DBRS Confirms Ratings of Alpine Securitization Corp.

DBRS has today confirmed the rating of R-1 (high) 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 (Liquidity) provided to Alpine by Credit Suisse. Initial ratings were assigned on March 30, 2007. The ratings confirmed on July 31, 2007, are as follows:

-- Commercial Paper rated R-1 (high)

The $12,276,302,111 Aggregate Liquidity Facilities are tranched as follows:

-- $11,930,295,763 rated AAA
-- $105,707,555 rated AA
-- $42,499,330 rated A
-- $112,987,402 rated BBB
-- $59,366,601 rated BB
-- $24,226,483 rated B
-- $1,218,977 unrated

Ratings are based on May 30, 2007 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 CP rating is also based on the rating of the Liquidity provider, Credit Suisse, rated R-1 (high).

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. The tranche sizes are expected to vary each month based on changes in portfolio composition.

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 attachment 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.