FINANCIAL INSTITUTIONSISSUER COMMENT 28 OCTOBER 2015CITIGROUP INC. (C)Moodys Senior Unsecured Rating Baa1Moodys Outlook STABond-Implied Rating Baa1CDS-Implied Rating Baa2EDF-Implied Rating A2As of 10/27/2015ANALYST 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 ReviewCitigroup Inc.: Market-Implied Ratings Remain Consistent Citigroups bond-, CDS-, and EDF'-implied ratings match their levels of 90 days ago (Figure 1). The bond-implied rating is Baa1, the CDS-implied rating is Baa2, and the EDF'-implied rating is A2. They were mostly unchanged during the period.FIGURE 1. CITIGROUP, INC.: MOODYS AND MARKET-IMPLIED RATINGS - LAST 90 DAYS (DAILY OBSERVATIONS)The bond-implied rating fluctuated in a range between Baa1 and A3.Citis stable CDS-implied rating has been at Baa2 for the past three months and was Baa2 one year ago, as well. It is a dramatic improvement over its low point of Ba2 in May 2010.MOODY'S ANALYTICS FINANCIAL INSTITUTIONS2 28 OCTOBER 2015 MARKET SIGNALS REVIEW: CITIGROUP INC.: MARKET-IMPLIED RATINGS REMAIN CONSISTENTThe EDF-implied rating was A2 every day over the past three months. It has made a significant recovery from its worst-ever observation at B1 in October of 2011.Citigroups five-year CDS mid-spread of 87 bp compares to such peers as Wells Fargo (53 bp), JP Morgan Chase (76 bp), BankAmerica (77 bp), Morgan Stanley (76 bp), and Goldman Sachs (88 bp).All Citis market-implied ratings gaps are the same as they were three months ago. The CDS-implied ratings gap is -1 notch (Figure 2). The EDF-implied ratings gap is +2 notches. And the bond-implied ratings gap is zero notches. Earlier market-implied ratings gaps would reflect Moodys upgrade of Citis senior unsecured corporate bond rating from ...
