TEXT-Fitch places CIF Euromortgage OFs on watch negative

June 25 - Fitch Ratings has placed CIF Euromortgage's outstanding
Obligations Foncieres (OF) on Rating Watch Negative (RWN), upon completion of
its review.

The RWN reflects Fitch's concerns that the current level of
overcollateralisation (OC) may not be sufficient to ensure full payments on the
OF in the event of an insolvency of the banking group under its 'AAA' stresses
assumptions. Notably, Fitch assumes that liquidity shortfalls between the cover
assets and the OF could be bridged by selling parts of the cover pool, made of
its internal RMBS' senior units (CIF Assets rated 'AAAsf') or residential
mortgages securing the issuer's other assets. The issuer may also try to use CIF
Assets' senior tranches as collateral in repo transactions with the European
Central Bank (ECB). Although asset and liability maturity mismatches for CIF
Euromortgage are relatively limited as compared to other covered bonds
programmes, the refinancing costs assumptions are the major driver of the OC
supporting the rating.

Given this sensitivity to refinancing assumptions and concerns over the cost of
entering into such repo agreements, the agency is reviewing its refinancing
spread assumptions and this is expected to have an impact on the current level
of OC supporting a AAA rating, which currently stands at 6.4%.

Fitch expects to resolve the RWN once it receives clarification over the cost of
entering into such repo agreements.

As of May 2012, the total cover pool amounted to EUR27.3bn and total outstanding
OF amounted to EUR25.65bn, resulting in an OC of 6.42%. The cover assets consist
of the senior 'AAA' tranches of CIF Assets (73.3%); 2.9% are invested in other
'AAA' rated European RMBS notes and 9.9% consists of one short-term promissory
note issued by Caisse Centrale du Credit Immobilier de France (3CIF, rated
'A'/'F1'/Stable). The remaining assets are substitution assets comprising loans
to 3CIF secured by residential loans originated by the group (4.2%) and
one-month certificate of deposit (9.7%) held with 3CIF.

The OF rating is further linked to the 'AAAsf' rating of CIF Assets' senior
units; should they be downgraded, the OF rating would be directly affected.

Additional information is available at www.fitchratings.com.

The ratings above were solicited by, or on behalf of, the issuer, and therefore,
Fitch has been compensated for the provision of the ratings.

Applicable criteria: 'Covered Bonds Rating Criteria', dated 30 May 2012;
'Covered Bonds Counterparty Criteria', dated 13 March 2012; 'EMEA Residential
Mortgage Loss Criteria', dated 16 August 2011; 'EMEA Criteria Addendum - France
- Mortgage Loss and Cash Flow Assumptions', dated 15 November 2011, are
available at www.fitchratings.com.

Applicable Criteria and Related Research:

Covered Bonds Rating Criteria
here

Exposure Draft: Covered Bonds Counterparty Criteria
here

EMEA Residential Mortgage Loss Criteria
here

EMEA Criteria Addendum - France
here

(New York Ratings Team)