DBRS Morningstar Discontinues Its Ratings on the Series 2012-7 Notes Issued by LStreet II, LLC

DBRS, Inc. (DBRS Morningstar) discontinued its ratings on each of the Series 2012-7 Class A-1 Notes, Series 2012-7 Class A-2 Notes, Series 2012-7 Class A-3 Notes, Series 2012-7 Class A-4 Notes, Series 2012-7 Class A-5 Notes, and Series 2012-7 Class A-6 Notes (collectively, the Series 2012-7 Class A Notes), issued by LStreet II, LLC (the Issuer) pursuant to the Fifth Amended and Restated Series 2012-7 Supplement dated as of April 14, 2020, which was entered into between LStreet II, LLC as Issuer and Deutsche Bank Trust Company Americas as Trustee.

RATING RATIONALE

The rating action is the result of the full repayment of principal and interest of the Series 2012-7 Class A Notes. The DBRS Morningstar ratings did not address any other amounts that may be paid to the Class A Noteholders, including, but not limited to, the Series 2012-7 Class A-1 Additional Amount, the Series 2012-7 Class A-2 Additional Amount, the Series 2012-7 Class A-3 Additional Amount, the Series 2012-7 Class A-4 Additional Amount, the Series 2012-7 Class A-5 Additional Amount, or the Series 2012-7 Class A-6 Additional Amount.

The Series 2012-7 Class A Notes were collateralized by the Class A-1 Notes of Jupiter High-Grade CDO II, Ltd., which is itself collateralized by a pool of subprime and Alt-A residential mortgage-backed securities and commercial mortgage-backed securities.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2022 Update,” published on September 19, 2022 (https://www.dbrsmorningstar.com/research/402907/). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

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.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

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.

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

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