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TEXT-S&P: Credit Mutuel-CIC home loan program rating unchanged
October 29, 2012 / 2:20 PM / 5 years ago

TEXT-S&P: Credit Mutuel-CIC home loan program rating unchanged

Oct 29 - Standard & Poor's Ratings Services said today that its credit
rating and outlook on the rating on the Credit Mutuel-CIC Home Loan SFH (CM-CIC
SFH) covered bond program and issuances under this program are unaffected by our
revision of the outlook on the program's sponsor bank, Banque Federative du
Credit Mutuel (BFCM), to negative from stable on Oct. 25, 2012. 

The rating and outlook on the rating on CM-CIC SFH are unaffected because of 
the application of our covered bonds methodology. In accordance with this 
methodology, we use the long-term issuer credit rating (ICR) on the sponsor 
bank, BFCM, to determine the rating on the covered bond program (see "Revised 
Methodology And Assumptions For Assessing Asset-Liability Mismatch Risk In 
Covered Bonds," published Dec. 16, 2009). We then calculate the maximum 
potential rating on the covered bond program by raising the ICR on the sponsor 
bank by an appropriate number of notches. We derive the appropriate number of 
notches from a combination of the asset-liability maturity mismatch (ALMM) 
risk classification and the program categorization (see table 4 of the 
aforementioned 2009 ALMM risk criteria). CM-CIC SFH benefits from six notches 
of uplift above the 'A+' ICR on BFCM, and would only need four notches of 
uplift to reach a 'AAA' rating.

If the number of available notches of uplift exceeds the number of notches of 
uplift needed to reach a 'AAA' rating, the unused notches provide a cushion 
against any downgrade of the sponsor bank. If the number of available notches 
is equal to the number of notches of uplift needed to reach a 'AAA' rating, we 
typically revise the outlook on the covered bond program to reflect the 
outlook on the sponsor bank. This is because a further downgrade of the bank 
would automatically result in a downgrade of the covered bonds.

The CM-CIC SFH covered bond program benefits from two unused notches of 
uplift, and therefore the rating and stable outlook on the program are 
unaffected by the revision of the outlook on BFCM.

RELATED CRITERIA AND RESEARCH
     -- Various Rating Actions Taken On French Banks Due To Rising Economic 
Risks, Oct. 25, 2012
     -- Covered Bond Ratings Framework: Methodology And Assumptions, June 26, 
2012
     -- Revised Methodology And Assumptions For Assessing Asset-Liability 
Mismatch Risk In Covered Bonds, Dec. 16, 2009

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