DBRS Morningstar Confirms Ratings of the Series 2012-3 Notes Issued by LStreet II, LLC

DBRS, Inc. (DBRS Morningstar) confirmed the ratings on the Series 2012-3 Class A-1 Notes, Series 2012-3 Class A-2 Notes, Series 2012-3 Class A-3 Notes, Series 2012-3 Class A-4 Notes, Series 2012-3 Class A-5 Notes and Series 2012-3 Class A-6 Notes (collectively, the Class A Notes) issued by LStreet II, LLC at AA (sf).

The Class A Notes are collateralized by the Class A-1LT-a and the Class A-1LT-b1 Notes of Duke Funding High Grade I, Ltd., which is itself collateralized by a pool of sub-prime, agency and Alt-A residential mortgage-backed securities and commercial mortgage-backed securities.

The ratings address (1) the likelihood of the Series 2012-3 Class A Noteholders receiving all principal distributions to which such Noteholders are entitled and (2) the likelihood of the Series 2012-3 Class A Noteholders receiving the amount of Series 2012-3 Class A Interest to which such Noteholders are entitled in each case, to the extent payable to the Class A Notes in accordance with the priorities of payment outlined in the Amended and Restated Series 2012-3 Supplement to the Base Indenture on or before the Final Maturity Date in January 2045.

For the avoidance of doubt, the above DBRS Morningstar ratings address the ultimate payment of the Series 2012-3 Class A-1 Principal, Series 2012-3 Class A-2 Principal, Series 2012-3 Class A-3 Principal, Series 2012-3 Class A-4 Principal, Series 2012-3 Class A-5 Principal and Series 2012-3 Class A-6 Principal (initial par of $410,000,000 as of October 25, 2012; $156,000,000 as of September 20, 2013; $85,000,000 as of November 6, 2014; $130,000,000 as of November 16, 2015; $172,500,000 as of April 6, 2017; and $50,000,000 as of November 30, 2017, respectively) and the timely payment of the Series 2012-3 Class A-1 Interest, the Series 2012-3 Class A-2 Interest, the Series 2012-3 Class A-3 Interest, the Series 2012-3 Class A-4 Interest, the Series 2012-3 Class A-5 Interest and the Series 2012-3 Class A-6 Interest (three-month LIBOR plus 0.36% per annum for all the Class A Notes).

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

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

The principal methodology is Rating Structured Finance CDO Restructurings, which can be found on dbrs.com under Methodologies & Criteria.

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.dbrs.com or contact us at info@dbrs.com.

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