FINANCIAL INSTITUTIONSISSUER COMMENT 18 February 2016RATINGSCITIGROUP INC. (C) Moodys SR Unsecured Rating Baa1Moodys Outlook STABond-Implied Rating Baa1CDS-Implied Rating Baa2EDF-Implied Rating A3As of February 16, 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 ReviewCitigroup Inc.: Market-Implied Ratings Match Year-Ago Levels While each of Citigroups market-implied ratings varied in its own way over the last 12 months, they all ended the period at levels unchanged from February 16, 2015. The bond-implied rating is Baa1, the CDS-implied rating is Baa2, and the EDF-implied rating is A3 (Figure 1).FIGURE 1. CITIGROUP, INC.: MOODYS AND MARKET-IMPLIED RATINGS - LAST 365 DAYS (DAILY OBSERVATIONS)The bond-implied rating fluctuated in a range between Baa2 and A2 over the past year.Citis stable CDS-implied rating has been at Baa2 for most of the last year. It dipped briefly to Baa3 on February 5, 2016, but quickly rebounded to Baa2 where it is today. The current CDS-implied rating is a dramatic improvement over its low point of Ba2 in May 2010. Citigroups five-year CDS mid-spread of 130 bp compares to such peers as Wells Fargo (71 bp), JP Morgan Chase (91 bp), BankAmerica (131 bp), Morgan Stanley (139 bp), and Goldman Sachs (139 bp).MOODY'S ANALYTICS FINANCIAL INSTITUTIONS2 18 February 2016 Market Signals Review: Citigroup Inc.: Market-Implied Ratings Match Year-Ago LevelsThe EDF-implied rating was A3 one year ago. In the interim it was as high as A1 and as low as Baa1. It has made a significant recovery from its worst ever observation at B1 in October of 2011.All Citis current market-implied ratings gaps give effect to a change in the companys senior debt rating from Baa2 to Baa1 in May 2015. The CDS-implied ratings...
