DBRS Confirms Ratings of Alpine Securitization Corp.

DBRS, Inc. (DBRS) has confirmed the rating of R-1 (high) (sf) for the Commercial Paper (CP) issued by Alpine Securitization Corp. (Alpine), an asset-backed commercial paper (ABCP) vehicle administered by Credit Suisse, New York branch. In addition, DBRS has confirmed the ratings and revised the tranche sizes of the aggregate liquidity facilities (the Liquidity) provided to Alpine by Credit Suisse.

The $7,758,998,398 aggregate liquidity facilities are tranched as follows:

-- $7,448,166,715 rated AAA (sf)
-- $65,620,177 rated AA (sf)
-- $32,207,602 rated A (sf)
-- $52,140,469 rated BBB (sf)
-- $45,249,703 rated BB (sf)
-- $50,554,996 rated B (sf)
-- $65,058,736 unrated (sf)

The ratings are based on July 31, 2011 data.

The CP rating reflects the AAA credit quality of Alpine’s asset portfolio. The updated credit quality aspect of the CP rating is based on both the portfolio of assets and the available program-wide credit enhancement (PWCE). The rationale for the CP rating is based on the updated AAA credit quality assessment as well as DBRS’ prior and ongoing review of legal, operational and liquidity risks associated with Alpine’s overall risk profile.

The ratings assigned to the Liquidity reflect the credit quality of Alpine’s asset portfolio based on an analysis that assesses each transaction to a term standard. The tranching of the Liquidity reflects the credit risk of the portfolio at each rating level. The tranche sizes are expected to vary each month based on changes in portfolio composition.

For Alpine, both the CP and the Liquidity ratings use DBRS’ simulation methodology, which was developed to analyze diverse ABCP conduit portfolios. This analysis uses the DBRS CDO Toolbox simulation model, with adjustments to reflect the unique structure of an ABCP conduit and its underlying assets. DBRS determines attachment points for risk based on an analysis of the portfolio and models the portfolio based on key inputs such as asset ratings, asset tenors and recovery rates. The attachment points determine the portion of the exposure rated AAA, AA, A through B as well as unrated.

DBRS models the portfolio on an ongoing basis to reflect changes in Alpine’s portfolio composition and credit quality. The rating results are updated and posted on the DBRS website.

The principal methodology is the Asset-Backed Commercial Paper Criteria Report: U.S. & European ABCP Conduits, which can be found on our website under Methodologies.

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