Confirmation to the
1992 ISDA Master(R) Agreement
relating to the Class A Swap Agreement
Dated [_] October 2002
GRACECHURCH CARD FUNDING (NO. 2) PLC
Re: Transaction between Barclays Bank PLC ("PARTY A") and Gracechurch Card
Funding (No. 2) 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 [_] October 2002, 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. 2) PLC
Trade Date: [_] October 2002
Effective Date: [_] October 2002; provided, however, that effectiveness
is subject to the issuance of the Notes and the receipt
by the Series 02-1 Issuer on or prior to [_] October
2002 of unconditional confirmation that upon issue the
Class A Notes will be rated Aaa by Xxxxx'x and AAA by
Standard & Poor's.
Termination Date: [_], subject to adjustment in accordance with the
Following Business Day Convention, and subject to
adjustment in accordance with Section 3.3 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 or executive order
to be closed. [ensure definition conforms with Notes]
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 or
executive order to be closed.[ensure definition conforms
with MTN]
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 [_]
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 FLOATING RATE AMOUNTS
Party A Floating Rate Payer: Party A
Party A Currency Amount: USD [_] (subject to adjustment during the Redemption
Period as set out herein)
Party A Floating Rate Payer
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Period End Dates: The 15th day of each calendar month from and including 15
[_] 2002 to and including 15 [_], in each case subject to
adjustment in accordance with the Following Business Day
Convention
Party A Floating Rate Payer
Payment Dates: Each Party A Floating Rate Payer Period End Date. Party
A will provide a clearing system notice as to the amount
to be paid on each Party A Floating Rate Payer Payment
Date 2 Business Days prior to each such Party A Floating
Rate Payer Payment Date.
Party A Floating Rate Option: USD-LIBOR as calculated in accordance with Condition 4 of
the Conditions of the Notes, [and provided that in
accordance with such Condition in respect of the first
Calculation Period the Party A Floating Rate Option shall
be a linear interpolation of the rates for [_] USD
deposits and [_] USD deposits]
Designated Maturity: 1 month
Spread: [_]%
Party A Floating Rate
Day Count Fraction: Actual/360 as calculated in accordance with Condition 4 of
the Conditions
Reset Dates: First day of each Calculation Period
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 herein)
Party B Floating Rate Payer
Period End Dates: The 15th day of each calendar month from and including 15
[_] 2002 to and including 15 [_], in each case subject to
adjustment in accordance with the Following Business Day
Convention
Party B Floating Rate Payer
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Payment Dates: Each Party B Floating Rate Payer Period End Date
Party B Floating Rate Option: GBP-LIBOR-BBA calculated in accordance with the Series
02-1 Class A Debt Amount [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 [_]-month GBP deposits and
[_]-month GBP deposits]
Designated Maturity: 1 month
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 02-1 Class A
Debt Amount
Reset Dates: First day of each Calculation Period
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:
(A) 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
referable to Finance Charge Collections referable to the Series 02-1 Class
A Debt Amount (other than any funds relating to excess spread attributable
to Series 02-1) having been credited to the Series 02-1 Distribution
Account of Barclaycard Funding plc (the "MTN ISSUER") by the Receivables
Trustee is less than the Class A Monthly Distribution Amount calculated
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for the relevant Calculation Period (as such terms are defined in relation
to the Series 02-1 Investor Interest) (any such amount, the "DEFERRED
INTEREST AMOUNT") occurring during the period from the preceding Party B
Floating Rate Payer Payment Date and ending on or immediately prior to
that Party B Floating Rate Payer Payment Date.
The obligation of Party A to pay the Party A Floating Rate Amount on any
Party A Floating Rate Payer Payment Date will be reduced by an amount
equal to the Party A Floating Rate Amount otherwise payable on such Party
A Floating 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 of this Section 3.2, that would otherwise have been payable
on such Party B Floating Rate Payer Payment Date.
(B) 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 in the event
of (and to the extent of available funds in relation to) additional
amounts referable to Finance Charge Collections in respect of the Series
02-1 Class A Debt Amount (other than any funds relating to excess spread
attributable to Series 02-1) having been credited to the Series 01-2
Distribution Account by the Receivables Trustee to make up any previous
Deferred Interest Amount.
The obligation of Party A to pay the Party A Floating Rate Amount on any
Party A Floating Rate Payer Payment Date will be increased by an amount
(the "ADDITIONAL PARTY A AMOUNT") equal to the Party A Floating Rate
Amount otherwise payable on such Party A Floating 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 Floating
Rate Payer Payment Date, Party A shall pay the Party A Floating Rate
Amount as well as the Additional Party A Amount. The "INCREASE RATIO" is a
fraction equal to:
Increased Interest Amount
--------------------------------
Aggregate Party B Payment Amount
The "INCREASED INTEREST AMOUNT" is equal to the amount of Finance Charge
Collections referable to the Series 02-1 Class A Debt Amount and credited
to the Series 02-1 Distribution Account by the Receivables Trustee on the
Party B Floating Rate Payer Payment Date which corresponds to such Party A
Floating Rating Payer Payment Date and so deposited to make up any
previous Deferred Interest Amount.
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3.3 REDEMPTION PERIOD. On the earlier of (a) the Series 02-1 Scheduled
Redemption Date in the event that the Class A Debt Amount is not redeemed
in full on such date, (b) the first distribution date for the Regulated
Amortisation Period or (c) the first distribution date for the Rapid
Amortisation Period (any such event, a "REDEMPTION TRIGGER") then the
following provisions shall apply. The "REDEMPTION PERIOD END DATE" is the
early of (a) the Party B Floating Rate Payer Payment Date falling in [_]
[note to draft: legal final redemption date] and (b) the date upon which
the Class A 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".
3.4 AMORTISATION OF PARTY A CURRENCY AMOUNT AND PARTY B CURRENCY AMOUNT DURING
REDEMPTION PERIOD
During the Redemption Period, on each Party B Floating Rate Payer Period
End Date (including the Series 02-1 Scheduled Redemption Date if the
Redemption Trigger falls on the Series 02-1 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 02-1 Issuer Account and
referable to the Class A Debt Xxxxxx and credited to the Class A 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 Floating Rate Payer Period
End Date (including the Series 02-1 Scheduled Redemption Date if the
Redemption Trigger occurs on the Series 02-1 Scheduled Redemption Date),
the Party A Currency Amount shall be reduced (for the next following
Calculation Period for Party A) 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
Floating Rate Payer Period End Date
C = the Party B Currency Amount calculated on the Effective Date.
On the Party A Floating Rate Payer Payment Date, Party A shall pay to
Party B an amount equal to the Party A Amortisation Amount.
4. ACCOUNT DETAILS
Account for Barclays Bank PLC, 00 Xxxxxxx Xxxxxx, Xxxxxx
Payments to CHAPS: [20-00-00]
Party A in Beneficiary: [Barclays Swaps]
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GBP: Beneficiary Account: [00000000]
Account for Barclays Bank PLC
Payments to SWIFT: [XXXXXX00]
Party A in USD Beneficiary: [Barclays Bank PLC London]
Beneficiary Account: [_]
Account for Barclays Bank PLC [_]
Payments to Sort code [_]
Party B in GBP: Account number [_]
Account for Barclays Bank PLC [_]
Payments to
Party B in Sort code [_]
USD: Account number [_]
5. CONTACT FOR PARTY A DOCUMENTATION AND OPERATIONS:
Barclays Bank PLC
Attention: [Derivatives Director, Legal Division (marked urgent)]
Telephone: +44 20 [0000 0000]
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: _____________________________
Name:
Title: Authorised Signatory
Confirmed as of the date
first written:
GRACECHURCH CARD FUNDING (NO. 2) PLC
By: ______________________________
Name:
Title: Authorised Signatory
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