DBRS Confirms Ratings of Alpine Securitization Corp.

DBRS has today 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. Due to the receipt of new material information, DBRS has also confirmed the ratings and revised the tranche sizes of the aggregate liquidity facilities (the Liquidity) based on the June 30, 2013, reported portfolio provided by Credit Suisse, the administrator of Alpine.

The $8,647,467,575 aggregate liquidity facilities as of June 30, 2013, are tranched as follows:

-- $8,178,099,642 rated AAA (sf)
-- $76,768,575 rated AA (sf)
-- $68,975,363 rated A (sf)
-- $94,553,233 rated BBB (sf)
-- $110,267,943 rated BB (sf)
-- $48,818,923 rated B (sf)
-- $69,983,896 unrated (sf)

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’s 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 tranche sizes are expected to vary each month based on reported changes in portfolio composition.

For Alpine, both the CP and the Liquidity ratings use DBRS’s simulation methodology, which was developed to analyze diverse ABCP conduit portfolios. This analysis uses the DBRS CLO Asset 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 and A through B, as well as unrated.

DBRS models the portfolio of the prior (lagged) month(s) 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 used is Asset-Backed Commercial Paper Criteria Report: U.S. & European ABCP Conduits, which can be found on our website under Methodologies, and private Rating Methodology for Liquidity and Program Wide Enhancement Ratings.

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

This rating is endorsed by DBRS Ratings Limited for use in the European Union.