...Ratings Driven by Intrinsic Profile: Grand Bills Finance Corporation's Issuer Default Ratings and National Ratings are driven by its standalone credit profile, reflected in its Viability Rating (VR). Its moderate market position in the Taiwanese bills finance sector, significant market-risk exposure, and heavy reliance on short-term repurchase agreements (repo) for funding are key risk drivers. Mitigants include its above-peer reserves for its commercial paper (CP) guarantees, adequate credit quality of its investments, and sound capitalisation. Large Exposure to Market Risk: Grand's market risks from its investments in bonds and bills remained the highest among bills finance companies in Taiwan at end-2020, and were 38% of risk-weighted assets. The exposure is significantly higher than the generally below 10% at local banks. A rise in bond yields will reduce Grand's bond investment valuation gain more than most other rated bills finance companies due mainly to its longer bond duration....
