00 1000 400 135 115 Difference (bp) CPN 7.500% 2021 vs. HY BB sotto amoeba Tight: Obp Wide: 143bp Average: 54bp Current call. (09-Nov.11): 72bp 95 Current (CPN 7.500% 2021): 510bp Current (HY BB): 438bp Current Price (CPN 7.500% 2021): 108.50 75 55 — _ _ 35 15 -5 625 125 -375 -8

ble. As a result, the forwards were still pricing in three full, and potentially four rate hikes before Dec 2016, and the 2yr Treasury yield was at 72bp, or 3bp away from its 2015 highs, at the time of this writing. This reaction is not surprising to us, as we have expressed our opinion that the bar