TEXT-Fitch ups 1 and affirms 16 Challenger RMBS tranches

(The following statement was released by the rating agency)

Aug 03 - Fitch Ratings has today upgraded 1 class of notes and affirmed 16 classes of notes issued by 5 Challenger RMBS Series - Challenger Millennium Series 2007-1E Trust (Challenger 2007-1E), Challenger Millennium Series 2007-2L Trust (Challenger 2007-2L), Challenger Millennium Series 2008-1 Trust (Challenger 2008-1), Challenger Millennium Series 2009-1 Trust (Challenger 2008-2), and Challenger Millennium Series 2009-1 Trust (Challenger 2009-1).

These transactions are backed by pools of Australian conforming residential mortgages originated through a network of mortgage originators and brokers under the Challenger Millennium Trust Securitisation programmes. The full list of rating actions can be found at the end of this commentary.

The affirmations reflect Fitch's view that the available credit enhancement is able to support the notes at their current rating levels. The upgrade of the Challenger 2008-2 Class AB notes reflects the build up of credit enhancement and the improvement of the credit quality and performance of loans in the portfolio.

Challenger 2007-1E, Challenger 2008-1, Challenger 2008-2 and Challenger 2009-1 each contain less than 11% low-doc loans. As at 31 May 2012, 30+ day arrears were 1.69%, 0.31%, 0.69% and 0.69% respectively. Fitch's Dinkum Index, which measures industry wide 30+ day arrears performance, was 1.6% as at end March 2012.

Challenger 2007-2L has underlying mortgage pools comprised of 89.3% low-doc loans. The 30+ day arrears in the pools as at 31 May 2012 was 3.62% compared to Fitch's 30+ Day Low-doc Dinkum Index of 5.7% as at end March 2012.

All transactions have mortgage insurance in place, with policies provided by QBE Lenders Mortgage Insurance Ltd (Insurer Financial Strength Rating: 'AA-'/Outlook Stable) and Genworth Financial Mortgage Insurance Pty Ltd. To date, all losses not covered by the mortgage insurers have been covered by Challenger Mortgage Management Pty Ltd as residual unit holder.

Challenger 2007-1E:

USD208.9m Class A2A (ISIN XS0280784637) affirmed at 'AAAsf'; Outlook Stable;

GBP129.2m Class A2B (ISIN XS0280786335) affirmed at 'AAAsf'; Outlook Stable;

EUR31.0m Class AB (ISIN XS0280787226) affirmed at 'AAAsf'; Outlook Stable; and

EUR32.5m Class B (ISIN XS0280788976) affirmed at 'Bsf'; Outlook Stable.

Challenger 2007-2L:

AUD236.6m Class A (ISIN AU0000CHUHA5) affirmed at 'AAAsf'; Outlook Stable;

AUD19.6m Class AB (ISIN AU0000CHUHB3) affirmed at 'AAAsf'; Outlook Stable; and

AUD14.9m Class B (ISIN AU0000CHUHC1) affirmed at 'Bsf'; Outlook Stable.

Challenger 2008-1:

AUD199.5m Class A (ISIN AU0000CHSHA9) affirmed at 'AAAsf'; Outlook Stable;

AUD13.0m Class AB (ISIN AU0000CHSHB7) affirmed at 'AAAsf'; Outlook Stable; and

AUD5.8m Class B (ISIN AU0000CHSHC5) ') affirmed at 'A+sf'; Outlook Stable.

Challenger 2008-2:

AUD402.7m Class A (ISIN AU0000CLGHA6) affirmed at 'AAAsf'; Outlook Stable;

AUD19.0m Class AB (ISIN AU0000CLGHB4) upgraded to 'AAAsf'; from 'AA+sf'; Outlook Stable; and

AUD14.1m Class B (ISIN AU0000CLGHC2) affirmed at 'A+sf', Outlook Stable.

Challenger 2009-1:

AUD24.6m Class A3 (ISIN AU0000CLJHC6) affirmed at 'AAAsf'; Outlook Stable;

AUD289.0m Class A4 (ISIN AU0000CLJHF9) affirmed at 'AAAsf'; Outlook Stable;

AUD20.3m Class AB (ISIN AU0000CLJHD4) affirmed at 'AAAsf'; Outlook Stable; and

AUD20.3m Class B (ISIN AU0000CLJHE2) affirmed at 'Bsf'; Outlook Stable.