Table of Contents

Outlook for 2011: Crisis Mode is Still the New Normal .....…… 3
US Credit
US Banks are Turning the Corner ……………………………………………………………… 8
US Large-cap Creditmetrics: Robust but still Defensive …………………………………… 12
US HY: Solid Outlook on Improving Fundamentals …………………………………………. 18
European Nonfinancials
EUR Creditmetrics: Nonfins Positioned for Stressful Year ………………………………… 33
Future Paths of European High Yield Spreads ………………………………………………. 39
High and Low Beta European HY and Crossover Names ………………………………….. 46
Equity-based Carry Efficient Hedges for European Credit …………………………………. 62
European Financials
The Hole Gets Deeper for EUR Financials ……………………………………………………. 72
European Banks: Bankruptcy, Restructuring, or Capital Injection? …………………………. 74
LT2 Bonds Restructuring Probability and CDS Spreads ……………………………………. 90
European RMBS in a Time of Bail-ins …………………………………………………………. 103
Other Credit Classes
Hedging Tail Risk with Tranches ……………………………………………………… …. 113
Risk Premium in Asian Credit ………………………………………………………………… 123