DBRS Downgrades and Assigns Rating to Series 2016-2 Notes Issued by LStreet II, LLC

DBRS, Inc. (DBRS) downgraded the rating of the Series 2016-2 Class A-1 Notes issued by LStreet II, LLC from AA (sf) to A (sf). DBRS has also assigned a new rating of A (sf) to the Series 2016-2 Class A-2 Notes (together, with the Series 2016-2 Class A-1 Notes, the Series 2016-2 Class A Notes) issued by LStreet II, LLC, pursuant to the Amended and Restated Series 2016-2 Supplement to the Base Indenture, dated as of November 29, 2017.

The Series 2016-2 Notes consist of the Series 2016-2 Class A-1 Notes, the Series 2016-2 Class A-2 Notes and the unrated Series 2016-2 Class B Deferrable Notes.

The Series 2016-2 Class A Notes are collateralized by the Class A-1LT-a and the Class A-1LT-b Notes of Davis Square Funding IV, Ltd., which is itself collateralized by a pool of subprime, Alt-A residential mortgage-backed securities and commercial mortgage-backed securities.

The ratings address (1) the likelihood of the Series 2016-2 Class A Noteholders receiving all principal distributions to which such Noteholders are entitled and (2) the likelihood of the Series 2016-2 Class A Noteholders receiving the amount of Series 2016-2 Class A Interest to which such Noteholders are entitled in each case, to the extent payable to the Series 2016-2 Class A Notes in accordance with the priorities of payment outlined in the Amended and Restated Series 2016-2 Supplement to the Base Indenture on or before the Final Maturity Date in April 2040.

For the avoidance of doubt, the rating on the 2016-2 Class A Notes addresses the ultimate payment of Series 2016-2 Class A Principal and the timely payment of Series 2016-2 Class A Interest (three-month LIBOR plus 0.36% per annum). The DBRS ratings do not address any other amounts that may be paid to the Series 2016-2 Class A Noteholders, including but not limited to the Series 2016-2 Class A 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 our website under Methodologies.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The rated entity or its related entities did not participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

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