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Index Products Barclays Capital Euro Corporate Bond Index

The Euro Corporate Index contains fixed-rate, investment-grade Euro-denominated securities from industrial, utility and financial issuers only. Inclusion is based on the currency of the issue, and not the domicile of the issuer. Securities in the index are also part of the EuroAggregate, Pan-European Aggregate and the Global Aggregate Indices. The Euro Corporate Index was launched on July 1, 1998. Sector Breakdown as of Dec 31, 2008 Access to the Index (keyword: index) KEY FEATURES Daily index returns and statistics Historical index time-series can be downloaded into Excel Standardized market structure reports Fully customizable views Index primers and shelf reference documents Latest index and portfolio strategies research publications

Bloomberg Page <LEHM> <23> Key statistics and returns <LECP> <INDEX>

Quality Breakdown as of Dec 31, 2008

TICKERS Total Return Index Value: LECPTREU Since Inception Total Return: LECPSIEU Excess Return: LECPER Market Value (EUR): LECPMVE ISMA Yield to Worst: LECPYW ISMA Modified Duration: LECPMD Average OAS: LECPOAS Maturity: LECPMAT KEY FEATURES Index level returns and statistics Historical index constituents Fully customizable market structure reports Index dynamics and turnover reports Portfolio upload/analysis Multi-factor Global Risk Model Portfolio performance attribution Automated batch processing

POINT (Portfolio and Index Tool) Long Name: Euro Credit Corp Short Name: eacorp

Pricing and Related Issues

Sources & Frequency Timing Bid or Offer Side Settlement Assumptions Verification All bonds are priced daily by Barclays Capital traders, third-party vendors. 4:15pm London time. If European markets are open, but the U.K. is closed, then pricing will remain constant until the close of the next U.K. business day. If the last business day of the month is a public holiday in the major European markets, then prices from the previous business day are used. Outstanding issues are priced on at mid prices. New issues enter the index on the offer side. T+1 settlement basis. Multi-contributor verification. The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected as necessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.

Contacts: Barclays Capital Index Products Team +1-212-526-7400

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The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.

Barclays Capital Euro Corporate Bond Index

Rules for Inclusion
Amount Outstanding Quality 300 million minimum par amount outstanding. Must be rated investment grade ( Baa3/BBB-/BBB- or above ) using the middle rating of Moodys, S&P and Fitch, respectively. When all three agencies rate an issue, a median or two out of three rating is used to determine index eligibility by dropping the highest and the lowest rating. When a rating from only two agencies is available, the lowest (most conservative) of the two is used. When a rating from only one agency is available, that rating is used to determine index eligibility. Seniority of Debt Coupon At least one year until final maturity, regardless of optionality. For securities with a coupon that converts from fixed to floating at least one year until the conversion date. Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. These are included until one year before their first call date, providing they meet all other index criteria.


Senior and subordinated issues are included. Undated securities are included provided their coupons switch from fixed to variable rate. Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital securities with coupons that convert from fixed to floating-rate are index-eligible given that they are currently fixed-rate; the maturity date then equals the conversion date. Fixed-rate perpetual capital securities which remain fixed-rate following their first call date, and which provide no incentives to call the bonds, are excluded. Euro. Publicly issued in the Eurobond and Euro-zone domestic markets. Included: Fixed-rate bullet, puttable and callable Soft bullets Fixed-rate and fixed-to-floating capital securities Excluded: Bonds with equity-type features (e.g., warrants, convertibility to equity) Private placements, including Schuldsheine Floating-rate issues Inflation-linked bonds German Schuldscheine and Genussscheine

Currency Market of Issue Security Types

Rebalancing Rules
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the Returns universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns universe are held in the index without a reinvestment return until month-end when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns universe.

Index Changes

Reinvestment of Cash flows New Issues