(The following statement was released by the rating agency)LONDON, June 06 (Fitch) Fitch Ratings has affirmed CM-CIC Home Loan SFH's (CM-CIC HL SFH) EUR21.4bn covered bonds at 'AAA' with a Stable Outlook.The affirmation follows the annual review of the programme, which resulted in an increase of the breakeven asset percentage (AP) for the 'AAA' rating to 86.5% from 83.6%. The 74.9% AP committed by the issuer also ensures a 'AAA' rating on a probability of default basis (PD).The issuer is a subsidiary of Banque Federative du Credit Mutuel (BFCM, A+/Stable/F1), which acts as the main debtor of recourse. The Stable Outlook on the covered bonds reflects the Stable Outlook on BFCM's IDR and the Stable Outlook on the French residential assets.KEY RATING DRIVERSThe rating analysis factors in BFCM's 'A+' IDR, a Discontinuity-Cap (D-Cap) of 3 (moderate high), an IDR uplift of 2 and the AP Fitch relies upon of 74.9%.The increase of the programme's breakeven AP stems from (i) a rating floor at 'AA' following the assignment of a two-notch IDR uplift (see "Fitch Affirms French Covered Bonds on Criteria Amendments", dated 28 March 2014) as a result of which the programme can reach a 'AAA' rating based on recoveries above 91% in this rating scenario; and (ii) Fitch's updated approach to modelling recoveries given default. Notably, the agency only applies half of its usual refinancing spreads for a given rating scenario in its recovery calculation.The D-Cap does not currently drive the 'AAA' rating as a result of the IDR uplift. The D-Cap is unchanged and remains driven by the liquidity gaps and systemic risk. The risk assessment of the asset segregation component has been revised to low from very low.The two-notch IDR uplift follows the approval of the BRRD and reflects (i) Fitch's view that Group CM11-CIC would be resolved by other means than liquidation should it default; (ii) the importance of covered bonds to the French financial markets; and (iii) Group CM11-CIC's senior unsecured debt, which protects covered bond holders in the event of a bail-in.RATING SENSITIVITIESCM-CIC HL SFH's rating is vulnerable to a downgrade if any of the following occurs: (i) BFCM's IDR is downgraded to 'BBB' or below; (ii) the sum of the IDR uplift and the D-Cap falls to one or below; (iii) the AP Fitch relies upon increases above the 'AAA' breakeven level of 86.5%.Contact:Primary AnalystStanislas de BazelaireAnalyst+44 20 3530 1648Fitch Ratings Limited30 North ColonnadeLondon E14 5GNSecondary AnalystFrancois-Xavier Deucher, CFADirector+33 1 44 29 92 72Committee ChairpersonEmmanuelle RicordeauSenior Director+33 1 44 29 91 48Media Relations: Christian Giesen, Frankfurt am Main, Tel: +49 69 768076 232, Email: christian.giesen@fitchratings.com.Additional information is available at 
  www.fitchratings.com.
  Applicable criteria, 'Covered Bonds Rating Criteria', dated 10 March 2014; 'Counterparty Criteria for Structured Finance and Covered Bonds' and 'Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum', both dated 14 May 2014; 'EMEA RMBS Master Rating Criteria', dated 28 May 2014; 'EMEA Residential Mortgage Loss Criteria', dated 28 May 2014; 'Criteria Addendum: France - Residential Mortgage Loss and Cash Flow Assumptions', dated 4 June 2014; 'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds', dated 23 January 2014; 'Covered Bonds Rating Criteria - Mortgage Liquidity and Refinancing Stress Addendum', dated 4 February 2014, are available at 
  www.fitchratings.com.
 Applicable Criteria and Related Research: Covered Bonds Rating Criteria
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=738975
 Counterparty Criteria for Structured Finance and Covered Bonds
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
 Counterparty Criteria for Structured Finance and Covered Bonds: Derivative Addendum
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744175
 EMEA RMBS Master Rating Criteria
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749271
 EMEA Residential Mortgage Loss Criteria
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=749272
 EMEA Criteria Addendum ?? France
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=710134
 Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=725537
 Covered Bonds Rating Criteria - Mortgage Liquidity and Refinance Stress Addendum
  http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=709665
 Additional Disclosure Solicitation Status 
  http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=833390
 ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.