FINANCIAL INSTITUTIONSISSUER COMMENT 26 April 2016RATINGSCITIGROUP INC. (C) Moodys SR Unsecured Rating Baa1Moodys Outlook STABond-Implied Rating Baa1CDS-Implied Rating Baa2EDF-Implied Rating Baa1As of April 25, 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.: Two Market-Implied Ratings Decline from Recent Peaks Two of Citigroups market-implied ratings worsened over the last 90 days. The bond-implied rating is lower by one notch at Baa1 and the EDF'-implied rating slipped by two notches to Baa1.Citigroup was the only US SIFI bank whose living will was not determined to be not credible by the Federal Reserve and the Federal Deposit Insurance Corp. in announcements on April 13.1 Both the Fed and the FDIC said Citis living will meets the requirements of the 2010 Dodd-Frank law. Despite these plaudits, Citis implied ratings have not improved.FIGURE 1. CITIGROUP, INC.: MOODYS AND MARKET-IMPLIED RATINGS - LAST 90 DAYS (DAILY OBSERVATIONS)The bond-implied rating fluctuated in a range between Baa2 and A3 over the three months. (Figure 1).The EDF-implied rating was A2 90 days ago. In the interim it was never higher than A2 or lower than its current level of Baa1. It has made a significant recovery from its worst ever observation at B1 in October of 2011.MOODY'S ANALYTICS FINANCIAL INSTITUTIONS2 26 April 2016 Market Signals Review: Citigroup Inc.: Two Market-Implied Ratings Decline from Recent PeaksCitis CDS-implied rating varied between Baa2 to Baa3 since January 25. The current Baa2 CDS-implied rating is a dramatic improvement over its low point of Ba2 in May 2010. Citigroups five-year CDS mid-spread of 89 bp compares to such peers as Wells Fargo (58 bp), JP Morgan Chase (73 bp), BankAmerica (8...
