TEXT-Ftch affirms CIBC mortgage covered bonds at 'AAA'

Aug 2 - Fitch Ratings has affirmed the 'AAA' ratings of Canadian Imperial
Bank of Commerce's (CIBC, rated 'AA-'/Stable/'F1+') CAD-equivalent 13.6 billion
outstanding mortgage covered bonds. The bonds are guaranteed by CIBC Covered
Bond Guarantor LP, a limited liability partnership established for the program
with restricted permitted activities.

The ratings are based on CIBC's Long-term Issuer Default Rating (IDR) of 'AA-'
and a Discontinuity Factor (D-Factor) of 24.9%, the combination of which enables
the covered bond to be rated as high as 'AA+' on a probability of default (PD)
and 'AAA' when factoring recoveries from the cover pool given a default under
the covered bonds. The program's contractual maximum asset percentage (AP) of
92.7% is within the Fitch supporting AP of 95% commensurate with an 'AAA' stress
scenario (on a recovery basis). The supporting AP level for a given rating will
be affected, among others, by the profile of the cover assets relative to
outstanding covered bonds, which can change over time, even in the absence of
new issuances.

CIBC's covered bond rating could still be maintained at 'AAA' if the issuer was
rated as low as 'A-', all else being equal.

As of April 30, 2012, approximately CAD3.9 billion, equating to roughly 20.5% of
the total cover pool, consisted of National Housing Act mortgage-backed
securities (NHA-MBS). The NHA-MBS carry a guarantee of timely payment of
interest and principal on the securities from CMHC and as of April 30, 2012,
were backed by 14 pools of CIBC-originated, domestic residential mortgages,
which are also insured against borrower default by CMHC. Due to the guarantee
from CMHC, which is fully backed by the 'AAA' rated Canadian sovereign, Fitch
assumes that the securities are linked to the sovereign rating and therefore
would not currently default in an 'AAA' scenario.

As of April 30, 2012, the mortgage loan portion of the cover pool, comprising
approximately 79.5% of the total cover pool, consisted of 83,086 first-lien,
CMHC-insured residential mortgage loans totaling CAD15.1 billion with a
weighted-average (WA) original LTV of 70% (as calculated by Fitch). In an 'AAA'
scenario, Fitch has calculated a cumulative weighted-average frequency of
foreclosure (WAFF) of 13.3% and a weighted-average recovery rate (WARR) of
96.5%, which reflects the benefit of the CMHC insurance on the loans. As a
deviation from Fitch's 'Resilogic: U.S. Residential Mortgage Loss Model
Criteria', dated Aug. 12, 2011, seasoning credit was not applied to the mortgage
loans due to the country's rapid home price growth and potential for a price
correction.

It is also noted that as a deviation to the 'Covered Bonds Rating Criteria',
dated May 30, 2012, a biennial on-site review of the issuer was not conducted in
connection with this program. Fitch determined that an onsite review in
connection with the existing program would not be necessary at this time,
because the program is in wind-down and assets are expected to only be added for
maintaining OC levels. Fitch expects to conduct a full review in late 2012/early
2013 when the covered bond registry is in effect as part of the recently enacted
covered bond legislation. In addition, Fitch has taken into account the tight
underwriting guidelines put in place by the Department of Finance Canada with
respect to CMHC-insured mortgages as well as CMHC's on-going oversight of
approved lenders.

If CMHC lost the full backing of the Government of Canada, or if the Government
of Canada's rating suffered a downgrade, Fitch would revise the credit given to
the CMHC guarantee on the NHA-MBS as well as to the insurance provided by CMHC
on the mortgage loan portion of the cover pool. This could lead to weaker
liquidity assumed for both the NHA-MBS and the mortgage assets (together the
cover assets) as well as higher credit risk expectations for the cover assets.
As a result, the D-Factor would likely increase and the AP supporting the
current covered bonds rating would likely decrease.

The weighted average life (WAL) of the assets in the cover pool is approximately
2.8 years, compared to the WAL of three years for the covered bonds. The assets
are variable rate, CAD-denominated, whereas the bonds are fixed rate and
denominated in multiple currencies including USD, AUD and CHF. Interest rate and
currency risks on the covered bonds are hedged via swaps with CIBC as
counterparty with collateral posting and replacement provisions in line with
Fitch criteria.

The rating action also incorporates the revision of refinancing spread
assumptions, which are used to estimate the stressed sale price for the cover
pool that an alternative manager would liquidate in the aftermath of an issuer
default. The net present value (NPV) of cover pools is determined by discounting
the value of the assets at a rate reflective of the revised refinancing spreads.
The NPV of the assets is consistent with previous assumptions given the credit
loss protection on the assets provided by the CMHC insurance which insulates a
potential buyer from increasing stress in the housing market.

Fitch has published an exposure draft outlining a number of enhancements to its
criteria for rating covered bonds (see 'Fitch: Exposure Draft: Global Covered
Bonds Rating Criteria' dated May 30, 2012 at 'www.fitchratings.com'). If
implemented as proposed, it is not expected that the criteria changes would
impact the rating of the covered bonds.

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 and Related Research:
--'Covered Bonds Rating Criteria' (May 30, 2012);
--'Covered Bonds Counterparty Criteria' (July 25, 2012);
--'Resilogic: U.S. Residential Mortgage Loss Model Criteria' (Aug. 12, 2011).

Applicable Criteria and Related Research:
Covered Bonds Rating Criteria
Covered Bonds Counterparty Criteria
ResiLogic: U.S. Residential Mortgage Loss Model Criteria