FINANCIAL INSTITUTIONSISSUER COMMENT 9 January 2017RATINGSDEUTSCHE BANK AG (DB) Moodys SR Unsecured Rating Baa2Moodys Outlook STABond-Implied Rating Baa1CDS-Implied Rating Ba1EDF-Implied Rating Ba1As of January 5, 2017ContactsXian Li 212-553-1404Senior Research Analyst xian.li@moodys.comAllerton G. Smith 212-553-4058 Sr Dir-Sr Research Analyst allerton.smith@moodys.comABOUT CAPITAL MARKETS RESEARCHAnalyses from Moodys Capital Markets Research, Inc. (CMR) focus on explaining signals from the credit and equity markets. The publications address whether market signals, in the opinion of the groups analysts, accurately reflect the risks and investment opportunities associated with issuers and sectors. CMR research thus complements the fundamentally-oriented research offered by Moodys Investors Service (MIS), the rating agency.CMR is part of Moodys Analytics, which is one of the two operating businesses of Moodys Corporation. Moodys Analytics (including CMR) is legally and organizationally separated from Moodys Investors Service and operates on an arms length basis from the ratings business. CMR does not provide investment advisory services or products.View the CMR FAQ Contact the CMR team Follow us on TwitterDeutsche Bank AGDeutsche Bank AG: Three Market-Implied Ratings Rebound from Recent Lows The EDF', CDS-, and bond-implied ratings for Deutsche Bank all recovered from their lower levels of the past three months.The EDF-implied rating was B2 at the beginning of October and is now Ba1 (Figure 1). The CDS-implied rating is also Ba1, up from its recent 90-day low of Ba3. The bond-implied rating was Baa2 on October 7. It deteriorated by one notch to its 90-day low of Baa3 on several days in November and December and has settled at Baa1 now.According to our ratings gap-conditioned transition matrices, companies rated Baa2 with a bond-implied rating of Baa1 outperformed the broad market 26% of the time over the following 12 months, matched the markets performance 25% of the time, and underperformed the broad market 49% of the time.Deutsche Banks EDF-implied ratings gap is -2 notches, improved by four notches from three months ago (Figure 1). Its CDS-implied ratings gap is also -2 notches, two notches better. The bond-implied ratings gap rose by one notch over the period, to +1 notch.Readers will recall that when a market-implied rating rises the underlying securities have outperformed the broad market, and when it falls the underlying securities have underperformed the broad market. 1Moodys Analytics markets and distributes all Moodys Capital Markets Research, Inc. materials. Moodys Capital Markets Research,Inc. is a subsidiary of Moodys Corporation. Moodys Analytics does not provide investment advisory services or products.For further detail, please see the last page.MOODY'S ANALYTICS FINANCIAL INSTITUTIONSFIGURE 1. DEUTSCHE BANK: MOODYS AND MARKET-IMPLIED RATINGS AND MIR GAPS, LAST 90 DAYS (DAILY DATA)2 ...
