DBRS Rates ABCP and Portfolio of Alpine Securitization Corp.

DBRS has assigned a rating of R-1 (high) to the Commercial Paper issued by Alpine Securitization Corp. (Alpine), an asset-backed commercial paper (ABCP) vehicle administered by Credit Suisse, New York Branch. In addition, DBRS has assigned ratings to the liquidity facilities in aggregate (Liquidity) provided to Alpine by Credit Suisse. The ratings were assigned on March 30, 2007, and are as follows:

– Commercial Paper rated R-1 (high)

– $10,581,164,523 Aggregate Liquidity Facilities
– $9,956,705,803 rated AAA
– $276,892,860 rated AA
– $54,136,189 rated A
– $191,860,226 rated BBB
– $76,873,853 rated BB
– $23,671,283 rated B
– $1,024,309 unrated

Ratings are based on December 31, 2006, data.

The CP rating reflects the AAA credit quality of Alpine’s asset portfolio based on an analysis that (1) disregards credit support, if any, that may be provided by Liquidity and (2) takes into account credit support provided by the $1.1 billion program-wide credit enhancement (PWCE) in the form of a Cash Collateral Account. The rating also is based on the R-1 (high) rating of Credit Suisse, the provider of the Liquidity.

The ratings assigned to Liquidity reflect the credit quality of Alpine’s asset portfolio based on an analysis that (1) again disregards credit support, if any, that may be provided by Liquidity and (2) in contrast to the CP rating, does not take into account PWCE. The tranching of Liquidity reflects the credit risk of the portfolio at each rating level.

Both CP and Liquidity are rated in accordance with a simulation methodology developed by DBRS 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. Using this methodology, DBRS determines attachments points based on the credit quality of the assets (and together with PWCE in the case of the CP rating). DBRS models the portfolio based on key inputs such as asset credit quality, asset tenors, correlations and recovery rates.

Alpine is the first conduit rated with this methodology. DBRS expects that investors will benefit from the added transparency offered by this analysis.

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

DBRS Rating Scale
DBRS’s long-term rating scale includes three notches in any one whole rating category (except for AAA and D). For example, the AA rating category is represented by AA (high), AA and AA (low). The higher short-term rating categories also include three notches. For example, the R-1 category is represented by R-1 (high), R-1 (middle) and R-1 (low).

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