DBRS Morningstar Upgrades Ratings on the Series 2012-11 Notes Issued by LStreet II, LLC

DBRS, Inc. (DBRS Morningstar) upgraded to AA (high) (sf) from AA (sf) the ratings on the Series 2012-11 Class A-1 Notes, Series 2012-11 Class A-2 Notes, Series 2012-11 Class A-3 Notes, Series 2012-11 Class A-4 Notes, Series 2012-11 Class A-5 Notes, Series 2012-11 Class A-6 Notes, and Series 2012-11 Class A-7 Notes (collectively, the Class A Notes) issued by LStreet II, LLC pursuant to the Sixth Amended and Restated Series 2012-11 Supplement (the Amendment) dated as of March 23, 2020, entered into between LStreet II, LLC as the Issuer and Deutsche Bank Trust Companies Americas as the Trustee.

The Class A Notes are collateralized by the Class A-1V, the Class A-1NVA, and the Class A-1NVB Notes of Broderick CDO 1, Ltd., which is itself collateralized by a pool of subprime and Alt-A residential mortgage-backed securities and commercial mortgage-backed securities.

The ratings address (1) the likelihood of the Series 2012-11 Class A noteholders receiving all principal distributions, which such noteholders are entitled to; and (2) the likelihood of the Series 2012-11 Class A noteholders receiving the amount of the Series 2012-11 Class A Interest, which such noteholders are entitled in each case, to the extent payable to the Series 2012-11 Class A Notes in accordance with the priorities of payment outlined in the Amended and Restated Series 2012-11 Supplement to the Base Indenture on or before the Final Maturity Date in January 2043.

For the avoidance of doubt, these DBRS Morningstar ratings address the ultimate payment of the Series 2012-11 Class A-1 Principal, Series 2012-11 Class A-2 Principal, Series 2012-11 Class A-3 Principal, Series 2012-11 Class A-4 Principal, Series 2012-11 Class A-5 Principal, Series 2012-11 Class A-6 Principal, and Series 2012-11 Class A-7 Principal (initial par amounts of $130,000,000 as of November 29, 2012; $50,000,000 as of September 12, 2013; $45,000,000 as of November 12, 2014; $49,000,0000 as of February 9, 2016; $58,000,000 as of April 24, 2017; $26,000,000 as of December 6, 2017; and $11,700,000 as of March 20, 2020, respectively) and the timely payment of the Series 2012-11 Class A-1 Interest, Series 2012-11 Class A-2 Interest, Series 2012-11 Class A-3 Interest, Series 2012-11 Class A-4 Interest, Series 2012-11 Class A-5 Interest, Series 2012-11 Class A-6 Interest, and the Series 2012-11 Class A-7 Interest (three-month Libor plus 0.27% per annum for all Series 2012-11 Class A Notes).

The DBRS Morningstar ratings do not address any other amounts that may be paid to the Class A noteholders, including, but not limited to, the Series 2012-11 Class A-1 Additional Amount, Series 2012-11 Class A-2 Additional Amount, Series 2012-11 Class A-3 Additional Amount, Series 2012-11 Class A-4 Additional Amount, Series 2012-11 Class A-5 Additional Amount, Series 2012-11 Class A-6 Additional Amount, or Series 2012-11 Class A-7 Additional Amount.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the Coronavirus Disease (COVID-19), please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19)” at https://www.dbrsmorningstar.com/research/361112.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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

The principal methodologies are Rating Structured Finance CDO Restructurings (November 12, 2020) and Cash Flow Assumptions for Corporate Credit Securitizations (January 26, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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