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Rating Action:

Moody's assigns definitive ratings to ABS (Series 2010-1) issued by Gracechurch Card Programme Funding PLC

23 Nov 2010

USD 500 million of securities rated

London, 23 November 2010 -- .Moody's Investors Service has assigned the following definitive ratings to asset-backed notes (Series 2010-1) issued by Gracechurch Card Programme Funding PLC (the "Issuer"):

-Aaa (sf) to the USD 500m Series 2010-1 Class A Floating Rate Asset-Backed Notes due 2014.

Series 2010-1 is the third issuance of Gracechurch Card Programme Funding PLC under its medium-term note programme and the 15th transaction to be ultimately backed by credit card receivables from Barclays Bank PLC's Gracechurch Receivables Trust. The assets backing the Notes are receivables arising under designated MasterCard and Visa revolving credit card accounts originated or acquired in the UK by Barclaycard, a business unit of Barclays Bank PLC.

RATINGS RATIONALE

The ratings of the Class A Notes are based upon (i) the credit quality of the portfolio; (ii) the credit enhancement level of 15.0% provided by the Series 2010-1 Class D notes (unrated) as protection against losses; (iii) the excess spread available to the transaction; (iv) the expertise of Barclaycard as one of the leading originators and servicers of credit card receivables in the UK; (v) the structural and legal integrity of the transaction; and (vi) the strong credit quality of Barclays Bank PLC (Aa3/Prime-1) in its role as servicer and trust cash manager.

Moody's notes that there is no specific mechanism in the structure providing liquidity to pay interest on the Class A Notes throughout the life of the transaction in the event of any collections shortfall. All other parameters remaining constant, a downgrade of Barclays Bank PLC's long-term rating could negatively impact the initial rating on the Class A Notes. The highest ratings on the other outstanding notes issued and ultimately backed by the Gracechurch cards trust would be similarly impacted.

The transaction uses the existing receivables trust structure which was set up in November 1999. Barclaycard has assigned all receivables that had arisen or would arise in the accounts originated under certain designated product lines to the receivables trustee. The transaction involves a two step debt issuance: the proceeds of the rated Notes sold to investors finance the Issuer's purchase of limited recourse medium term note certificates, with the MTN issuer in turn using the cash to acquire an undivided beneficial interest in the receivables trust.

Interest will be paid monthly to the Notes in order of seniority from collections received by the Receivables Trustee. The structure envisions that, subject to specific criteria and triggers, up until close of business on 31 October 2011, asset principal collections received by the Receivables Trustee will be used to fund the transfer of further receivables which arise under the designated accounts. After this date, principal collections may be accumulated for a period of up to 12 months for noteholders in order to redeem the Notes at the scheduled maturity date. If the Notes are not fully repaid on the scheduled maturity date, a rapid amortisation trigger will be breached. The Notes have a final redemption date in 2014.

Barclaycard currently services the receivables in the receivables trust. Moody's has recently reviewed the servicing operations of Barclaycard and is comfortable that Barclaycard is well placed to fulfil its obligations in relation to servicing of the receivables. The minimum transferor interest floor is set at 5% to insure against dilution, fraud or attrition.

Moody's has been monitoring the performances of the Gracechurch cards trust since its inception. For an overview of the performance of Gracechurch and the other UK credit card trusts, see Moody's quarterly report UK Credit Card Indices.

Barclays offers repayment plan to certain customers experiencing financial difficulties, which, in Moody's opinion, may result in an artificial lowering of delinquency and charge-off rates and a distortion of the performance-related ratios. On 2nd November 2010, Barclaycard repurchased over GBD639million worth of receivables relating to accounts in debt management from the Receivables Trustee, thereby clearing the trust of any repayment plan accounts. Moody's will continue to monitor the size of repayment plans as a percentage of the total trust balance going forward. Moody's had previously taken the issue of debt repayment plans into consideration in its analysis by considering a charge-off rate of up to 2.0% above the reported charge-off rate as reflecting the true performance of the trust. Moody's will consider the impact of Barclay's recent repurchase on the charge-off rate assumption and may make appropriate adjustments if necessary, mainly to consider if the level of debt repayment plans is under control going forward. The annualised reported charge-off rate in March 2010 amounted to 6.22%.

Moody's expects performance in the range of 8.0% to 10.0% for charge-offs (see above), 16.0% to 18.0% for yield and 15.5% to 17.5% for the payment rate. Moody's performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. From time to time, Moody's may, if warranted, change these expectations. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had anticipated when the related securities were rated. Even so, a deviation from the expected range will not necessarily result in a rating action nor does performance within expectations preclude such actions. The decision to take (or not take) a rating action is dependent on an assessment of a range of factors including, but not exclusively, the performance metrics.

On 15 June 2009, Moody's Investors Service announced that it was reviewing the credit impact of an originator's insolvency on UK credit card master trust transactions, including the Gracechurch Receivables Trust. The review has focused on, amongst other things, the impact of provisions in transaction documents that apply following an originator insolvency event with the effect of (i) obliging the receivables trustee to dispose of the securitised assets and dissolve the master trust unless it is instructed not to do so by the relevant investor beneficiary within 60 days and/or (ii) preventing the continued assignment of receivables to the receivables trustee. Moody's has received confirmation from Barclays Bank PLC that amendments to the transactions have now been executed which, in Moody's opinion, adequately mitigate the risks associated with the provisions mentioned above. Specifically, Barclays Bank PLC has assigned to the relevant receivables trustee all receivables which arise following the originator's insolvency. Furthermore, the period during which an investor beneficiary can take action to prevent a disposal of trust assets has been extended to allow time for noteholders to vote on whether disposal should be prevented. The process for arranging the relevant noteholder meetings for this purpose has also been clarified.

Primary sources of assumption uncertainty are the current macroeconomic environment: further increase in the unemployment rate in the UK as a result of a deterioration of the country economy beyond stresses already applied may have a significant impact on the assigned ratings. Overall, Moody's central global scenario remains "Hook-shaped" for 2010 and 2011; we expect overall sluggish recovery in most of the world largest economies, returning to trend growth rate with elevated fiscal deficits and persistent unemployment levels.

In addition, there is a relatively high degree of linkage of the rating of the Notes to the rating of Barclays Bank PLC, also acting as sponsor, seller, servicer, cash manager, swap counterparty, account bank and expenses loan provider.

The principal methodology used in rating the Notes was Moody's Approach to Rating Credit Card Receivables-Backed Securities rating methodology, published in April 2007. Other methodologies and factors that may have been considered in the process of rating the Notes can also be found on Moody's website.

Moody's Investors Service received and took into account one or more third party due diligence reports on the underlying assets or financial instruments in this transaction and the due diligence reports had a neutral impact on the rating.

Moody's credit card model mainly focuses on the following performance parameters: (1) level of charge offs; (2) interest rates on the Notes issued; (3) servicing fees; (4) size of the minimum transferor interest; (5) the portfolio yield which is required for a credit card issuer to break even; (6) the principal payment rate; and (7) the purchase rate on the portfolio. Charge offs, portfolio yield and principal payment rate are severely stressed in various trust amortisation scenarios to determine the expected loss and hence the required credit enhancement at the different rating levels.

In its stress cases, Moody's analyzes the effect of a sharp increase in charge-offs on the pool. Charge-offs are stressed immediately from the estimated steady state level to twice their expected level, and assumed to continue to rise over time. Ultimately they are assumed to rise to a level up to four times their expected rates. Similarly, the payment rate and yield are immediately stressed from an expected steady state assumption to a floor rate which equals approximately 1/3 and 2/3 of the expected steady state assumption respectively. These stressed floor rates are maintained for the duration of the assumed early amortization period.

The ratings address the expected loss posed to investors by the legal final maturity date of the Notes. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal at par on or before their rated legal final maturity date. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's assigned provisional ratings on 15 November 2010.

REGULATORY DISCLOSURES

The rating has been disclosed to the rated entity or its designated agents and issued with no amendment resulting from that disclosure.

Information sources used to prepare the credit rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, confidential and proprietary Moody's Investors Service information.

Moody's Investors Service considers the quality of information available on the issuer or obligation satisfactory for the purposes of assigning a credit rating.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the three years preceding the Credit Rating Action. Please see the ratings disclosure page www.moodys.com/disclosures on our website for further information.

Additional research, including the pre-sale report for this transaction and reports for prior transactions, are available at www.moodys.com. In addition Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

London
Ning Loh
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Milan
Alex Cataldo
Senior Vice President
Structured Finance Group
Moody's Italia S.r.l
Telephone:+39-02-9148-1100

Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom

Moody's assigns definitive ratings to ABS (Series 2010-1) issued by Gracechurch Card Programme Funding PLC
No Related Data.
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