...Rating Rationale: The `AAA' rating on Canadian Imperial Bank of Commerce's (CIBC) registered mortgage covered bonds is based on CIBC's long-term issuer default rating (IDR) of `AA-', the unchanged discontinuity cap (D¡Cap) of 3 (moderate-high risk), and the program's contractual asset percentage (AP) of 92.4%, which is below the 93.0% `AAA' breakeven AP, corresponding to a 7.5% `AAA' breakeven overcollateralization (OC), supporting Fitch's rating. There is no IDR uplift as Canada has not adopted bail-in legislation to date. Credit Risk Drives OC: Fitch's breakeven OC declined to 7.5% from 8.2% since the initial ratings were assigned due to the improvement in the credit profile of the cover pool. However, the credit losses (7.9%) remain the primary contributor to the breakeven OC followed by the asset disposal loss of 3.6% due to the refinancing spreads applied to asset sales. The cash flow valuation component leads to a lower `AAA' breakeven OC by 1.6% due to the short tenors of the mortgages...
