FINANCIAL INSTITUTIONSISSUER COMMENT 12 January 2017RATINGSBANK OF AMERICA CORPORATION (BAC) Moodys SR Unsecured Rating Baa1Moodys Outlook STABond-Implied Rating Baa1CDS-Implied Rating Baa2EDF-Implied Rating Baa1As 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 TwitterMarket Signals ReviewBank of America Corp.: Three Market Signals Dip Bank of America Corp.s three market-implied ratings all weakened over the past year. Readers will recall that when an entitys market-implied ratings fall, the underlying securities have underperformed the broad market.The companys bond-implied rating was A3 365 days ago, moved down to Baa2 on four occasions in February and March 2016, and rebounded by one notch to Baa1 recently (Figure 1).The EDF'-implied rating was also A3 a year ago. It was at Baa1 or Baa2 for most of the year since, declined to Ba3 on October 3 for one day and recovered to Baa1, where it has remained.The CDS-implied rating was Baa1 twelve months ago, oscillated over a range of Baa1-Baa3 over the year and is now Baa2. BACs five-year CDS mid-spread of 73 bp compares to such peers as Wells Fargo (53 bp), JP Morgan Chase (64 bp), Citigroup (73 bp), Morgan Stanley (85 bp), and Goldman Sachs (89 bp).FIGURE 1. BANK OF AMERICA CORP.: MOODYS MARKET-IMPLIED RATINGS, LAST 12 MONTHS (DAILY DATA)Moodys 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 INSTITUTIONSOur ratings gap-conditioned transition matrices (available on Moodys CreditView) show that historically the bonds of a company rated Baa1 with a bond-implied rating of Baa1 outperformed the broad market 33% of the time in the following 12 months, matched the markets performance 30% of the time, and underperformed 37% of the time.The market-imp...
