FINANCIAL INSTITUTIONSISSUER COMMENT 1 February 2016RATINGSBANK OF AMERICA CORPORATION (BAC) Moodys SR Unsecured Rating Baa1Moodys Outlook STABond-Implied Rating A3CDS-Implied Rating Baa2EDF-Implied Rating A3As of 1/28/2016ContactsAllerton 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 TwitterMoodys 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.Market Signals ReviewBank of America Corp.: Two Market Signals Weaken and One Improves Two of Bank of America Corp.s three market-implied ratings fell below their best levels of the last 90 days. Readers will recall that when an entitys implied ratings fall, the underlying securities have underperformed the broad market.The CDS-implied rating for BAC was Baa1 three months ago and since then fluctuated between that level and Baa2, where it is now (Figure 1). BACs five-year CDS mid-spread of 95 bp compares to such peers as Wells Fargo (60 bp), JP Morgan Chase (82 bp), Morgan Stanley (103 bp), Citigroup (103 bp), and Goldman Sachs (101 bp).The EDF-implied rating was A2 90 days ago. On January 8 it declined to A3, where it remains.FIGURE 1. BANK OF AMERICA CORP.: MOODYS AND MARKET-IMPLIED RATINGS, LAST 90 DAYS (DAILY DATA)The bond-implied rating was Baa1 90 days ago and moved up to A3 for several days over the period. Most recently, it advanced to A3 once again on January 27.MOODY'S ANALYTICS FINANCIAL INSTITUTIONS2 1 February 2016 Market Signals Review: Bank of America Corp.: Two Market Signals Weaken and One ImprovesOur ratings gap-conditioned transition matrices (available on Moodys CreditView) show that historically the bonds of a company rated Baa1 with a bond-implied ratings gap of zero notches outperformed the broad market 31% of the time in the following 12 months, matched the markets performance 15% of the time, and underperformed 54% of the time.Bank of Am...
