Exhibit 10.2.1
Draft: 4 September 2003
Class A2 Confirmation
Confirmation to the
1992 ISDA Master(R) Agreement
relating to the Class A2 Swap Agreement
Dated [ ] September 2003
GRACECHURCH CARD FUNDING (NO. 5) PLC
Re: Transaction between Barclays Bank PLC ("Party A") and Gracechurch Card
Funding (No. 5) PLC ("Party B")
Dear Sirs:
The purpose of this letter agreement is to confirm the terms and conditions of
the Swap Transaction entered into between you and us on the Trade Date specified
below (the "Swap Transaction"). References herein to a Transaction shall be
deemed to be references to a Swap Transaction for the purposes of the
Definitions.
The definitions and provisions contained in the 2000 ISDA Definitions (as
published by the International Swaps and Derivatives Association, Inc.) are
incorporated into this Confirmation. In the event of any inconsistency between
those Definitions and this Confirmation, this Confirmation will govern.
1. This Confirmation incorporates the ISDA Master Agreement, including the
schedule thereto (the "ISDA Master") dated as of [ ] September 2003,
between you and us and this Confirmation, together with the ISDA Master,
constitutes a single agreement (the "Agreement"). All provisions
contained in the ISDA Master apply to this Confirmation except as
expressly modified below.
2. The terms of the particular Transaction to which this Confirmation
relates are as follows:
Party A: Barclays Bank PLC
Party B: Gracechurch Card Funding (No. 5) PLC
Trade Date: [ ] September 2003
Effective Date: [ ] September 2003; provided,
however, that effectiveness is
subject to the issuance of the Notes
and the receipt by the Series 03-3
Issuer on or prior to [ ] September
2003 of unconditional confirmation
that upon issue the Class A2 Notes
will be rated Aaa by Moody's and AAA
by Standard & Poor's.
Termination Date: 15 August 2006, subject to adjustment
in accordance with the Following
Business Day
Convention, and subject to adjustment
in accordance with Section 3.4 below
Business Days for USD: A day other than a Saturday, a Sunday
or a day on which banking
institutions in London, England or
New York, New York are authorised or
obliged by law to be closed
Business Days for GBP: Any day other than a Saturday, a
Sunday or a day on which banking
institutions in London, England or
New York, New York are authorised or
obliged by law to be closed
Calculation Agent Party A
Initial Exchange Amounts and Final Exchange Amounts
Party A Initial Exchange Amount: GBP [ ]
Party A Initial Exchange Date: Effective Date
Party A Final Exchange Amount: Party A Currency Amount on the
Termination Date
Party A Final Exchange Date: Termination Date
Party B Initial Exchange Amount: USD [ ] plus Party B Swap Fee
Party B Swap Fee: [ ]
Party B Initial Exchange Date: Effective Date
Party B Final Exchange Amount: Party B Currency Amount on the
Termination Date
Party B Final Exchange Date: Termination Date
Party A Fixed Rate Amounts
Party A Fixed Rate Payer: Party A
Party A Currency Amount: USD [ ] (subject to adjustment during
the Redemption Period as set out
herein)
Party A Fixed Rate Payer
Period End Dates: The 15th day of each calendar month
from and including 15th November 2003
to and including the Termination
Date, in each case subject to
adjustment in accordance with the
Following Business Day Convention
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Party A Fixed Rate Payer
Payment Dates: Each Party A Fixed Rate Payer Period
End Date. Party A will provide a
clearing system notice as to the
amount to be paid on each Party A
Fixed Rate Payer Payment Date 2
Business Days prior to each such
Party A Fixed Rate Payer Payment Date
Party A Fixed Rate Option: [ ] per cent.
Calculation Periods for Party A
Floating Rate Amounts: Each period from, and including, the
Party A Fixed Rate Payer Period End
Date to, but excluding, the next
following Party A Fixed Rate Payer
Period End Date
Designated Maturity: 1 month, provided that in respect of
the first Calculation Period, it
shall be for the period from (and
including) [ ] September 2003 to (but
excluding) 15th November 2003
Spread: [ ]%
Party A Fixed Rate
Day Count Fraction: 30/360 as calculated in accordance
with Condition 5 of the Conditions
for the Notes
Party B Floating Rate Amounts
Party B Floating Rate Payer: Party B
Party B Currency Amount: GBP [ ] (subject to adjustment during
the Redemption Period as set out
below)
Party B Floating Rate Payer
Period End Dates: The 15th day of each November,
February, May and August to and
including the
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Termination Date, in each case
subject to adjustment in accordance
with: (a) the Following Business Day
Convention, and (b) the Redemption
Period as set out below (following
which the Party B Floating Rate Payer
Period End Date shall be the Amended
Party B Floating Rate Payer Period
End Date)
Party B Floating Rate Payer
Payment Dates: 15th November 2003 and thereafter the
15th day of each calendar month to
and including the Termination Date,
in each case subject to adjustment in
accordance with the Following
Business Day Convention
Party B Floating Rate Option: GBP-LIBOR-BBA calculated in
accordance with the Series 03-3 Class
A2 Debt Amount, and utilising the
Moneyline Telerate Page specified
therein, provided that in respect of
the first Calculation Period the
Party B Floating Rate Option shall be
a linear interpolation of the
GBP-LIBOR-BBA rates for the first
Calculation Period and calculated in
accordance with the Series 03-3 Class
A2 Debt Amount
Calculation Periods for Party B
Floating Rate Amounts: Each period from, and including, one
Party B Floating Rate Payer Period
End Date to, but excluding, the next
following Party B Floating Rate Payer
Period End Date, provided that the
first such Calculation Period for
Party B Floating Rate Amounts shall
be from, and including, the Effective
Date to, but excluding, 15th November
2003, (b) the last such Calculation
Period for Party B Floating Rate
Amounts shall end on, but exclude,
the Termination Date
Designated Maturity: In respect of (a) the first
Calculation Period, the period from
(and including) the Effective Date to
(but excluding) 15th November 2003;
and (b) Calculation Periods
thereafter, 3 months (subject to
adjustment during the Redemption
Period as set out below)
Spread: [ ]%
Party B Floating Rate
Day Count Fraction: A fraction, the numerator of which is
the actual number of days in such
Calculation Period and the
denominator of which is 365 (or 366
in the case of any Calculation Period
ending in a leap year) as calculated
in accordance with the interest rate
applicable to the Series 03-3 Class
A2 Debt Amount
Reset Dates: First day of each Calculation Period
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3. Details of Variation to Agreement:
3.1 Taxation: Neither Party A nor Party B is under any obligation to gross
up any payments to be made under this Agreement for amounts withheld
with respect to any Tax. In the event that a Tax is imposed such that
Party B's payment hereunder shall be net of the amount of any Taxes so
withheld, accounted for, deducted or suffered, then Party A's payment
obligation shall be reduced in proportion to the amount by which the
payments to be made by Party B are so reduced. In the event that a Tax
is imposed such that Party A's payment hereunder shall be net of the
amount of any Taxes so withheld, accounted for, deducted or suffered,
then (subject to the first sentence of this Section 3.1 and Section 3.2,
3.3 and 3.4 below) the payment obligations of Party B shall remain the
same.
3.2 Interest Deferral:
(A2) The obligation of Party B to pay the Party B Floating Rate Amount on any
Party B Floating Rate Payer Payment Date will be reduced to the extent
that, on such Party B Floating Rate Payer Payment Date, the amount of
MTN Issuer Available Funds (Series 03-3 Class A2), and hence the amount
of Party B Available Funds (Series 03-3 Class A2), is less than the
Party B Floating Rate Amount calculated for such Party B Floating Rate
Payer Payment Date (the amount of any such reduction, the "Deferred
Interest Amount" for that Party B Floating Rate Payer Payment Date).
"MTN Issuer Available Funds (Series 03-3 Class A2)" means, in relation
to any Party B Floating Rate Payer Payment Date, the aggregate amount of
Finance Charge Collections and Acquired Interchange that is distributed
by the Receivables Trustee to Barclaycard Funding plc (the "MTN Issuer")
by the Receivables Trustee (and deposited in the Series 03-3
Distribution Account) on the related Distribution Date in respect of the
Class A2 Monthly Finance Amount (provided that, for the avoidance of
doubt, MTN Issuer Available Funds (Series 03-3 Class A2) excludes any
amounts distributed by the Receivables Trustee to the MTN Issuer in
respect of Excess Finance Charge Amounts). "Party B Available Funds
(Series 03-3 Class A2)" means, in relation to any Party B Floating Rate
Payer Payment Date, the amount that is available to Party B for payment
of the Party B Floating Rate Payer Payment Amount calculated for that
Party B Floating Rate Payer Payment Date in accordance with the priority
of payments set forth in the Trust Deed (provided that, for the
avoidance of doubt, Party B Available Funds (Series 03-3 Class A2) shall
exclude any amounts received by Party B in respect of Further Interest
on the Series 03-3 MTN Certificate).
The obligation of Party A to pay the Party A Fixed Rate Amount on any
Party A Fixed Rate Payer Payment Date will be reduced by an amount equal
to the Party A Fixed Rate Amount otherwise payable on such Party A Fixed
Rate Payer Payment Date (prior to any adjustment thereof in accordance
with this Section 3.2) multiplied by the Reduction Ratio. The "Reduction
Ratio" is a fraction equal to:
Deferred Interest Amount
-------------------------------------
Aggregate Party B Payment Amount
The "Aggregate Party B Payment Amount" is equal to the Party B Floating
Rate Amount, before any adjustment thereof in accordance with the terms
of the provisions
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of this Section 3.2, that would otherwise have been payable on such
Party B Floating Rate Payer Payment Date.
(B) In the event that, on any Party B Floating Rate Payer Payment Date,
there are any MTN Issuer Make-up Funds (Series 03-3 Class A2) and hence
any Party B Make-up Funds (Series 03-3 Class A2) (any such amount for
the relevant Party B Floating Rate Payer Payment Date, an "Additional
Party B Amount"), the obligation of Party B to pay the Party B Floating
Rate Amount on any Party B Floating Rate Payer Payment Date shall be
increased by the Additional Party B Amount.
Accordingly, on such Party B Floating Rate Payer Payment Date, Party B
shall pay the Party B Floating Rate Amount that would otherwise have
been calculated for that Party B Floating Rate Payer Payment Date as
well as any Additional Party B Amount. "MTN Issuer Make-up Funds (Series
03-3 Class A2)" means, in relation to any Party B Floating Rate Payer
Payment Date, the aggregate amount of Finance Charge Collections and
Acquired Interchange that is distributed by the Receivables Trustee to
the MTN Issuer on the related Distribution Date by deposit to the Series
03-3 Distribution Account in respect of either of the following: (a) the
Class A2 Deficiency Amount (if and to the extent that the same is
attributable to the Class A2 Monthly Finance Amount for any earlier
Distribution Date); and (b) the Class A2 Additional Finance Amount (if
and to the extent that the same is attributable to the Class A2
Deficiency Amount for any earlier Distribution Date), provided that, for
the avoidance of doubt, the MTN Issuer Make-up Funds (Series 03-3 Class
A2) shall exclude any amounts distributed by the Receivables Trustee to
the MTN Issuer in respect of Excess Finance Charge Amounts. "Party B
Make-up Funds (Series 03-3 Class A2)" means, in relation to any Party B
Floating Rate Payer Payment Date, the amount that is available to Party
B for payment of the Additional Party B Amount in accordance with the
priority of payments set forth in the Trust Deed, provided that, for the
avoidance of doubt, Party B Make-up Funds (Series 03-3 Class A2) shall
exclude any amounts received by Party B in respect of Further Interest
on the Series 03-3 MTN Certificate.
The obligation of Party A to pay the Party A Fixed Rate Amount on any
Party A Fixed Rate Payer Payment Date will be increased by an amount
(the "Additional Party A Amount") equal to the Party A Fixed Rate Amount
otherwise payable on such Party A Fixed Rate Payer Payment Date (prior
to any adjustment thereof in accordance with this Section 3.2)
multiplied by the Increase Ratio. Accordingly, on such Party A Fixed
Rate Payer Payment Date, Party A shall pay the Party A Fixed Rate Amount
as well as the Additional Party A Amount. The "Increase Ratio" is a
fraction equal to:
Additional Party B Amount
--------------------------------------
Aggregate Party B Payment Amount
3.3 Redemption Protection Period.
In the event that the Regulated Amortisation Period or Rapid
Amortisation Period commences prior to the Series 03-3 Scheduled
Redemption Date, certain deposit arrangements will apply. In such event,
the period from the date of the commencement of the Regulated
Amortisation Period or the Rapid Amortisation Period to and including
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the series 03-3 scheduled redemption date is called the "Redemption
Protection Period".
During the Redemption Protection Period, on any business day on which an
amount (each such amount, a "Class A2 Investor Interest Redemption
Amount") is deposited into the Series 03-3 Issuer Account towards
redemption of the Series 03-3 MTN Certificate and where such amount is
referable to the Class A2 Investor Interest, the amount of such Class A2
Investor Interest Redemption Amount shall be withdrawn by Party B from
the Series 03-3 Issuer Account and deposited into an account (the "Class
A2 Accumulation Account") in the name of Party B (each such deposit is
called an "Interim Class A2 Principal Repayment").
All amounts representing any Interim Class A2 Principal Repayment shall
be: (1) maintained in the Class A2 Accumulation Account; (2) held by
Party B subject to the security created pursuant to the Deed of Charge;
and (3) invested in Swap Permitted Investments (as defined below) as
directed by Party A. All income from the Class A2 Accumulation Account
is called the "Reinvested Collateral Income". The Reinvested Collateral
Income will be released to Party B on each Party B Floating Rate Payer
Payment Date. In addition to utilising Party B Available Funds (Series
03-3 Class A2, Party B shall also utilise Reinvested Collateral Income
and income from Swap Permitted Investments for the Party B Floating Rate
Payer Payment for that Party B Floating Rate Payer Payment Date.
Party B's obligation to pay the applicable Party B Floating Rate Payer
Payment shall be reduced on each Party B Floating Rate Payer Payment
Date by an amount (if any) by which (a) the aggregate amount of the
Interim Class A2 Principal Repayment funds then standing to the credit
of the Class A2 Accumulation Account on that Party B Floating Rate Payer
Payment Date (but not including any Interim Class A Principal Repayment
Funds to be deposited on that Party B Floating Rate Payer Payment Date)
multiplied by the Party A Fixed Rate Option (and calculated using the
applicable Day Count Fraction therefor), exceeds (b) the Reinvested
Collateral Income and income from Swap Permitted Investments released to
Party B on that Party B Floating Rate Payer Payment Date. Party B's
obligation to pay the applicable Party B Floating Rate Payer Payment
shall be increased on each Party B Floating Rate Payer Payment Date by
an amount (if any) by which: (a) the Reinvested Collateral Income and
income from Swap Permitted Investments released to Party B on that Party
B Floating Rate Payer Payment Date, exceeds (b) the aggregate amount of
the Interim Class A2 Principal Repayment funds then standing to the
credit of the Class A2 Accumulation Account on that Party B Floating
Rate Payer Payment Date (but not including any Interim Class A Principal
Repayment Funds to be deposited on that Party B Floating Rate Payer
Payment Date) multiplied by the Party A Fixed Rate Option (and
calculated using the applicable Day Count Fraction therefor).
"Swap Permitted Investments" means any sterling-denominated bond,
debenture, note or other investment or security evidencing debt which
(1)(i) has a residual maturity of 364 days or less (and where such
maturity date is no later than a date which is on or prior to the Series
03-3 Scheduled Redemption Date), (ii) is purchased at a price no greater
than par plus accrued interest, if any, and (iii) (A2) has ratings of
"A-1+" from
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Standard & Poor's, "P-1" from Moody's and, if rated by Fitch Ratings,
F1+ from Fitch Ratings, at the time of investment or (B) has different
ratings if each of the trustee has been provided with a letter from
Standard & Poor's and Moody's to the effect that investment in such
securities will not adversely affect the then current rating of the
class A1 notes or (2) is a floating rate AAA instrument with a residual
maturity of 365 days or greater (and where such maturity date is no
later than a date which is on or prior to the Series 03-3 Scheduled
Redemption Date) which has received the consent of Standard & Poor's and
Moody's, provided that a rating with a "r" suffix or equivalent shall
not constitute a Swap Permitted Investment within the above meaning
unless otherwise agreed by Standard & Poor's.
3.4 Redemption Period.
On the Series 03-3 Scheduled Redemption Date in the event that the
Series 03-3 Class A2 Debt Amount is not redeemed in full on such date
(such event, a "Redemption Trigger") then the following provisions shall
apply.
The "Redemption Period End Date" is the earlier of (a) the Party B
Floating Rate Payer Payment Date falling in September 2008, and (b) the
date upon which the Series 03-3 Class A2 Debt Amount is redeemed in
full.
From the occurrence of the Redemption Trigger, the Termination Date
shall be amended to be the Redemption Period End Date. The period from
and including the date on which the Redemption Trigger occurs and the
Redemption Period End Date is called the "Redemption Period".
During the Redemption Period:
(a) the Party B Floating Rate Payer Period End Date shall be amended
(each such Party B Floating Rate Payer Period End Date
thereafter, an "Amended Party B Floating Rate Payer Period End
Date") to be the 15th day of each calendar month, subject to
adjustment in accordance with the Following Business Day
Convention, provided that if the Redemption Period commences on
a day other than a date which would otherwise have been a Party
B Floating Rate Payer Period End Date (but for adjustment in
accordance with this Section 3.4) then the first Amended Party B
Floating Rate Payer Period End Date shall be the Party B
Floating Rate Payer Period End Date which would have occurred
but for adjustment in accordance with this Section 3.4 and
thereafter each Amended Party B Floating Rate Payer Period End
Date shall be the 15th day of each calendar month, subject to
adjustment in accordance with the Following Business Day
Convention;
(b) the Designated Maturity for Party B shall change to 1 month
commencing on the first Amended Party B Floating Rate Payer
Period End Date.
3.5 Amortisation of Party A Currency Amount and Party B Currency Amount
during Redemption Period
-8-
During the Redemption Period, on each Party B Floating Rate Payer Period
End Date (including the Series 03-3 Scheduled Redemption Date if the
Redemption Trigger falls on the Series 03-3 Scheduled Redemption Date),
the Party B Currency Amount shall be reduced (for the next following
Calculation Period for Party B) by the amount on deposit on that Party B
Floating Rate Payer Period End Date in the Series 03-3 Issuer Account
and referable to the Series 03-3 Class A2 Debt Amount and credited to
the Class A2 Notes Principal Ledger (the amount of such reduction, the
"Party B Amortisation Amount"). On each Party B Floating Rate Payer
Payment Date corresponding to such Party B Floating Rate Payer Period
End Date, Party B shall pay to Party A an amount equal to the Party B
Amortisation Amount.
During the Redemption Period, on each Party A Fixed Rate Payer Period
End Date (including the Series 03-3 Scheduled Redemption Date if the
Redemption Trigger occurs on the Series 03-3 Scheduled Redemption Date),
the Party A Currency Amount shall be reduced (for the next following
Calculation Period for Party A2) by an amount (the "Party A Amortisation
Amount") calculated as specified below. The Party A Amortisation Amount
is equal to A x B/C where:
A = the Party A Currency Amount calculated on the Effective Date
B = the Party B Amortisation Amount applicable on the Party B Floating
Rate Payer Period End Date occurring on such Party A Fixed Rate Payer
Period End Date
C = the Party B Currency Amount calculated on the Effective Date.
On each Party A Fixed Rate Payer Payment Date, Party A shall pay to
Party B an amount equal to the Party A Amortisation Amount, if any.
If the Termination Date occurs at the end of the Redemption Period, to
the extent that, on the Termination Date, there are no funds in respect
of principal deposited in the Series 03-3 Distribution Account for Class
A, and hence no funds (in respect of principal) deposited by the MTN
Issuer in the Series 03-3 Issuer Account and referable to the Series
03-3 Class A2 Debt Amount, on and with effect from on the Termination
Date each of the Party B Currency Amount and the Party A Currency Amount
shall be reduced to zero.
4. Account Details
Account for Barclays Bank PLC
Payments to Party A SWIFT: BARCGB22
in GBP: Sort code: 20-00-00
Beneficiary: Barclays Swaps
Beneficiary Account: 00152021
Account for Barclays Bank PLC NY
Payments to Party A SWIFT: BARCUS33
in USD Beneficiary: Barclays Swaps and Options Group NY
Beneficiary Account: 050-01922-8
Account for Barclays Bank PLC
-9-
Payments to Party B Sort code: 20-19-90
in GBP: Account number: [ ]
Account for Barclays Bank PLC
Payments to Party B Sort code: 20-19-90
in USD: Account number: [ ]
5. Contact for Party A Documentation and Operations:
Barclays Bank PLC
Attention: Derivatives Director, Legal Division (marked
urgent)
Telephone: +44 20 7773 2224
Fax No: +44 20 7773 4932
6. Governing Law: England
Please confirm that the foregoing correctly sets forth the terms of our
agreement by executing the copy of this Confirmation enclosed for that purpose
and returning it to us.
BARCLAYS BANK PLC
By:
Title:
Confirmed as of the date first written:
GRACECHURCH CARD FUNDING (NO. 5) PLC
By:
Per pro SFM Directors (No. 2) Limited, as Director
Title: Authorised Signatory
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