MoneyLine Telerate and Kalahari Form Partnership to Offer Real-Time Zero Coupon Yield Curve Data

Moneyline Telerate, a leading provider of real-time financial information and transaction services, and Kalahari, a global provider of real-time analytic solutions and strategic consulting services, today announced the release of a global real-time Zero Coupon Yield Curve data service. The new service further enhances Moneyline Telerates G20 multi-contributor composite series. The G20 series, launched in 2003, represents an aggregation of the most liquid sources of pricing worldwide to enable trading decisions for all asset classes, with a particular focus on fixed income and derivatives. The Zero Coupon Yield service is unique given its breadth and analytics based on Kalaharis extensive experience in financial engineering.

The new service enables global players to value the future cash flows of assets currently on their books or have a benchmark against which to assess market values today. The curves are to be created by bootstrapping a set of representative quoted benchmark rates and instrument prices aggregated by Moneyline Telerate. The underlying benchmark interest rates being used are money market instruments, interest rate futures, and quoted par swaps.

"The addition of Kalaharis real-time zero coupon yield curve data to our benchmark financial information is another example of Moneyline Telerate's commitment towards expanding its content to best serve the financial markets. A number of our largest sell side clients have been asking for this data. The global market has become more sophisticated and participants are seeking accurate and valuable insight into market activity throughout the trading day. High quality zero coupon yield data, provided in real-time, is an important asset to our clients as it is calculated directly from the worlds leading broking and financial houses," commented Kevin Taylor, Vice President, Global Content, Moneyline Telerate.

Peter Trenier, Managing Director, Kalahari said: "For the first time, Kalahari's accumulation of valuable zero coupon yield curve data will be available to customers around the world in real-time, via Moneyline Telerate. The depth of this new service is founded on an extensive use of benchmark analytics, which use the curve methodology. We look forward to a long and mutually rewarding relationship with Moneyline Telerate, and together we will look at developing more cutting edge products for the financial markets over the coming months."

For access to Moneyline Telerates Zero Coupon Yield Curve service see page 63451 for US, Canada and European currencies and page 63452 for Asian currencies. For an index to Moneyline Telerates G20 composite series see page 20.

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Notes to Editors:

Curve Construction Methodology:

Where futures are available, the curve is constructed using cash rates up to the first future contract, futures thereafter with par swaps splicing in at the 2 year point. In certain currencies where there is limited liquidity in the futures market, swaps are spliced in at the 1 year point. Where futures are not available, cash rates are used up to the 1year with par swaps used thereafter. Interpolation and bootstrapping is used for the full length of the curve, which provides a smooth curve and eliminates yield curve distortion at points where liquidity is poor.

Discounts factors and zero coupon yields (Ask, Bid & Mid) are to be published for commonly traded periods, for example ON, TN, SN, 1W, 2W, 3W, and then monthly up to 1 year and quarterly thereafter. Values will be published out to periods between 10 and 50 years depending on the currency. Zero coupon yields are to be quoted as simple interest up to 1 year and then either on an Actual/360 or Actual/365 basis depending on a currencys convention or a 30/360 basis.