global data coverageand content inventory

Rates • Energy • Volatility • Equities • Treasury • Environmental • Credit

About Tullett Prebon Information

Tullett Prebon Information is the leading provider of independent real-time price information from the wholesale inter-dealer brokered fi nancial and commodity markets.

Tullett Prebon Information is a wholly owned subsidiary of Tullett Prebon, a fully diversifi ed inter-dealer broker with leading positions in global fi xed income securities, money markets, capital markets, equities, energy, credit and associated derivative products. Tullett Prebon Information utilizes the price fl ows generated by these brokerage areas as its principal source of market information and uses its own team of price reporters to enhance and add value to the information gleaned from the desks.

Tullett Prebon Brokerage

Globally 1600 Brokers, over 200 desks

Americas

Over 600 brokers

• 54 desks

EMEA

Over 700 brokers

• 76 desks (London)

• 17 desks (rest of Europe)

Asia Pacifi c

Over 300 brokers

• 62 desks

• First China JV for foreign IDB

• First wholly foreign owned IDBin South Korea

Taking advantage of Tullett Prebon’s brokerage presence in 23 countries and with the addition of our own pricing team we are able to offer the most comprehensive coverage of the global OTC markets. Tullett Prebon Information data is split into twelve main categories:

Data Overview

Data Availability

Knowledge

All of Tullett Prebon Information’s trusted inter-dealer broker prices are available to support business applications at all stages of the investment process. Though established as market leaders in the front offi ce our data is increasingly being used in areas such as pre-trade analytics, risk management, mark-to-market and algorithmic trading engines.

Flexibility

Available directly and via third party channels, Tullett Prebon offers frequent updates of historical, end-of-day, intra-day and real-time tick data across the full coverage spectrum. Whatever the demands of the end user, Tullett Prebon Information has the fl exibility to meet their demands.

Rates

Fixed Income

Foreign Exchange

Money Markets

Credit Markets

Volatility

Economic Markets

Property Markets

Environmental

Precious Metals

Equity Markets

Energy Markets

Data Collection, Quality Assurance and Delivery

Coverage Distribution

Tullett Prebon Information provides a broad set of data fi elds on over 20,000 securities traded in the OTC markets. All data is available on a live, end-of-day and historical basis.

Developed MarketsUSD United States of America, DollarsEUR Euro Member Countries, EuroGBP United Kingdom, PoundsJPY Japan, YenCHF Switzerland, FrancsCAD Canada, DollarsNOK Norway, KroneSEK Sweden, KronorDKK Denmark, KronerAUD Australia, DollarsHKD Hong Kong, DollarsNZD New Zealand, DollarsSGD Singapore, Dollars

Emerging MarketsARS Argentina, PesosBHD Bahrain, DinarsBWP Botswana, PulasBRL Brazil, Brazil RealCLP Chile, PesosCNY China, Yuan RenminbiCOP Colombia, PesosCZK Czech Republic, KorunyEGP Egypt, PoundsEEK Estonia, KrooniHUF Hungary, ForintISK Iceland, KronurINR India, RupeesIDR Indonesia, RupiahsILS Israel, New ShekelsJOD Jordan, DinarsKRW Korea (South), WonKWD Kuwait, DinarsMYR Malaysia, RinggitsMXN Mexico, PesosPEN Peru, Nuevos SolesPHP Philippines, PesosPLN Poland, ZlotyRON Romania, New LeiRUB Russia, RublesSKK Slovakia, KorunySAR Saudi Arabia, RiyalsZAR South Africa, RandTWD Taiwan, New DollarsTHB Thailand, BahtTRY Turkey, New LiraAED United Arab Emirates, DirhamsVEBF Venezuela, BolivarVND Vietnam, Dong

Developed Markets

ISO Currency Code USD EUR GBP JPY CHF CAD NOK SEK DKK AUD HKD NZD SGD

Rates

Overnight Index Swaps X X X X X X

Interest Rate Swaps X X X X X X X X X X X X X

Municipal Swaps X

Swaps- Constant Mat Try X

Swaps- Constant Mat Swap X

Cross-Currency Swaps X X X X X X X X X X X X X

Basis Swaps X X X X X X X X X X X X X

Asset Swaps X X i X X X X X

Swaptions ATM X X X X X X X X X X X X X

Swaptions Skew +-200bps X X X X X X X X

Cap/Floors ATM X X X X X X X X X X

Cap/Floors Surface +-300bps X X X X X X X X

Caplet Vols X X X X X X X

Fixed Income

Government Bonds X X i X X X X X X X

Infl ation Linked Gov Bonds X X i X

Gvmt Benchmark Bonds X i X X X X X X X

Mortgage Backed Securities X

Money Markets

Spot Foreign Exchange X X X X X X X X X X X X X

Forward Foreign Exchange X X X X X X X X X X X X X

Foreign Exchange Options X X X X X X X X X X X X X

Cash Deposits CD’s X X X X X X X X X X X

Forward Rate Agreements X X X X X X X X X

Repurchase Agreement X

Interbank Fixings X X X X X X X X X X X X X

Credit Markets

CDS - Single Names X X X X

CDS - Indices X X X

Credit Tranches / Structures X X X

Economic Markets

Infl ation Swaps X X i X X

Infl ation Options X X i X

Property Markets

Commercial Property Derivatives X

Residential Property Derivatives X

Environmental

Co2 Credits (EU ETS) X X

Co2 Options X X

Emission Reduction Units (CERs) X

Renewable Energy Certifi cates X X

Precious Metals

Gold (Spot, Forwards, Options) X

Silver (Spot, Forwards, Options) X Priced in a range of centres – All metals in US$ X – Available now

Equity Markets

Cash Equities X X X

Equity Options X X X X X

Equity Index Options X X X X X

X Coming soon

X Available now

(Xd) Indicates in Development

(Xc) Indicates Calculated rate

(Xi ) Euro Denominated Government Bonds and Infl ation Swaps Cover Debt and Infl ation for the following markets:

France, Germany, Italy, Spain, Netherlands, Belgium (These are represented separately)

ISO Currency Code ARS BWP BRL CLP CNY COP CZK EGP HUF ISK INR IDR ILS KRW KWD MYR MXN PEN PHP PLN RON RUB SKK SAR ZAR TWD THB TRY AED VEBF VND

Rates

Overnight Index Swaps X X X X X X X X X X

Interest Rate Swaps X X X X X X X X X X

Cross-Currency Swaps X X X X X X

Basis Swaps X X X X X X

Swaptions ATM X X X X X X X

Swaptions Skew +-200bps X X X

Cap/Floors ATM X X X

Cap/Floors Surface +-300bps X X X

Fixed Income

Global Sovereign Bonds X X X Xd X X X X

Government Benchmark Bonds X X X X Xd X X Xd Xd Xd X X X Xd Xd X Xd

Infl ation Linked Gov. Bonds X X X X X

Local Sovereign Bonds X X X X X X X

Money Markets

Spot Foreign Exchange X X X X X X X X X X X X X X X X X X X X X X X X

Forward Foreign Exchange X X X X X X X X X X

Non Deliverable Forwards X X X X X X X X X X X X X X X

Foreign Exchange Options X X X X X X X X X X

Cash Deposits and CD’s X X X X X X X X X X X X X X X X X X X X X X

Emerging Markets

Current and Future Energy Content

ISO Currency Code USD EUR GBP

Energy Markets

Soft Commodities - Europe Xd

Czech Power - Europe X

Dutch Power - Europe X

German Power - Europe X

German Power Option Vols - Europe X

French Power - Europe X

UK Power - Europe X

Power Option Vols - Europe Xd

NBP Gas - Europe X

NBP Gas Option Vols - Europe X

Gas IPE Index - Europe X

Gas TTF - Europe X

Gas ST Fergus - Europe X

Gas PEG - Europe X

Gas Heren - Europe X

Gas Rough Storage - Europe X

Coal API2 /API4 - Europe X

Emissions ( EUAS) - Europe X

Crude Oil - Swaps - Europe Xd

Gas Oil Physical - Europe Xd

Heat Oil - Europe Xd

Kerosene - Europe Xd

Gas Oil Physical - Europe Xd

Gasoline & Physical - Europe Xd

ISO Currency Code USD EUR GBP

Energy Markets

LPG - Europe Xd

Naphtha - Europe Xd

Natural Gas Options - Europe Xd

WTI Option Vols - Europe Xd

Biofuels - Europe Xd

Henry Hub Option Vols - Europe X

East Region - PJM - NYA - NYG - NYJ - North America X

Eastern Interconnector - North America X

Midwest Power - Cin - NI - Ad - North America X

ERCOT - North America X

Natural Gas- West - Mid - NE - North America X

Nymex - Swaps & Options - North America X

Location Basis Swaps - North America X

Nymex - Swaps - Short /Long - North America X

Henry Hub Options Vols - North America X

WTI Options Vols - North America X

Alberta power - North America X

Canadian Gas - North America X

Canadian Oil - North America X

Crude: WTI Swaps - Asia X

Crude: Brent - Asia X

Crude: Dubai - Asia X

Uranium (u3o8) Forwards X

Uranium (u3o8) Options X

Spot Foreign Exchange

The rate at which one currency can simultaneously be exchanged for another on the spot value date. Rates are displayed bid-ask (low-high) in reference to the fi rst currency shown. Market makers will buy the fi rst currency specifi ed at the low rate and sell at the high. The rate is the value of 1 unit of the fi rst currency expressed in terms of the second currency e.g. EUR/USD; 1 EUR = 1.2088 USD.

Forward Foreign Exchange

This is the simultaneous exchange of currencies on a start date (normally spot) at a spot rate with a contract to reverse the exchange at an agreed forward rate (forward outright) on the maturity date. The rates are expressed as the points difference between the exchange rate at the maturity of the contract and the rate at the start, multiplied by 10 to the power n, where n is the number of decimal places that the spot rate is conventionally quoted to. Market makers will sell the fi rst currency spot and buy it at the forward maturity at the low rate and buy and sell the fi rst currency at the high rate.

Non-Deliverable Forwards

This is conceptually similar to a Forward Foreign Exchange transaction. A notional principal amount, forward exchange rate and forward date are all agreed at the deal’s inception. The difference is that there is no physical transfer of the principal amount in an NDF transaction. The deal is agreed on the basis that net settlement will be made in USD, or another fully convertible currency, to refl ect any differential between the agreed forward rate and the actual rate on the agreed forward date. The rates can be expressed as a points difference, a yield or as an outright.

Cash Deposits

The placement or taking of a loan for a fi xed time period from a start date to a maturity date. Compensation in the form of interest is calculated at the agreed rate and paid or received in addition to the principal amount at maturity. If the term of the deposit is over one year, interest will normally be paid on each anniversary of the deposit. Market makers will lend funds at the high rate and borrow funds at the low rate.

Cash Settlement Indications

The Interbank-offered rates used in the settlement of many fi nancial instruments are determined by taking a consensus of selected market makers in each instrument and averaging a given number of constituents of the consensus. These rates are those used by Tullett Prebon for internal pricing and fair value models.

Forward Rate Agreements

A FRA is a hedge against movements in interest rates. Periods for prices are quoted as a forward start date against a forward end date e.g. 3 months versus 6 months. When time elapses and the forward start date becomes the spot value, the difference between the reference market rate of interest (Interbank Offered Rate) and the rate originally struck for the FRA contract is calculated. The interest rate differential is then paid and received by the counter parties (if the Interbank Offered Rate is higher than the rate sold by the seller of the FRA, compensation must be paid to the buyer and vice versa). As with other off balance sheet instruments there is no commitment to borrow or lend the underlying principal amount. If the number of days is not a standard monthly run there must be prior agreement on the settlement calculation when the FRA is executed. Market makers will buy the interest differential at the low rate and sell at the high.

Glossary • General Terms

Interest Rate Swaps

An agreement to exchange a series of cash fl ows (interest payments) for a stated period of time. For vanilla swaps there is no exchange of principal amounts. The notional principal remains constant throughout the life of the swap and the fl oating side has a specifi c index e.g. 6 month LIBOR. Market makers will agree to receive fi xed rate payments and pay fl oating rate payments at the high rate and pay fi xed rate payments and receive fl oating rate payments at the low rate.

Cross Currency Interest Rate Swaps

A cross currency IRS is an instrument involving two currencies where a counterparty swaps the fi xed rate interest rate liability of the primary currency for the fl oating rate liability of the secondary currency.

Overnight Index Swaps

An OIS is merely a standard IRS where the fl oating rate is fi xed against the overnight index rate (e.g. SONIA or EONIA) rather than the historically more usual 3 month or 6 month LIBOR rate.

Basis Swaps

A basis swap locks in the spread existing at the time of the agreement between two indices. Basis swaps are quoted as a spread over the primary index with the other index quoted fl at; e.g. in a EUR/USD basis swap the market maker will receive the EUR index i.e. EUR LIBOR plus the high spread and pay the US LIBOR fl at or pay the EUR LIBOR plus the low spread and receive US LIBOR fl at.

LIBOR Basis Swaps

A LIBOR Basis Swap is an instrument involving a single currency where a counterparty swaps the fl oating rate liability of the fi rst LIBOR against the fl oating rate liability of the second LIBOR (e.g. USD 3m Libor vs. USD 6m Libor)

Commercial Paper / LIBOR

Uses the daily average of the 30-day commercial paper (quoted on a Bank Discount Basis) taken from the H15 Federal Reserve Statistical Report and averaged for the month. The monthly average is converted to a money market basis, adjusted by the spread and compounded at the succeeding monthly average rate. Interest is settled on a net basis against 3 month LIBOR.

Fed Funds / LIBOR

Uses the daily average of the effective rate from the H15 Statistical Report (quoted on a money market basis) averaged for the month if interest is paid quarterly the market convention is to take a simple average over 3 months adjust by the spread and settle on a net basis against 3 month LIBOR.

Prime / LIBOR

Uses the average rate of the daily Prime rate from the H15 Statistical Report (quoted on a money market basis) usually for 3 month period, adjusted by the spread and settled against 3 month LIBOR.

Treasury Bills / LIBOR

Uses the average of the weekly auction rate of the 90-day Bills off the H15 Federal Reserve Statistical report (quoted on a Bank Discount Basis) converted to a money market basis, adjusted by the spread and settled on a net basis against 3 month LIBOR.

Asset Swaps

An Asset Swap is an Interest Rate Swap used to alter the cash flow characteristics of an institution’s assets in order to provide a better match with its liabilities. An example would be to physically switch cashflows i.e. a fixed bond against floating rate LIBOR. An alternative is an Interest Rate Swap linked to an asset i.e. a bond.

Interest Rate Option Volatilities

In a cap transaction the seller contracts to reimburse the buyer should a chosen reference rate exceed the cap level. To compensate the seller for taking this risk the buyer pays a premium. With a floor the seller agrees to compensate the buyer should the reference rate fall below the strike price. The premium is priced from a string of European style options; puts (caps) or calls (floors). From these strings the upfront premium is calculated using a Black - Scholes based option model. Volatility is a key component in this pricing, the level of the implied volatility quoted is that which will calculate a fair value equal to the current trading option price. The volatilities are quoted for strike prices “at the money”.

Swaption Volatilities

A Swaption is the right but not the obligation to enter an Interest Rate Swap as the payer or receiver of the fixed side of the swap. The implied volatility quoted is that which will calculate a fair value equal to the current trading option price. As with other options, the higher the volatility the greater chance there is of a movement in the underlying instrument, leading to a greater chance that the option will be exercised and therefore a more expensive premium. The volatilities are quoted for strike prices “at the money”.

For more information please contact Tullett Prebon Information on:

London: +44 (0)20 7200 7600

New York: +1 877 639 7300

Singapore: +65 6536 5843

sales@tpinformation.com www.tpinformation.com

Tullett Prebon Information is an affiliate of Tullett Prebon, a fully diversified inter-dealer broker with a leading presence in the global fixed income markets,

money markets, capital markets, energy and credit markets.