DBRS Assigns Provisional Ratings to Chesapeake Funding II LLC, Series 2016-2

DBRS, Inc. (DBRS) has today assigned provisional ratings to the following classes issued by Chesapeake Funding II LLC, Series 2016-2 (the Transaction):

-- Series 2016-2, Class A-1* rated AAA (sf)
-- Series 2016-2, Class A-2* rated AAA (sf)
-- $14,140,000 Series 2016-2, Class B rated AA (sf)
-- $11,570,000 Series 2016-2, Class C rated A (sf)
-- $11,570,000 Series 2016-2, Class D rated BBB (sf)

• Aggregate Class A will be $462,720,000.

The ratings are based on a review by DBRS of the following analytical considerations:
(1) Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.
-- Credit enhancement levels are sufficient to support DBRS stressed loss assumptions under various stress scenarios.
-- The yield supplement account is established to supplement the yield from any lease that does not meet a minimum yield requirement.
(2) The ability of the Transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. The rating addresses the payment of timely interest on a monthly basis and principal by the legal final maturity date.
(3) Element Vehicle Management Services Group, LLC (Element VMS Group) capabilities with regard to originations, underwriting and servicing.
(4) DBRS has performed an operational review of Element VMS Group and considers the company to be an acceptable originator and servicer.
(5) The high credit quality and historical performance of the collateral.
(6) The leased vehicles are essential-use vehicles for customers; therefore, such leases are likely to be affirmed by an obligor in a bankruptcy proceeding.
(7) These leases are hell-or-high water and triple net with:
-- No setoff language and
-- Lessee responsible for all taxes/expenses.
(8) The legal structure and presence of legal opinions that address the true sale of the assets, the non-consolidation of the Issuer with Element VMS Group, the Issuer’s valid first-priority security interest in the assets and the consistency with the DBRS “Legal Criteria for U.S. Structured Finance” methodology.

Series 2016-2 represents the second term ABS transaction issued by Chesapeake Funding II LLC, a new master trust-like platform established in December 2015 in connection with Element Financial Corporation’s acquisition of the U.S. fleet leasing and management services business of General Electric Capital Corporation (GECC). Element VMS Group is a subsidiary of Element.

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

The applicable methodology is Rating U.S. Auto Fleet Lease Securitizations, which can be found on our website under Methodologies.

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

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

The full report providing additional analytical detail is available by clicking on the link or by contacting us at info@dbrs.com.