DBRS Morningstar Confirms Ratings of the Series 2012-13 Notes Issued by LStreet II, LLC

DBRS, Inc. (DBRS Morningstar) confirmed the ratings of the Series 2012-13 Class A-1 Notes, Series 2012-13 Class A-2 Notes, Series 2012-13 Class A-3 Notes, and Series 2012-13 Class A-4 Notes (collectively, the Class A Notes) issued by LStreet II, LLC at AA (high) (sf).

The Class A Notes are collateralized by the Class A Notes of Toro ABS CDO I, Ltd., which is itself collateralized by a pool of subprime and Alt-A residential mortgage-backed securities.

The ratings address (1) the likelihood of the Series 2012-13 Class A noteholders receiving all principal distributions, which such noteholders are entitled to, and (2) the likelihood of the Series 2012-13 Class A noteholders receiving the amount of the Series 2012-13 Class A Interest, which such noteholders are entitled to in each case, to the extent payable to the Series 2012-13 Class A Notes in accordance with the priorities of payment outlined in the Amended and Restated Series 2012-13 Supplement to the Base Indenture on or before the Final Maturity Date in February 2042.

For the avoidance of doubt, these DBRS Morningstar ratings address the ultimate payment of the Series 2012-13 Class A-1 Principal, Series 2012-13 Class A-2 Principal, Series 2012-13 Class A-3 Principal, and 2012-13 Class A-4 Principal (initial par of $155 million as of December 6, 2012; $91.5 million as of October 10, 2013; $60 million as of December 4, 2014; and $24 million as of January 21, 2016), and the timely payment of the Series 2012-13 Class A-1 Interest, Series 2012-13 Class A-2 Interest, Series 2012-13 Class A-3 Interest, and Series 2012-13 Class A-4 Interest (three-month Libor plus 0.25% per annum for all Series 2012-13 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 2012-13 Class A-1 Additional Amount, Series 2012-13 Class A-2 Additional Amount, Series 2012-13 Class A-3 Additional Amount, or Series 2012-13 Class A-4 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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