Template:Nutshell GMRA Buy/Sellback Annex

BSA 1 Scope
(a) The parties may enter Buy/Sell Back Transactions under this Agreement.
(b) Where they do, Agreement will be amended by paragraphs 3 to 5 of this Annex.
BSA 2 Interpretation
(a) Definitions: In this Annex:

(i) “Accrued Interest” means for any Purchased Securities under a Buy/Sell Back Transaction, unpaid Income accruing from the last Income Payment Date for the Purchased Securities to the calculation date. Unpaid Income will accrue daily during each interest period;

(ii) “Sell Back Differential” means the aggregate amount obtained by daily applying Pricing Rate on a Buy/Sell Back Transaction using the appropriate ISMA day count convention, to the sum of (a) the Purchase Price and (b) Accrued Interest paid on the Purchase Date for such Transaction for the actual number of days between the Purchase Date and the calculation date;

(iii) “Sell Back Price” means, for any Buy/Sell Back Transaction:

(x) for the originally agreed Repurchase Date under paragraph 3(b)(iii), the agreed price agreed for that Buy/Sell Back Transaction, and

(y) in any other case the product of the formula (P + Al +D) - (IR + C), where:

P = Purchase Price.

Al = Accrued Interest at the Purchase Date, paid under paragraph BSA 3(f).

D = Sell Back Differential.

IR = Any income payable under the Purchased Securities on any date between the Purchase Date and the Repurchase Date.

C = the aggregate amount obtained by applying the Pricing Rate to the Income daily from the payment date to the of calculation date

(b) Construction: References to Repurchase Price in the Agreement will include any relevant Sell Back Price.
(c) Events of Default: In Paragraph 10(c)(i) (Events of Default), “Repurchase Prices” includes Sell Back Prices”.
(d) Hierarchy: Where this Annex conflicts with any other term of the Agreement, the Annex will prevail.
BSA 3 Initiation; Confirmation; Termination
(a) Designation: The parties will identify whether a Transaction is a Repurchase Transaction or a Buy/Sell Back Transaction at the time of trading it, and will specify that in the Confirmation.
(b) Form of Confirmation: The Confirmation for a Buy/Sell Back Transaction may be a single document covering both transactions of the Buy/Sell Back Transaction, or separate Confirmations for each transaction. The Confirmations may be in the form of Annex II (except item 10, because the Transaction will not be terminable on demand).
(c) Sell Back Price: In a Buy/Sell Back Transaction the parties must also agree and record in a Confirmation the Sell Back Price and the Pricing Rate that will apply on the Repurchase Date.
(d) No termination on demand: Buy/Sell Back Transactions may not be terminated on demand.
(e) Exclusion of Accrued Interest: The Purchase Price and the Sell Back Price in a Buy/Sell Back Transaction will both be quoted exclusive of Accrued Interest.
(f) Initial settlement: Under paragraph 3(c) of the Agreement, for a Buy/Sell Back Transaction, the Seller will transfer Purchased Securities to Buyer against the payment of the Purchase Price plus Accrued Interest.
(g) Termination settlement: Paragraph 3(f) of the Agreement will not apply. Instead, a Buy/Sell Back Transaction will terminate on the Repurchase Date by transfer to Seller of Equivalent Securities against the payment by Seller of:

(i) where the Repurchase Date is the originally scheduled date, the Sell Back Price described in paragraph 2(iii)(x) of this Annex plus Accrued Interest to the Repurchase Date; and

(ii) in any other case, the Sell Back Price referred to in paragraph 2(iii)(y) of this Annex.

BSA 4. Margin maintenance: “repricing”
If the parties reprice a Buy/Sell Back Transaction under paragraph 4(i) they will agree a Purchase Price, Sell Back Price and Pricing Rate for the Repriced Transaction.
BSA 5. No Income Payments
Paragraph 5 (Income Payments) does not apply.