Credit Market Report

Credit Market Report August 7, 2007 (Requested by a client to forward as a post)

U.S. Treasury prices fell and yields rose as investors pushed money back towards stocks on Monday while the corporate bond market remains stagnant. The Dow Jones Industrial Average posted its largest gain of the year yesterday, helping to erase significant losses incurred last week. Corporate credit markets, notably investment-grade corporate bonds, have ground to halt making it difficult for firms to access capital and leaving investors with little good options. The dry-up in available capital is largely due to an increase in investor risk aversion caused by the problems of the sub-prime mortgage market. For July, U.S. corporate bond issuance was down 77% from June, with only 25 high-grade issuings for July, compared to 94 in June and 121 in May. Tuesday brings the Federal Open Market Committee’s meeting on interest rates and updates on productivity and consumer credit will be released. Sentiment among the investing community is for the Fed to keep the Federal Funds Rate, an overnight lending rate between banks, at its current level of 5.25%.

Treasury Rates are as of late-afternoon August 6, 2007 as reported in the Wall Street Journal.

Fixed Rate Indices
Maturity Coupon Yield
2-year..........07/09.........4 5/8%.........4.49%
5-year..........07/12.........4 5/8%.........4.55%
10-year........05/17.........4 4/8%.........4.73%
30-year........02/37.........4 6/8%.........4.91%

Floating Rate Indices
30-day LIBOR.................................5.33000%
90-day LIBOR.................................5.35625%
Six-month LIBOR............................5.25688%
1 Year LIBOR..................................5.11625%

Rates in the London market based on quotations at 16 major banks for August 6, 2007.


Prime..............................8.25%
Last Effective Change: 6.29.06

Spread Markets
10-year SWAP Spreads................................71.3 bps
10-year SWAP Rate......................................5.449

As reported by RBS Greenwich Capital 8.7.2007 8:52 AM EST