... Default Ratings (IDRs) and National Long- Term Rating are driven by its standalone strength, expressed in its Viability Rating (VR). The VR is underpinned by the bank's fairly strong franchise, moderate risk appetite, good asset quality, solid capital buffers and profitability, and stable deposit-based funding. However, it also reflects its exposure to risky Swiss franc mortgages and reliance on swaps to refinance them. Sound Loan Book Performance: The impaired loans ratio at Millennium remains modest and well below the sector average, supported by its conservative underwriting, low market interest rates and robust economic growth. The quality of the Swiss franc mortgages has held up well due to low rates, selective credit origination and a focus on urban areas. Sizeable Swiss Franc Mortgages: Swiss franc retail mortgages accounted for a high 38% of gross loans at end-1Q16. These are vulnerable to a potential sharp and prolonged weakening...
