...Viability-Driven IDRs: Bank Millennium's IDRs are driven by its intrinsic strength, expressed in its Viability Rating (VR). The VR of `bbb-` is constrained by the bank's material (albeit declining) exposure to foreign-currency (FC) residential mortgages and substantial FC refinancing needs. The VR is underpinned by Millennium's modest risk appetite, sound asset quality, fairly strong market franchise, solid capitalisation and resilient performance. Sizeable FC Mortgage Portfolio: Millennium's loan book quality is vulnerable to a weakening of the Polish zloty due to its FC residential mortgages. The latter have been only gradually shrinking, to 40% of total gross loans at end-1Q15. However, the quality of the loans has held up well to date mostly due to selective credit origination and an urban geographical focus. High Swap Reliance: Millennium relies on swap instruments to refinance its FC mortgage book. In 2015 and 2016, it faces maturity of, respectively, 12% and 32% of its total currency...
