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A U
NIQUE
S
ERVICE
F
OR
I
NDIVIDUAL
I
NVESTORS
www.capitalcontext.com@capitalcontext ©Capital Context LLC, 2011 
 
IG credit spreads brokeabove their 200DMAHY credit spreads brokeabove their 200DMA
 
 
A U
NIQUE
S
ERVICE
F
OR
I
NDIVIDUAL
I
NVESTORS
www.capitalcontext.com@capitalcontext ©Capital Context LLC, 2011 
 
HY-IG differential at six monthwides. Interesting that demandnot stepped back in givenmultiple expansion of last fewmonths in HY over IG ratio.Each time rolling HY-IG betahas dropped below 3x, wehave seen notabledecompression.
 
 
A U
NIQUE
S
ERVICE
F
OR
I
NDIVIDUAL
I
NVESTORS
www.capitalcontext.com@capitalcontext ©Capital Context LLC, 2011 
 
We warned of risk appetite changes inMatch and switched to outrightnegative in April. Dramatically moredownside in credit still
 – 
just from QE2.HY realized vol finally breakingupwards
 – 
will tend to reduce
appetite further from
‘
reach-for-
yield perspective.
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