and payment rate experience relating to the
receivables in the Trust Portfolio in the future will be comparable to
the historical experience relating to the receivables in the
Trust Portfolio set forth below.
Loss and
Delinquency Experience
The following tables set forth the loss and delinquency
experience for the Trust Portfolio for each of the periods
shown. The loss and delinquency rates at any time reflect, among
other factors, the quality of the Trust Portfolio, the
average seasoning of the accounts, the success of the account
owners’ collection efforts, the product mix of the
Trust Portfolio and general economic conditions.
The following table sets forth the loss experience for the
Trust Portfolio for each indicated period. Total gross
charge-offs include charge-offs of principal receivables only,
and do not include any charge-offs of finance charge and fee
receivables or the amount of any reductions in principal
receivables due to a rebate, refund, error, fraudulent charge or
other miscellaneous adjustment.
If finance charge and fee receivables that have been
charged-off were included in total gross charge-offs, total
gross charge-offs would be higher as an absolute number and as a
percentage of the average principal receivables outstanding
during the periods indicated. Recoveries are collections
received in respect of charged-off accounts in the
Trust Portfolio during the period indicated in the
following table. Total recoveries for each indicated period
include recoveries of principal, finance charges and certain
fees for that period. Under the pooling and servicing agreement,
recoveries are treated as collections of finance charge
receivables. Total net charge-offs are an amount equal to total
gross charge-offs minus total recoveries, each for the
applicable period. Average principal receivables outstanding for
each indicated period is the average of the month-end principal
receivables balances for that period. We cannot provide any
assurance that the loss experience for the receivables in the
Trust Portfolio in the future will be similar to the
historical experience set forth below.
1
Table of Contents
Loss
Experience of the Trust Portfolio
(Dollars in Thousands)
(Dollars in Thousands)
| Three Months Ended | Year Ended December 31, | |||||||||||||||||||||||
| March 31, 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||
|
Average Principal Receivables Outstanding
|
$ | 31,892,891 | $ | 32,791,758 | $ | 35,361,393 | $ | 38,988,470 | $ | 33,155,166 | $ | 27,902,997 | ||||||||||||
|
Total Gross Charge-Offs
|
$ | 404,407 | $ | 2,264,950 | $ | 3,384,328 | $ | 2,291,114 | $ | 1,245,560 | $ | 859,001 | ||||||||||||
|
Total Recoveries
|
89,716 | 329,595 | 284,778 | 226,166 | 240,079 | 242,870 | ||||||||||||||||||
|
Total Net Charge-Offs
|
$ | 314,691 | $ | 1,935,355 | $ | 3,099,551 | $ | 2,064,948 | $ | 1,005,482 | $ | 616,132 | ||||||||||||
|
Total Gross Charge-Offs as a Percentage of Average Principal Receivables Outstanding
|
5.07 | %(1) | 6.91 | % | 9.57 | % | 5.88 | % | 3.76 | % | 3.08 | % | ||||||||||||
|
Total Recoveries as a Percentage of Average Principal
Receivables Outstanding
|
1.13 | (1) | 1.01 | 0.81 | 0.58 | 0.72 | 0.87 | |||||||||||||||||
|
Total Net Charge-Offs as a Percentage of Average Principal
Receivables Outstanding
|
3.95 | %(1) | 5.90 | % | 8.77 | % | 5.30 | % | 3.03 | % | 2.21 | % | ||||||||||||
|
Number of Accounts Experiencing a Loss
|
81,832 | 432,178 | 535,699 | 395,923 | 254,594 | 213,173 | ||||||||||||||||||
|
Number of Accounts Experiencing a Recovery(2)
|
252,956 | 902,173 | 717,473 | 658,009 | 710,699 | 702,458 | ||||||||||||||||||
|
Average Net Loss per Account Experiencing a Loss(3)
|
$ | 3.85 | $ | 4.48 | $ | 5.79 | $ | 5.22 | $ | 3.95 | $ | 2.89 | ||||||||||||
| (1) | This percentage is an annualized figure. | |
| (2) | Calculated by totaling the number of accounts experiencing a recovery in each of the months during the indicated period. Therefore, an account that has experienced a recovery in multiple months during the indicated period will be counted more than once. | |
| (3) | Calculated as Net Charge-Offs divided by Number of Accounts Experiencing a Loss. |
The following tables set forth the delinquency experience for
the Trust Portfolio for each indicated period. With respect
to the “Average Receivables Delinquent as a Percentage
of the Trust Portfolio” table below, the average
receivables delinquent is the average of the month-end
delinquent amounts, while the average receivables outstanding is
the average of month-end receivables balances, each for the
applicable period. With respect to the “Average Number
of Delinquent Accounts as a Percentage of the
Trust Portfolio” table below, the average number
of delinquent accounts is the average of the month-end
delinquent accounts, while the average number of outstanding
accounts is the average of total month-end accounts, each for
the applicable period. We cannot provide any assurance that the
delinquency experience for the receivables in the
Trust Portfolio in the future will be similar to the
historical experience set forth below.
2
Table of Contents
Average
Receivables Delinquent as a Percentage of the
Trust Portfolio
(Dollars in Thousands)
(Dollars in Thousands)
| Three Months Ended | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||||||
| March 31, 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||||||||||||||
| Percentage of | Percentage of | Percentage of | Percentage of | Percentage of | Percentage of | |||||||||||||||||||||||||||||||||||||||||||
| Average | Average | Average | Average | Average | Average | |||||||||||||||||||||||||||||||||||||||||||
| Dollar | Receivables | Dollar | Receivables | Dollar | Receivables | Dollar | Receivables | Dollar | Receivables | Dollar | Receivables | |||||||||||||||||||||||||||||||||||||
| Amount | Outstanding | Amount | Outstanding | Amount | Outstanding | Amount | Outstanding | Amount | Outstanding | Amount | Outstanding | |||||||||||||||||||||||||||||||||||||
Average Receivables Outstanding |
$ | 32,507,050 | 100.00 | % | $ | 33,867,866 | 100.00 | % | $ | 36,734,893 | 100.00 | % | $ | 39,983,939 | 100.00 | % | $ | 33,928,691 | 100.00 | % | $ | 28,641,328 | 100.00 | % | ||||||||||||||||||||||||
Average Receivables Delinquent: |
||||||||||||||||||||||||||||||||||||||||||||||||
31 to 60 Days |
$ | 185,239 | 0.57 | % | $ | 261,531 | 0.77 | % | $ | 432,451 | 1.18 | % | $ | 438,579 | 1.10 | % | $ | 311,402 | 0.92 | % | $ | 270,392 | 0.94 | % | ||||||||||||||||||||||||
61 to 90 Days |
139,471 | 0.43 | 205,265 | 0.61 | 355,573 | 0.97 | 314,939 | 0.79 | 186,507 | 0.55 | 150,542 | 0.53 | ||||||||||||||||||||||||||||||||||||
91 to 120 Days |
125,471 | 0.39 | 182,181 | 0.54 | 310,642 | 0.85 | 261,765 | 0.65 | 149,611 | 0.44 | 116,468 | 0.41 | ||||||||||||||||||||||||||||||||||||
121 to 150 Days |
118,003 | 0.36 | 167,796 | 0.50 | 280,078 | 0.76 | 226,196 | 0.57 | 127,699 | 0.38 | 94,370 | 0.33 | ||||||||||||||||||||||||||||||||||||
151 Days or More |
106,942 | 0.33 | 154,486 | 0.46 | 255,546 | 0.70 | 186,260 | 0.47 | 73,958 | 0.22 | 40,963 | 0.14 | ||||||||||||||||||||||||||||||||||||
Total |
$ | 675,127 | 2.08 | % | $ | 971,259 | 2.87 | % | $ | 1,634,290 | 4.45 | % | $ | 1,427,739 | 3.57 | % | $ | 849,178 | 2.50 | % | $ | 672,735 | 2.35 | % | ||||||||||||||||||||||||
Average
Number of Delinquent Accounts as a Percentage of the
Trust Portfolio
| Three Months Ended | Year Ended December 31, | |||||||||||||||||||||||||||||||||||||||||||||||
| March 31, 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||||||||||||||
| Percentage of | Percentage of | Percentage of | Percentage of | Percentage of | Percentage of | |||||||||||||||||||||||||||||||||||||||||||
| Number of | Total Number | Number of | Total Number | Number of | Total Number | Number of | Total Number | Number of | Total Number | Number of | Total Number | |||||||||||||||||||||||||||||||||||||
| Accounts | of Accounts | Accounts | of Accounts | Accounts | of Accounts | Accounts | of Accounts | Accounts | of Accounts | Accounts | of Accounts | |||||||||||||||||||||||||||||||||||||
Average Number of Accounts Outstanding |
26,458,031 | 100.00 | % | 27,435,054 | 100.00 | % | 26,926,262 | 100.00 | % | 25,196,592 | 100.00 | % | 23,287,669 | 100.00 | % | 20,828,126 | 100.00 | % | ||||||||||||||||||||||||||||||
Average Number of Accounts Delinquent |
||||||||||||||||||||||||||||||||||||||||||||||||
31 to 60 Days |
33,505 | 0.13 | % | 43,591 | 0.16 | % | 61,022 | 0.23 | % | 61,645 | 0.24 | % | 61,159 | 0.26 | % | 68,552 | 0.33 | % | ||||||||||||||||||||||||||||||
61 to 90 Days |
20,953 | 0.08 | 29,111 | 0.11 | 43,720 | 0.16 | 37,060 | 0.15 | 29,980 | 0.13 | 33,471 | 0.16 | ||||||||||||||||||||||||||||||||||||
91 to 120 Days |
17,911 | 0.07 | 25,161 | 0.09 | 36,994 | 0.14 | 29,073 | 0.12 | 22,163 | 0.10 | 24,142 | 0.12 | ||||||||||||||||||||||||||||||||||||
121 to 150 Days |
16,843 | 0.06 | 23,201 | 0.08 | 32,332 | 0.12 | 23,821 | 0.09 | 17,875 | 0.08 | 18,803 | 0.09 | ||||||||||||||||||||||||||||||||||||
151 Days or More |
15,695 | 0.06 | 21,665 | 0.08 | 28,850 | 0.11 | 18,991 | 0.08 | 10,929 | 0.05 | 10,084 | 0.05 | ||||||||||||||||||||||||||||||||||||
Total |
104,907 | 0.40 | % | 142,730 | 0.52 | % | 202,919 | 0.75 | % | 170,591 | 0.68 | % | 142,106 | 0.61 | % | 155,051 | 0.74 | % | ||||||||||||||||||||||||||||||
Revenue
Experience
The following table sets forth the revenue experience for the Trust Portfolio from total finance charge and fee collections for each
indicated period. Total finance charge and fee collections set forth in the table below include periodic finance charges, cash advance fees, annual membership fees,
other fees, discount option yield, Issuer Rate Fees and
recoveries on charged-off accounts. Under the pooling and servicing agreement, recoveries on charged-off accounts are treated as collections of finance
charge receivables. Starting in the June 2009 Monthly Period,
the transferors began transferring receivables to the trust at a discount based on a discount percentage equal to (i) 6.0% during the June 2009 Monthly Period,
(ii) 3.0% during the July 2009 Monthly Period, (iii) 2.0% starting in the August 2009 Monthly Period and continuing through the last
day of the January 2010 Monthly Period, and (iv) 1.0% starting in the February 2010 Monthly Period and continuing through the last day of
the July 2010 Monthly Period, at which time the discount percentage was reduced to 0.0%. Collections of receivables designated as discount
option receivables during this period were first received in the July 2009 Monthly Period. There can be no assurance that the
revenues for the Trust Portfolio in the future will be similar to the historical experience of the Trust Portfolio set forth below.
Revenue experience from total finance charge and fee
collections results from dividing total finance charges and fee
collections by the average principal receivables outstanding.
The average principal receivables outstanding for each indicated
period is the average of the month-end principal receivables
balances for that period.
3
Table of Contents
Revenue
Experience of the Trust Portfolio
(Dollars in Thousands)
(Dollars in Thousands)
| Three Months Ended | Year Ended December 31, | |||||||||||||||||||||||
| March 31, 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||
Average Principal Receivables Outstanding |
$ | 31,892,891 | $ | 32,791,758 | $ | 35,361,393 | $ | 38,988,470 | $ | 33,155,166 | $ | 27,902,997 | ||||||||||||
Finance Charge and Fee Collections |
$ | 1,662,439 | $ | 6,931,398 | $ | 6,962,109 | $ | 7,772,054 | $ | 7,434,173 | $ | 6,323,880 | ||||||||||||
Collections
of Discount Option Receivables (1) |
42,159 | 1,343,808 | 974,780 | 0 | 0 | 0 | ||||||||||||||||||
Total Finance Charge and Fee Collections |
$ | 1,704,598 | $ | 8,275,205 | $ | 7,936,889 | $ | 7,772,054 | $ | 7,434,173 | $ | 6,323,880 | ||||||||||||
Total Finance Charge and Fee Collections as a Percentage of Average Principal Receivables Outstanding |
21.38 | %(2) | 25.24 | % | 22.45 | % | 19.93 | % | 22.42 | % | 22.66 | % | ||||||||||||
| (1) | As described above, starting in the June 2009 Monthly Period and continuing through the last day of the July 2010 Monthly Period, the transferors transferred receivables to the trust at a discount. The trust first received collections of those receivables, designated as discount option receivables, in the July 2009 Monthly Period. | |
| (2) | This percentage is an annualized figure. |
The historical revenue figures for the Trust Portfolio
shown in the table above include interest on purchases and cash
advances and fees collected from holders of the accounts during
the applicable month. Revenues from finance charges and fees
collected will be affected by numerous factors, including the
periodic finance charges on the receivables, the amount of fees
paid by account holders, the percentage of account holders who
pay off their balances in full each month and do not incur
periodic finance charges on purchases and change in the level of
delinquencies on the receivables. Revenues related to finance
charges and fees also depend on the types of charges and fees
assessed by the account owners on the accounts in the
Trust Portfolio. Accordingly, revenues will be affected by
future changes in the types of charges and fees assessed on the
accounts and other factors. None of the
servicer, any account owner or any of their respective
affiliates has any basis to predict how future changes in the
use of the accounts by account holders or in the terms of
accounts may affect the revenue for the Trust Portfolio.
Principal
Payment Rates
The following table sets forth the highest and lowest account
holder monthly principal payment rates for the
Trust Portfolio during any month in the period shown and
the average account holder monthly principal payment rates for
all months during each period shown, calculated as the
percentage equivalent of a fraction. The monthly principal
payment rates are calculated as the amount of principal payments
from account holders (excluding recoveries on charged-off
receivables) as posted to the accounts during the applicable
month divided by the aggregate amount of principal receivables
outstanding as of the beginning of the applicable month. In
addition, as of the three months ended March 31, 2011, and
with regard to the prior month’s statements only, 8.66% of the accounts in the Trust Portfolio made the minimum payment under the
terms of the related account agreement, and 53.88% of the accounts in the Trust Portfolio had account
holders that paid their full balance under the terms of the
related account agreement.
Account Holder
Monthly Principal Payment Rates of the
Trust Portfolio
| Three Months Ended | Year Ended December 31, | |||||||||||||||||||||||
| March 31, 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||
Lowest Month |
28.21 | % | 25.26 | % | 22.23 | % | 22.33 | % | 23.40 | % | 24.60 | % | ||||||||||||
Highest Month |
31.42 | % | 29.63 | % | 26.95 | % | 26.07 | % | 26.92 | % | 26.83 | % | ||||||||||||
Monthly Average |
30.35 | % | 28.40 | % | 24.36 | % | 24.03 | % | 25.02 | % | 25.59 | % | ||||||||||||
4
Table of Contents
The
Receivables
As of March 31, 2011, the receivables in the accounts
included in the Trust Portfolio totaled $32,032,598,196
comprised of $31,449,288,283 of principal receivables and
$583,309,913 of finance charge receivables, which finance charge
receivables included $21,202,657 of discount option receivables.
The following tables, together with the paragraph under
“— Composition
by Geographic Distribution,” summarize the
Trust Portfolio by various criteria as of March 31, 2011. Because the future composition of the Trust Portfolio may
change over time, these tables are not necessarily indicative of
the composition of the Trust Portfolio at any time
subsequent to March 31, 2011.
Composition
By Account Balance
Trust Portfolio
Trust Portfolio
|
Percentage |
Percentage |
|||||||||||||||
|
of Total |
of Total |
|||||||||||||||
|
Number of |
Number of |
Receivables |
Receivables |
|||||||||||||
|
Account Balance Range
|
Accounts | Accounts | Outstanding | Outstanding | ||||||||||||
|
Credit Balance
|
220,638 | 0.84 | % | $ | (35,537,232 | ) | (0.11 | )% | ||||||||
|
Zero Balance
|
16,467,439 | 62.77 | 0 | 0.00 | ||||||||||||
|
$0.01 to $1,000
|
4,205,547 | 16.03 | 1,565,208,776 | 4.89 | ||||||||||||
|
$1,000.01 to $5,000
|
3,473,670 | 13.24 | 8,544,710,945 | 26.68 | ||||||||||||
|
$5,000.01 to $10,000
|
1,068,328 | 4.07 | 7,519,616,561 | 23.47 | ||||||||||||
|
$10,000.01 or More
|
799,579 | 3.05 | 14,438,599,146 | 45.07 | ||||||||||||
|
Total
|
26,235,201 | 100.00 | % | 32,032,598,196 | 100.00 | % | ||||||||||
The average account balance as of March 31, 2011 was $1,221 for all accounts and $3,279 for all accounts other than accounts
with a zero balance as of that date.
Composition
By Credit Limit
Trust Portfolio
Trust Portfolio
| Percentage | Percentage | |||||||||||||||
| of Total | of Total | |||||||||||||||
| Number of | Number of | Receivables | Receivables | |||||||||||||
|
Credit Limit Range
|
Accounts | Accounts | Outstanding | Outstanding | ||||||||||||
Less than $1,000.99(1) |
6,080,917 | 23.18 | % | $ | 151,021,331 | 0.47 | % | |||||||||
$1,001 to $5,000.99 |
2,981,289 | 11.36 | 2,324,500,758 | 7.26 | ||||||||||||
$5,001 to $10,000.99 |
3,312,515 | 12.63 | 4,212,401,952 | 13.15 | ||||||||||||
$10,001 to $15,000.99 |
2,403,013 | 9.16 | 4,135,713,644 | 12.91 | ||||||||||||
$15,001 to $20,000.99 |
1,669,911 | 6.37 | 3,797,675,816 | 11.86 | ||||||||||||
$20,001 to $25,000.99 |
1,036,037 | 3.95 | 2,918,201,048 | 9.11 | ||||||||||||
$25,001 or More(2) |
983,596 | 3.75 | 6,007,879,728 | 18.76 | ||||||||||||
Total (Credit Card) |
18,467,278 | 70.39 | % | $ | 23,547,394,277 | 73.51 | % | |||||||||
No Pre-Set Spending Limit (Sign & Travel Accounts) |
7,767,923 | 29.61 | 8,485,203,919 | 26.49 | ||||||||||||
Grand Total |
26,235,201 | 100.00 | % | $ | 32,032,598,196 | 100.00 | % | |||||||||
| (1) | Beginning May 2008, accounts which have been cancelled, and with respect to which credit privileges have been revoked, are included in the “Less than $1,000.99” credit limit range. Prior to May 2008, a cancelled account was included in the credit limit range applicable to such account prior to its cancellation. | |
| (2) | The maximum credit limit generally is $100,000. |
5
Table of Contents
Composition
by Period of Delinquency
Trust Portfolio
Trust Portfolio
|
Percentage |
Percentage |
|||||||||||||||
|
of Total |
of Total |
|||||||||||||||
|
Period of Delinquency |
Number of |
Number of |
Receivables |
Receivables |
||||||||||||
|
(Days Contractually Delinquent)
|
Accounts | Accounts | Outstanding | Outstanding | ||||||||||||
|
Current to 30 days
|
26,138,390 | 99.63 | % | $ | 31,403,322,490 | 98.04 | % | |||||||||
|
31 to 60 Days
|
30,937 | 0.12 | 178,223,205 | 0.56 | ||||||||||||
|
61 to 90 Days
|
19,916 | 0.08 | 133,593,100 | 0.42 | ||||||||||||
|
91 to 120 Days
|
15,841 | 0.06 | 108,698,913 | 0.34 | ||||||||||||
|
121 to 150 Days
|
15,634 | 0.06 | 110,751,474 | 0.35 | ||||||||||||
|
151 Days or More
|
14,483 | 0.06 | 98,009,014 | 0.31 | ||||||||||||
|
Total
|
26,235,201 | 100.00 | % | $ | 32,032,598,196 | 100.00 | % | |||||||||
Composition
by Account Age
Trust Portfolio
Trust Portfolio
|
Percentage |
Percentage |
|||||||||||||||
|
of Total |
of Total |
|||||||||||||||
|
Number of |
Number of |
Receivables |
Receivables |
|||||||||||||
|
Account Age(1)
|
Accounts | Accounts | Outstanding | Outstanding | ||||||||||||
|
Not More than 11 Months
|
0 | 0.00 | % | $ | 0 | 0.00 | % | |||||||||
|
12 Months to 17 Months
|
0 | 0.00 | 0 | 0.00 | ||||||||||||
|
18 Months to 23 Months
|
195,077 | 0.74 | 210,816,039 | 0.66 | ||||||||||||
|
24 Months to 35 Months
|
797,274 | 3.04 | 789,146,879 | 2.46 | ||||||||||||
|
36 Months to 47 Months
|
1,465,424 | 5.59 | 1,598,381,842 | 4.99 | ||||||||||||
|
48 Months to 59 Months
|
2,932,927 | 11.18 | 3,229,787,792 | 10.08 | ||||||||||||
|
60 Months to 71 Months
|
3,123,421 | 11.91 | 3,694,416,334 | 11.53 | ||||||||||||
|
72 Months or More
|
17,721,078 | 67.55 | 22,510,049,310 | 70.27 | ||||||||||||
|
Total
|
26,235,201 | 100.00 | % | $ | 32,032,598,196 | 100.00 | % | |||||||||
| (1) | For purposes of this table, the age of an account is rounded down to the nearest whole month. For example, the age of an account that has been in existence for eleven months and twenty days would be rounded down to eleven months, and that account would be included in the “Not More than 11 Months” age range. |
Composition
by Geographic Distribution
Trust Portfolio
Trust Portfolio
As of March 31, 2011, approximately 16.66%, 10.17%, 8.04%,
6.86% and 5.41% of the receivables related to account holders
having billing addresses in California, New York, Florida, Texas
and New Jersey, respectively. Not more than 5% of the
receivables related to account holders have billing addresses in
any other single state.
Composition
by Standardized Credit Score
Trust Portfolio
Trust Portfolio
The following table sets forth the composition of the
Trust Portfolio as of March 31, 2011 by
FICO®*
score ranges. To the extent available, FICO scores are obtained
at origination and monthly thereafter. A FICO score is a
measurement determined by Fair Isaac Corporation using
information collected by the major credit bureaus to assess
consumer credit risk. FICO risk scores rank-order consumers
according to the likelihood that their credit obligations will
be paid in accordance with the terms of their accounts. Although
Fair Isaac Corporation discloses only limited information about
the variables it uses to assess credit risk, those variables
likely include, but are not limited to, debt level, credit
history, payment patterns (including delinquency experience),
and level of utilization of available credit. FICO scores of an
individual may change over time, depending on the conduct of the
individual, including the individual’s usage of his or her
available credit, and changes in credit score technology used by
Fair Isaac Corporation.
* FICO®
is a federally registered servicemark of Fair, Isaac &
Company.
6
Table of Contents
FICO scores are based on independent, third-party information,
the accuracy of which we cannot verify. The account owners do
not use standardized credit scores, such as a FICO score, alone
to determine the amount of charges that should be approved on a
credit card account. Rather, a FICO score is only one of many
factors used by Centurion and FSB, as account owners, to assess
an individual’s credit and default risk. In connection with
their underwriting and authorization decisions, the account
owners use proprietary scoring models, which they generally have
found to be more accurate predictors of credit and default risk
than any single standardized credit score such as FICO. The use
of proprietary models also enables an account owner to extend
credit to an account holder with a lower FICO score without
changing the account owner’s risk tolerance than would be
the case if the account owner relied solely on FICO. The FICO
scores presented below should not be used alone as a method of
forecasting whether account holders will make payments in
accordance with the terms of their accounts. References to
“Receivables Outstanding” in the following table
include both finance charge receivables and principal
receivables. Because the future composition of the
Trust Portfolio may change over time, this table is not
necessarily indicative of the composition of the
Trust Portfolio at any specific time in the future.
Composition
by Standardized Credit Score(1)(2)
Trust Portfolio
Trust Portfolio
|
Percentage of Total |
||||||||
|
Receivables |
Receivables |
|||||||
|
FICO Score Range
|
Outstanding | Outstanding | ||||||
|
Less than 560
|
$ | 598,541,589 | 1.87 | % | ||||
|
560 - 659
|
3,431,437,577 | 10.71 | ||||||
|
660 - 699
|
4,429,931,755 | 13.83 | ||||||
|
700 - 759
|
11,256,676,449 | 35.14 | ||||||
|
760 and above
|
12,253,213,042 | 38.25 | ||||||
|
Refreshed FICO Unavailable
|
62,797,785 | 0.20 | ||||||
|
Total
|
$ | 32,032,598,196 | 100.00 | % | ||||
| (1) | Standardized Credit Score defined as the FICO score in the most recent Monthly Period. | |
| (2) | In May and June of 2010, American Express began using FICO scores based on a new version of the model developed by Fair Isaac Corporation to assess credit scores for the accounts included in the trust portfolio. Although the new version does result in different FICO scores for certain of the accounts in the trust portfolio when compared to the FICO scores from the prior version, the change in the average FICO score for the accounts has been insignificant. |
7
Table of Contents
Static
Pool Information
The following tables present charge-off, delinquency, payment
rate and revenue experience of the Total Portfolio. The Total
Portfolio is comprised of American Express credit cards and
Sign & Travel/Extended Payment Option consumer
revolving credit accounts or features owned by Centurion and
FSB. Data is presented in separate increments based on the year
of origination of the accounts, each an “Origination
Segment.” Data is presented for accounts that were
originated in 2001 or thereafter. Data for origination years
prior to 2001 is not presented, since such data is not available
and could not be obtained without unreasonable effort or
expense. As of March 31, 2011, the accounts reflected in
the following tables had receivables outstanding that were
approximately 72.87% of the total receivables outstanding in the
Total Portfolio at such date.
To the extent any information contained in this report is deemed to form a part of any
prospectus supplement, the related prospectus or the related registration statement, all static
pool information regarding the performance of receivables for periods prior to January 1, 2006 will
not form a part of such prospectus supplement, prospectus or registration statement.
As used in the tables, the date of origination is generally
either the date the account became effective or was first used.
The account aging shows activity through the indicated age of
the account (e.g.,
0-12 months,
13-24 months),
which is referred to in this report as the
“performance period.” In the following tables,
highlighted data is based on a full 12 months of activity
for all accounts in the applicable Origination Segment and,
therefore, will not change in future disclosures. The data that
is not highlighted will change in future disclosures and, in
some cases, will reflect activity in an account for less than 12
full months, depending on when the account is originated and
when the data for that disclosure is generated.
For years prior to January 1, 2006, activity in a
particular account for a particular month reflects activity that
occurred within such account’s monthly billing cycle,
resulting in different end dates during a month for which
activity is presented, since there are generally multiple
monthly billing cycles within a month. For periods after
January 1, 2006, activity in all accounts reflects activity
in the relevant Monthly Period. As a result of this change, for
accounts whose monthly billing cycle end date was prior to
December 25, 2005, data will not be presented for those
days subsequent to such account’s monthly billing cycle end
date and prior to December 25, 2005 which is the first date
in the January 2006 Monthly Period.
Because the Trust Portfolio is only a portion of the Total
Portfolio, the actual performance of the receivables in the
Trust Portfolio may be different from the performance
reflected in the tables below. There can be no assurance that
the performance of receivables in the future will be similar to
the historical experience set forth below.
8
Table of Contents
Gross
Charge-Off Rate of the Total Portfolio
As of
Date: March 31, 2011
|
0-12 |
13-24 |
25-36 |
37-48 |
49-60 |
>=61 |
|||||||||||||||||||
|
Origination Year
|
Months | Months | Months | Months | Months | Months | ||||||||||||||||||
|
2011 Origination
|
0.01% | |||||||||||||||||||||||
|
2010 Origination
|
0.40% | 1.27% | ||||||||||||||||||||||
|
2009 Origination
|
0.56% | 1.40% | 2.04% | |||||||||||||||||||||
|
2008 Origination
|
1.69% | 6.79% | 5.68% | 5.21% | ||||||||||||||||||||
|
2007 Origination
|
1.81% | 10.20% | 11.08% | 7.67% | 6.31% | |||||||||||||||||||
|
2006 Origination
|
1.98% | 7.28% | 12.22% | 11.57% | 7.60% | 6.19% | ||||||||||||||||||
|
2005 Origination
|
2.03% | 6.04% | 8.10% | 12.46% | 11.20% | 7.40% | ||||||||||||||||||
|
2004 Origination
|
1.24% | 4.66% | 5.45% | 6.28% | 9.88% | 8.61% | ||||||||||||||||||
|
2003 Origination
|
1.54% | 4.02% | 4.42% | 4.48% | 5.84% | 8.81% | ||||||||||||||||||
|
2002 Origination
|
2.11% | 4.81% | 4.85% | 4.11% | 4.01% | 7.15% | ||||||||||||||||||
|
2001 Origination
|
2.39% | 5.59% | 6.11% | 5.49% | 4.83% | 6.41% | ||||||||||||||||||
Total gross charge-offs for any Origination Segment include
charge-offs of principal, finance charges and certain fees, but
do not include the amount of any reductions in principal
receivables due to a rebate, refund, error, fraudulent charge or
other miscellaneous adjustment. The gross charge-off rate,
which is an annualized percentage, results from dividing total
gross charge-offs by the average month-end receivables for each
month in the applicable performance period, which is referred to
in this report as the “average receivables
outstanding.”
Historical data for total gross charge-offs as reported with
respect to the Trust Portfolio (i) unlike the
calculation of total gross charge-offs above, does not include
charge-offs of finance charges or fee receivables and
(ii) is calculated using the average principal receivables
outstanding instead of the average receivables outstanding. As a
result, there are limitations to any comparison of the
historical data presented in this report and the
static pool data presented in the table above.
9
Table of Contents
Net
Charge-Off Rate of the Total Portfolio
As of
Date: March 31, 2011
|
0-12 |
13-24 |
25-36 |
37-48 |
49-60 |
>=61 |
|||||||||||||||||||
|
Origination Year
|
Months | Months | Months | Months | Months | Months | ||||||||||||||||||
|
2011 Origination
|
0.01% | |||||||||||||||||||||||
|
2010 Origination
|
0.39% | 1.23% | ||||||||||||||||||||||
|
2009 Origination
|
0.55% | 1.32% | 1.87% | |||||||||||||||||||||
|
2008 Origination
|
1.67% | 6.57% | 5.24% | 4.55% | ||||||||||||||||||||
|
2007 Origination
|
1.79% | 9.96% | 10.43% | 6.75% | 5.16% | |||||||||||||||||||
|
2006 Origination
|
1.94% | 7.03% | 11.67% | 10.68% | 6.49% | 4.90% | ||||||||||||||||||
|
2005 Origination
|
1.99% | 5.75% | 7.56% | 11.73% | 10.15% | 6.14% | ||||||||||||||||||
|
2004 Origination
|
1.21% | 4.46% | 5.04% | 5.74% | 9.23% | 7.59% | ||||||||||||||||||
|
2003 Origination
|
1.50% | 3.83% | 4.03% | 3.90% | 5.23% | 7.92% | ||||||||||||||||||
|
2002 Origination
|
2.07% | 4.59% | 4.40% | 3.55% | 3.37% | 6.39% | ||||||||||||||||||
|
2001 Origination
|
2.36% | 5.38% | 5.68% | 4.86% | 4.10% | 5.56% | ||||||||||||||||||
Total net charge-offs for any Origination Segment are an amount
equal to total gross charge-offs minus total recoveries. The net
charge-off rate, which is an annualized percentage, results from
dividing total net charge-offs by the average receivables
outstanding.
Historical data for total net charge-offs as reported with
respect to the Trust Portfolio in this report is
calculated using the average principal receivables outstanding
instead of the average receivables outstanding. As a result,
there are limitations to any comparison of the historical data
presented in this report and the static pool data
presented in the tables above.
10
Table of Contents
30 Days+
Delinquency Rate of the Total Portfolio
As of
Date: March 31, 2011
|
0-12 |
13-24 |
25-36 |
37-48 |
49-60 |
>=61 |
|||||||||||||||||||
|
Origination Year
|
Months | Months | Months | Months | Months | Months | ||||||||||||||||||
|
2011 Origination
|
0.02% | |||||||||||||||||||||||
|
2010 Origination
|
0.29% | 0.47% | ||||||||||||||||||||||
|
2009 Origination
|
0.37% | 0.56% | 0.77% | |||||||||||||||||||||
|
2008 Origination
|
1.13% | 2.69% | 2.07% | 1.91% | ||||||||||||||||||||
|
2007 Origination
|
1.34% | 4.40% | 4.19% | 2.83% | 2.23% | |||||||||||||||||||
|
2006 Origination
|
1.44% | 3.64% | 5.38% | 4.60% | 2.96% | 2.24% | ||||||||||||||||||
|
2005 Origination
|
1.45% | 3.03% | 4.05% | 5.54% | 4.46% | 2.88% | ||||||||||||||||||
|
2004 Origination
|
0.92% | 2.08% | 2.59% | 3.20% | 4.52% | 3.46% | ||||||||||||||||||
|
2003 Origination
|
1.10% | 2.09% | 2.35% | 2.47% | 3.03% | 3.76% | ||||||||||||||||||
|
2002 Origination
|
1.52% | 2.48% | 2.52% | 2.29% | 2.30% | 3.25% | ||||||||||||||||||
|
2001 Origination
|
1.62% | 2.75% | 2.96% | 2.76% | 2.52% | 3.00% | ||||||||||||||||||
The 30 Days+ Delinquency Rate (i.e., accounts 31 days
or more delinquent) is the result of dividing the average of the
month-end delinquent amounts for each month in the applicable
performance period by the average receivables outstanding.
For periods prior to January 1, 2006, the delinquency
status of an account (i.e., whether it is delinquent and if so
the age of the receivables in the account) and the amounts
delinquent, if any, related to such account are based on the
status of such account and payments made as of the end of such
account’s monthly billing cycle occurring in the relevant
Monthly Period. For periods after January 1, 2006, the
delinquency status of an account and the amounts delinquent, if
any, related to such account will reflect the status of such
account and activity in the account at the end of the relevant
Monthly Period.
11
Table of Contents
Account Holder
Monthly Payment Rate of the Total Portfolio
As of
Date: March 31, 2011
|
0-12 |
13-24 |
25-36 |
37-48 |
49-60 |
>=61 |
|||||||||||||||||||
|
Origination Year
|
Months | Months | Months | Months | Months | Months | ||||||||||||||||||
|
2011 Origination
|
104.34% | |||||||||||||||||||||||
|
2010 Origination
|
68.84% | 66.01% | ||||||||||||||||||||||
|
2009 Origination
|
73.42% | 67.08% | 60.23% | |||||||||||||||||||||
|
2008 Origination
|
36.15% | 38.13% | 39.84% | 38.82% | ||||||||||||||||||||
|
2007 Origination
|
24.06% | 25.69% | 27.42% | 30.52% | 32.20% | |||||||||||||||||||
|
2006 Origination
|
26.29% | 26.40% | 24.93% | 26.95% | 30.76% | 34.65% | ||||||||||||||||||
|
2005 Origination
|
27.78% | 27.35% | 25.38% | 24.18% | 26.40% | 30.09% | ||||||||||||||||||
|
2004 Origination
|
27.58% | 29.89% | 28.46% | 27.40% | 26.02% | 29.63% | ||||||||||||||||||
|
2003 Origination
|
33.56% | 32.96% | 29.75% | 28.42% | 27.34% | 28.20% | ||||||||||||||||||
|
2002 Origination
|
36.96% | 31.81% | 30.86% | 30.59% | 30.30% | 29.62% | ||||||||||||||||||
|
2001 Origination
|
31.61% | 30.06% | 29.37% | 30.90% | 30.29% | 28.62% | ||||||||||||||||||
The monthly payment rate results from dividing total collections
received (excluding recoveries on charged-off receivables)
during each month by that month’s opening total receivables
balance.
Historical data for the monthly principal payment rate as
reported with respect to the Trust Portfolio
(i) unlike the calculation of monthly payment rate above
includes collections of principal receivables only and
(ii) is calculated using that month’s opening
principal receivables balance. As a result, there are
limitations to any comparison of the historical data presented
in this report and the static pool data presented
in the table above.
12
Table of Contents
Revenue
Experience of the Total Portfolio
As of
Date: March 31, 2011
|
0-12 |
13-24 |
25-36 |
37-48 |
49-60 |
>=61 |
|||||||||||||||||||
|
Origination Year
|
Months | Months | Months | Months | Months | Months | ||||||||||||||||||
|
2011 Origination
|
14.60% | |||||||||||||||||||||||
|
2010 Origination
|
18.85% | 33.84% | ||||||||||||||||||||||
|
2009 Origination
|
22.69% | 25.84% | 26.46% | |||||||||||||||||||||
|
2008 Origination
|
16.78% | 20.79% | 19.97% | 21.80% | ||||||||||||||||||||
|
2007 Origination
|
14.15% | 19.57% | 19.28% | 18.69% | 19.84% | |||||||||||||||||||
|
2006 Origination
|
14.97% | 21.43% | 20.37% | 19.34% | 18.74% | 19.65% | ||||||||||||||||||
|
2005 Origination
|
15.70% | 22.21% | 22.14% | 20.12% | 19.17% | 18.67% | ||||||||||||||||||
|
2004 Origination
|
13.39% | 20.30% | 21.91% | 21.43% | 19.85% | 18.72% | ||||||||||||||||||
|
2003 Origination
|
15.62% | 19.89% | 21.39% | 21.96% | 21.34% | 19.14% | ||||||||||||||||||
|
2002 Origination
|
18.80% | 19.55% | 20.23% | 21.96% | 22.91% | 20.29% | ||||||||||||||||||
|
2001 Origination
|
18.86% | 19.96% | 18.72% | 19.83% | 21.68% | 20.65% | ||||||||||||||||||
The percentages set forth above, which are annualized
percentages, result from dividing total finance charges and fees
billed by the average receivables outstanding. Total finance
charges and fees billed include periodic finance charges, cash
advance fees, annual membership fees, other fees and Issuer Rate
Fees.
Historical data for revenue experience as reported with respect to the Trust Portfolio (i) unlike
the calculation of total finance charges and fees billed above which is based on
the related amounts posted to accounts, is calculated based on the related amounts collected on the accounts including
recoveries, (ii) is calculated using discount option yield for periods from and
including the June 2009 Monthly Period, (iii) is calculated
using Issuer Rate Fees and (iv) is calculated using the average
principal receivables outstanding instead of the average receivables outstanding. As a result, there are limitations to any
comparison of the historical data presented in this report and the static pool data presented in the table above.
13
Table of Contents
Glossary of Terms
“Centurion” means American Express Centurion Bank, a Utah bank.
“FSB” means American Express Bank, FSB, a federal savings bank.
“Issuer Rate Fees” means certain fees collected by the American Express network, in connection
with account holder charges for merchandise and services, that are received by Centurion and FSB,
in their capacities as issuers of American Express cards.
“Monthly Period” means the period beginning at the opening of business on the day following
the last day of the twenty-first billing cycle of the second preceding calendar month and ending at
the close of business on the last day of the twenty-first billing cycle of the immediately
following month. The last day of each twenty-first monthly billing cycle generally occurs between
the twenty-third (23rd) day and the twenty-seventh (27th) day of each month. Therefore, the number
of days in a monthly period generally may vary from a calendar month by up to four days.
“Origination
Segment” has the meaning described in “Static
Pool Information” in this report.
“Total Portfolio” is the revolving credit account portfolio of consumer American Express
credit card accounts and Sign & Travel accounts owned by Centurion and FSB and in the future may
include other charge or credit accounts or products owned by Centurion, FSB or other account
owners, including revolving credit features of the charge card accounts.
“Trust Portfolio” means certain accounts selected from the Total Portfolio and designated for
the trust based on the eligibility criteria specified in the purchase agreements and the pooling
and servicing agreement.
14
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the
registrants have duly caused this report to be signed on their behalf by the undersigned hereunto
duly authorized.
| American Express Receivables Financing Corporation II, as originator of the Trust and Co-Registrant and as Transferor on behalf of the Trust as Co-Registrant |
||||||
| By: | /s/ Anderson Y. Lee | |||||
| Name: Title: |
Anderson Y. Lee President |
|||||
| American Express Receivables Financing Corporation III LLC, as originator of the Trust and Co-Registrant and as Transferor on behalf of the Trust as Co-Registrant |
||||||
| By: | /s/ Kevin L. Thompson | |||||
| Name: | Kevin L. Thompson | |||||
| Title: | President | |||||
| American Express Receivables Financing Corporation IV LLC, as originator of the Trust and Co-Registrant and as Transferor on behalf of the Trust as Co-Registrant |
||||||
| By: | /s/ Denise D. Roberts | |||||
| Name: | Denise D. Roberts | |||||
| Title: | President | |||||