FINANCIAL INSTITUTIONSISSUER COMMENT 22 JUNE 2015CREDIT AGRICOLE SA (ACA)Moodys Senior Unsecured Rating A2Moodys Outlook POSBond-Implied Rating A2CDS-Implied Rating Baa2EDF-Implied Rating Ba2As of 6/18/2015ANALYST 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 ReviewCr?dit Agricole SA: Market-Implied Ratings Move Up and Down The fixed income oriented market-implied ratings of Credit Agricole both fell, while the companys EDF'-implied rating rose.The banks bond-implied rating was Aa2 90 days ago and has declined by three notches to A2 since then (Figure 1). The CDS-implied rating was Baa1 three months ago. In March it fell to Baa2, where it remains. The Baa2 observation is the lowest since January 2015. The EDF-implied rating rose over the last three months from Ba3 to Ba2.FIGURE 1. CREDIT AGRICOLE: MOODYS AND MARKET-IMPLIED RATINGS, LAST 90 DAYS (DAILY DATA)According to our ratings gap-conditioned transition matrices, companies rated A2 with a bond-implied rating of A2 outperformed the broad market 36% of the time overMOODY'S ANALYTICS FINANCIAL INSTITUTIONS2 22 JUNE 2015 MARKET SIGNALS REVIEW : CRDIT AGRICOLE SA: MARKET-IMPLIED RATINGS MOVE UP AND DOWNthe following 12 months, matched the markets performance 21% of the time, and underperformed the broad market 42% of the time.Over the past three months Credit Agricoles bond-implied ratings gap weakened from +3 to zero notches (Figure 2). Its CDS-implied ratings gap of -3 notches is one notch worse than -2 notches 90 days ago. The EDF-implied ratings gap is presently -6 notches, up from -7 notches on March 18.Readers will recall that when a market-implied rating remains falls (rises), the underlying securities have underperformed (outperformed) the broad mar...
