FINANCIAL INSTITUTIONSISSUER COMMENT 15 SEPTEMBER 2015BANK OF CHINA LIMITED (BCHINA)Moodys Senior Unsecured Rating A1Moodys Outlook STABond-Implied Rating naCDS-Implied Rating Ba2EDF-Implied Rating Ba1As of 9/11/2015ANALYST CONTACTSAllerton 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 China Limited: Two Market-Implied Ratings Decline Over the last 90 days the EDF'- and CDS-implied ratings for Bank of China Limited both worsened. The EDF-implied rating dropped by one notch and the CDS-implied rating by two notches. (Figure 1).The EDF-implied rating was Ba1 and rose to Baa3 for the period between June 22 and July 24. It then sank to Ba1 again, where it has remained since.The companys CDS-implied rating is Ba2, down two notches from Baa3 three months ago. Ba2 is the lowest level seen over the last five years.FIGURE 1. BANK OF CHINA, LIMITED: MOODYS AND MARKET-IMPLIED RATINGS, 90 DAYS (DAILY DATA)MOODY'S ANALYTICS FINANCIAL INSTITUTIONS2 15 SEPTEMBER 2015 MARKET SIGNALS REVIEW: BANK OF CHINA LIMITED: TWO MARKET-IMPLIED RATINGS DECLINEBank of China does not have bonds outstanding that fit our market-implied ratings model, so we do not publish a bond-implied rating for the bank.According to our ratings gap-conditioned transition matrices, companies rated A1 with a CDS-implied rating of Ba2 outperformed the broad market 49% of the time over the following 12 months, matched the markets performance 6% of the time, and underperformed the broad market 46% of the time.Readers will recall that when a market-implied rating falls the underlying securities have underperformed the broad market. 1Over the last three months, Bank of China Limiteds EDF- and CDS-implied ratings gaps widened. The EDF-implied ratings gap, now at -6...
