No that's not right either! It's not the county we're looking for (the Midlands isn't a county). Google / wikipedia tells me Peterborough is in East Anglia. Good.
Yeah, I know, and Cambridgeshire is in East Anglia Sorry, I'm being pedantic, but the point is, Cambridgeshire is a county. They're different terms. The midlands includes the counties of Derbyshire, Herefordshire, Leicestershire, Northamptonshire, Nottinghamshire, Rutland, Shropshire, Staffordshire, Warwickshire, the West Midlands metropolitan boroughs and Worcestershire. Lincolnshire is considered by some part of the Midlands but generally excluded, on account of its extensive coastline. But not Peterborough or Cambridgeshire.