DBRS Morningstar Takes Rating Actions on Chesapeake Funding II LLC

DBRS, Inc. (DBRS Morningstar) confirmed 40 ratings on Chesapeake Funding II LLC as follows:

Series 2017-3, Class A-1 Notes Confirmed at AAA (sf)
Series 2017-3, Class A-2 Notes Confirmed at AAA (sf)
Series 2017-3, Class B Notes Confirmed at AA (sf)
Series 2017-3, Class C Notes Confirmed at A (sf)
Series 2017-3, Class D Notes Confirmed at BBB (sf)
Series 2017-4, Class A-1 Notes Confirmed at AAA (sf)
Series 2017-4, Class A-2 Notes Confirmed at AAA (sf)
Series 2017-4, Class B Notes Confirmed at AA (sf)
Series 2017-4, Class C Notes Confirmed at A (sf)
Series 2017-4, Class D Notes Confirmed at BBB (sf)
Series 2018-1, Class A-1 Notes Confirmed at AAA (sf)
Series 2018-1, Class A-2 Notes Confirmed at AAA (sf)
Series 2018-1, Class B Notes Confirmed at AA (sf)
Series 2018-1, Class C Notes Confirmed at A (sf)
Series 2018-1, Class D Notes Confirmed at BBB (sf)
Series 2018-2, Class A-1 Notes Confirmed at AAA (sf)
Series 2018-2, Class A-2 Notes Confirmed at AAA (sf)
Series 2018-2, Class B Notes Confirmed at AA (sf)
Series 2018-2, Class C Notes Confirmed at A (sf)
Series 2018-2, Class D Notes Confirmed at BBB (sf)
Series 2018-3, Class A-1 Notes Confirmed at AAA (sf)
Series 2018-3, Class A-2 Notes Confirmed at AAA (sf)
Series 2018-3, Class B Notes Confirmed at AA (sf)
Series 2018-3, Class C Notes Confirmed at A (sf)
Series 2018-3, Class D Notes Confirmed at BBB (sf)
Series 2019-1, Class A-1 Notes Confirmed at AAA (sf)
Series 2019-1, Class A-2 Notes Confirmed at AAA (sf)
Series 2019-1, Class B Notes Confirmed at AA (sf)
Series 2019-1, Class C Notes Confirmed at A (sf)
Series 2019-1, Class D Notes Confirmed at BBB (sf)
Series 2019-2, Class A-1 Notes Confirmed at AAA (sf)
Series 2019-2, Class A-2 Notes Confirmed at AAA (sf)
Series 2019-2, Class B Notes Confirmed at AA (sf)
Series 2019-2, Class C Notes Confirmed at A (sf)
Series 2019-2, Class D Notes Confirmed at BBB (sf)
Series 2020-1, Class A-1 Notes Confirmed at AAA (sf)
Series 2020-1, Class A-2 Notes Confirmed at AAA (sf)
Series 2020-1, Class B Notes Confirmed at AA (sf)
Series 2020-1, Class C Notes Confirmed at A (sf)
Series 2020-1, Class D Notes Confirmed at BBB (sf)

The rating actions are based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s set of macroeconomic scenarios for select economies related to the Coronavirus Disease (COVID-19), available in its commentary “Global Macroeconomic Scenarios: March 2021 Update,” published on March 17, 2021. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, that have been regularly updated. The scenarios were last updated on March 17, 2021, and are reflected in DBRS Morningstar’s rating analysis.

-- The assumptions consider the moderate macroeconomic scenario outlined in the commentary, with the moderate scenario serving as the primary anchor for current ratings. The moderate scenario factors in increasing success in containment during the first half of 2021, enabling the continued relaxation of restrictions.

-- The transaction’s capital structure and form and sufficiency of available credit enhancement.

-- The transaction parties’ capabilities with regard to origination, underwriting, and servicing.

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/373262.

Notes:
The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 27, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

For more information regarding the structured finance rating approach and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/359905.

The rated entity or its related entities did not 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.dbrsmorningstar.com or contact us at [email protected].

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