DBRS Rates Vericrest Opportunity Loan Transferee 2009-PL1, LLC, Mortgage-Backed Notes, Series 2009-PL1

DBRS has today assigned the following ratings to the Mortgage-Backed Notes, Series 2009-PL1 issued by Vericrest Opportunity Loan Transferee 2009-PL1, LLC (the Trust).

-- $207.0 million rated at “A”

The “A” ratings in this transaction reflect the 60.00% of credit enhancement provided by overcollateralization and monthly excess interest. The ratings on the notes also reflect the quality of the underlying assets and the capabilities of Vericrest Financial, Inc. (Vericrest) as servicer. Wells Fargo Bank, N.A. will serve as trustee and The Bank of New York Mellon Trust Company, N.A. will serve as custodian.

Interest and principal payments collected from the mortgage loans will generally be distributed on the 25th of each month, commencing in November 2009. Interest then principal will be paid to the notes until the principal balance has been reduced to zero.

The Trust contains seasoned mortgage loans originated by the CIT Group. The loans are on average 32 months seasoned first-lien, fixed and adjustable rate subprime mortgages secured by one- to four-family residential properties. As of the cut-off date (September 30, 2009), the loans had an aggregate principal balance of approximately $517,554,395, a weighted-average (W.A.) mortgage coupon rate (WAC) of 6.53% and a W.A. updated FICO score of 571.

As of the cut-off date, 76.3% of the loans were current and 23.7% were 30-days delinquent under the MBA method. 48.2% of the pool had been modified. In its analysis, DBRS reviewed all modified loans in conjunction with modification dates and pay histories. To the extent that a modified loan has not demonstrated a consistently improved payment pattern for a minimum of one year, DBRS reverted its status back to delinquent when assessing the default frequencies. For example, a loan that was modified five months ago and was 60 days delinquent before modification will be treated as 60 days delinquent in determining default frequencies. In addition, depending on the severity of the pay histories, DBRS would apply the same methodology to non-modified loans with a derogatory pay history (that was subsequently cured) on a case-by-case basis.

The W.A. combined loan-to-value (CLTV) ratio at origination was 82.7%. DBRS calculated the current CLTV as 116.3%. In doing so, we first updated properties to their present value based on the original appraised value and loan seasoning using the Metropolitan Statistical Area (MSA) Case-Shiller home price indices. Then, we further stressed the appraised values to the MSA-level housing trough based on the Case-Shiller home price projections for the next 12 months.

In this transaction, Vericrest will not advance any principal and interest payments on delinquent mortgages to the securitization trust. This will likely result in lower loss severities to the bond holders because the advanced interest will not have to be reimbursed from the trust upon the liquidation of the mortgages. When performing cash flow analysis, DBRS approximated a delinquency curve by front-loading our standard loss timing vectors by an average of 18 months. Any principal and interest collections were shut off as soon as loans become delinquent, until they are liquidated. Given the amount of anticipated loan modifications, DBRS also ran various cash flow stresses assuming the collateral WAC may be reduced (“WAC deterioration”).

In addition, DBRS conducted a servicer review of Vericrest Financial, Inc.. The Clayton group performed a compliance due diligence on 100% of the mortgage loans as well as a credit due diligence on 5% of the loans.

Note:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodology is Rating U.S. Residential Mortgage-Backed Securities Transactions, which can be found on our website under Methodologies.

This is a Structured Finance rating.