...Standalone Strength Drives Ratings: Bank Millennium's Issuer Default Ratings (IDRs) and National Long-Term Rating are driven by its standalone strength, as reflected in its Viability Rating (VR). The VR suffers from a large legacy Swiss franc mortgage exposure, which amplifies credit and liquidity risks and drags on Fitch Ratings' assessment of the bank's capitalisation. The VR is underpinned by Millennium's moderate risk appetite, stable asset quality, stable funding, solid capital ratios and well-established domestic market franchise. Legacy Exposure to Swiss Franc Mortgages: The sizeable Swiss franc mortgages (about 38% of total loans at end-2016) have already seasoned and performed well. However, most have high loan/value ratios and could generate substantial credit losses in case of a strong and prolonged depreciation of the Polish zloty combined with a deteriorating operating environment. Moderate Risk Appetite: Millennium applies conservative underwriting standards, focusing on urbanised...
