Corporate Announcements

DBRS Morningstar Finalizes Its Provisional Ratings on CIG Auto Receivables Trust 2021-1


NOVEMBER 09, 2021

AUTO
DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes (the Notes) issued by CIG Auto Receivables Trust 2021-1 (CIGAR 2021-1):

— $105,810,000 Class A Notes rated AAA (sf)
— $16,280,000 Class B Notes rated AA (high) (sf)
— $8,140,000 Class C Notes rated AA (low) (sf)
— $23,990,000 Class D Notes rated BBB (sf)
— $11,140,000 Class E Notes rated BB (sf)

The ratings are based on DBRS Morningstar’s review of the following analytical considerations:
— Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement.

— Credit enhancement is provided in the form of subordination, OC, a fully funded reserve fund, and excess spread. Credit
enhancement levels are sufficient to support the DBRS Morningstar expected loss assumptions under various stress scenarios for the assigned ratings.

— The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the timely payment of interest on a monthly basis and payment of principal by the legal final maturity date.

— The CIG senior management team has considerable experience and a successful track record within the auto finance industry, having managed the company through multiple economic cycles.

— The capabilities of CIG Financial, LLC (CIG) with regard to originations, underwriting, and servicing.

— The quality and consistency of provided historical static pool data for CIG originations and performance of the CIG auto loan portfolio.

— DBRS Morningstar’s projected losses include the assessment of the impact of the Coronavirus Disease (COVID-19) pandemic.

While considerable uncertainty remains with respect to the intensity and duration of the shock, DBRS Morningstar-projected CNL includes an assessment of the expected impact on consumer behavior. The DBRS Morningstar CNL assumption is 11.55% based on the expected cut-off date pool composition.

— The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 2021. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. The baseline macroeconomic scenarios reflect the view that, although COVID-19 remains a risk to the outlook, uncertainty around the macroeconomic effects of the pandemic has gradually receded.
Current median forecasts considered in the baseline macroeconomic scenarios incorporate some risks associated with further outbreaks, but remain fairly positive on recovery prospects given expectations of continued fiscal and monetary policy support. The policy response to COVID-19 may nonetheless bring other risks to the forefront in the coming months and years.

— The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special purpose vehicle with CIG, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar “Legal Criteria for U.S. Structured Finance.”

The CIGAR 2021-1 transaction represents the fourth public term securitization of subprime auto loans and offers both senior and subordinate rated securities.

The rating on the Class A Note reflects the 39.25% of initial hard credit enhancement provided by the subordinated notes in the pool (34.75%), the Reserve Account (1.00%), and overcollateralization (3.50%). The ratings on the Class B, C, D, and E Notes reflect 29.75%, 25.00%, 11.00%, and 4.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure.

ESG CONSIDERATIONS

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:

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

The principal methodology is Rating U.S. Retail Auto Loan Securitizations (May 10, 2021), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: http://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 (212) 806 3277

Ratings

CIG Auto Receivables Trust 2021-1

Date Issued Debt Rated Action Rating Trend Attributes
09-Nov-21 Class A Notes Provis.- Final AAA (sf) -- US
09-Nov-21 Class B Notes Provis.- Final AA (high)(sf) -- US
09-Nov-21 Class C Notes Provis.- Final AA (low)(sf) -- US
09-Nov-21 Class D Notes Provis.- Final BBB (sf) -- US
09-Nov-21 Class E Notes Provis.- Final BB (sf) -- US

ALL DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS. ADDITIONAL INFORMATION REGARDING DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES AND METHODOLOGIES, ARE AVAILABLE ON https://www.dbrsmorningstar.com/.

Contacts

Chris O’Connell
Senior Vice President, US ABS – Global Structured Finance
+1 212 806 3253
christopher.oconnell@dbrsmorningstar.com

Stephanie Whited
Senior Vice President, US Operational Risk – Global Structured Finance
+1 347 226 1927
stephanie.whited@dbrsmorningstar.com

The DBRS Morningstar group of companies consists of DBRS, Inc. (Delaware, U.S.)(NRSRO, DRO affiliate); DBRS Limited (Ontario, Canada)(DRO, NRSRO affiliate); DBRS Ratings GmbH (Frankfurt, Germany)(EU CRA, NRSRO affiliate, DRO affiliate); and DBRS Ratings Limited (England and Wales)(UK CRA, NRSRO affiliate, DRO affiliate). For more information on regulatory registrations, recognitions and approvals of the DBRS Morningstar group of companies, please see: https://www.dbrsmorningstar.com/research/highlights.pdf.

The DBRS Morningstar group of companies are wholly-owned subsidiaries of Morningstar, Inc. © 2021 DBRS Morningstar. All Rights Reserved.

The information upon which DBRS Morningstar ratings and other types of credit opinions and reports are based is obtained by DBRS Morningstar from sources DBRS Morningstar believes to be reliable. DBRS Morningstar does not audit the information it receives in connection with the analytical process, and it does not and cannot independently verify that information in every instance. The extent of any factual investigation or independent verification depends on facts and circumstances. DBRS Morningstar ratings, other types of credit opinions, reports and any other information provided by DBRS Morningstar are provided “as is” and without representation or warranty of any kind. DBRS Morningstar hereby disclaims any representation or warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability, fitness for any particular purpose or non-infringement of any of such information. In no event shall DBRS Morningstar or its directors, officers, employees, independent contractors, agents and representatives (collectively, DBRS Morningstar Representatives) be liable (1) for any inaccuracy, delay, loss of data, interruption in service, error or omission or for any damages resulting therefrom, or (2) for any direct, indirect, incidental, special, compensatory or consequential damages arising from any use of ratings and rating reports or arising from any error (negligent or otherwise) or other circumstance or contingency within or outside the control of DBRS Morningstar or any DBRS Morningstar Representative, in connection with or related to obtaining, collecting, compiling, analyzing, interpreting, communicating, publishing or delivering any such information. No DBRS Morningstar entity is an investment advisor. DBRS Morningstar does not provide investment, financial or other advice. Ratings, other types of credit opinions, other analysis and research issued or published by DBRS Morningstar are, and must be construed solely as, statements of opinion and not statements of fact as to credit worthiness, investment, financial or other advice or recommendations to purchase, sell or hold any securities. A report with respect to a DBRS Morningstar rating or other credit opinion is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. DBRS Morningstar may receive compensation for its ratings and other credit opinions from, among https://www.dbrsmorningstar.com/disclaimer/ others, issuers, insurers, guarantors and/or underwriters of debt securities. DBRS Morningstar is not responsible for the content or operation of third party websites accessed through hypertext or other computer links and DBRS Morningstar shall have no liability to any person or entity for the use of such third party websites. This publication may not be reproduced, retransmitted or distributed in any form without the prior written consent of DBRS Morningstar. ALL DBRS MORNINGSTAR RATINGS AND OTHER TYPES OF CREDIT OPINIONS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AT https://www.dbrsmorningstar.com/about/disclaimer. ADDITIONAL INFORMATION REGARDING DBRS MORNINGSTAR RATINGS AND OTHER TYPES OF CREDIT OPINIONS, INCLUDING DEFINITIONS, POLICIES AND METHODOLOGIES, ARE AVAILABLE ON https://www.dbrsmorningstar.com. Users may, through hypertext or other computer links, gain access to websites operated by persons other than DBRS Morningstar. Such hyperlinks are provided for convenience only, and are the exclusive responsibility of the owners of such websites. DBRS Morningstar does not endorse the content, the operator or operations of third party websites. DBRS Morningstar is not responsible for the content or operation of such websites and DBRS Morningstar shall have no liability to you or any other person or entity for the use of third party websites.

Moody’s Investors Service

Rating Action: Moody’s upgrades auto loan ABS issued by CIG Auto Receivables Trust in 2019 and 2020


12 Nov 2021

Approximately $47 million of asset-backed securities affected

New York, November 12, 2021 — Moody’s Investors Service (“Moody’s”) has upgraded one class of notes issued by CIG Auto Receivables Trust 2019-1 (CIGAR 2019-1), and two classes of notes issued by CIG Auto Receivables Trust 2020-1 (CIGAR 2020-1). The notes are backed by a pool of retail automobile loan contracts originated by CIG Financial LLC (CIG; Unrated), which is also the servicer and sponsor for the transactions.

The complete rating actions are as follows:

Issuer: CIG Auto Receivables Trust 2019-1
Class D Notes, Upgraded to A3 (sf); previously on Jul 27, 2021 Upgraded to Baa1 (sf)

Issuer: CIG Auto Receivables Trust 2020-1
Class D Notes, Upgraded to Aa3 (sf); previously on Jul 27, 2021 Upgraded to A1 (sf)
Class E Notes, Upgraded to Ba1 (sf); previously on Apr 27, 2021 Upgraded to Ba2 (sf)

RATINGS RATIONALE

The upgrades are primarily driven by the buildup of credit enhancement due to structural features including a sequential pay structure, reserve account and overcollateralization as well as a reduction in our cumulative net loss expectations for the underlying pools.

Our lifetime cumulative net loss expectation is 10.5% for CIGAR 2019-1 and CIGAR 2020-1. The loss expectations reflect updated performance trends on the underlying pools. More recently US consumers have shown a high degree of resilience owing to the government stimulus and the relief options offered by servicers.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was “Moody’s Global Approach to Rating Auto Loan- and Lease-Backed ABS” published in September 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1264141 . Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody’s original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors’ promise of payment. The US job market and the market for used vehicles are also primary drivers of the transactions’ performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan.

Down

Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody’s original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors’ promise of payment. The US job market and the market for used vehicles are also primary drivers of the transactions’ performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud.

REGULATORY DISCLOSURES

For further specification of Moody’s key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody’s Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.

The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody’s estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.

Moody’s quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody’s weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider’s credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

These ratings are solicited. Please refer to Moody’s Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review. Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.

The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody’s office that issued the credit rating is available on www.moodys.com.

The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the UK and is endorsed by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody’s office that issued the credit rating is available on www.moodys.com.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody’s legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Natallia Birukova
Associate Lead Analyst
Structured Finance Group
Moody’s Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Jinwen Chen
VP – Sr Credit Officer/Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

Releasing Office:
Moody’s Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653

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Moody’s Investors Service

Rating Action: Moody’s assigns definitive ratings to CIG Auto Receivables Trust 2021-1 notes


09 Nov 2021

Approximately $165 million of asset-backed securities rated

New York, November 09, 2021 — Moody’s Investors Service (“Moody’s”) has assigned definitive ratings to the notes issued by CIG Auto Receivables Trust 2021-1 (CIGAR 2021-1). This is the first auto loan transaction of the year for CIG Financial, LLC (CIG; Unrated). The notes are backed by a pool of retail automobile loan contracts originated by CIG, who is also the servicer and administrator for the transaction.

The complete rating actions are as follows:

Issuer: CIG Auto Receivables Trust 2021-1

$105,810,000, 0.69%, Class A Notes, Definitive Rating Assigned Aaa (sf)
$16,280,000, 1.49%, Class B Notes, Definitive Rating Assigned Aa1 (sf)
$8,140,000, 1.79%, Class C Notes, Definitive Rating Assigned Aa3 (sf)
$23,990,000, 2.11%, Class D Notes, Definitive Rating Assigned Baa1 (sf)
$11,140,000, 4.45%, Class E Notes, Definitive Rating Assigned Ba3 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of CIG as servicer and administrator, and the presence of Wilmington Trust, National Association (long-term CR assessment A1(cr) negative) as named backup servicer.

Moody’s median cumulative net loss expectation for the 2021-1 pool is 12.0% and the loss at a Aaa stress is 45%. The expected loss is lower by 2 percentage points than our initial expected loss for CIGAR 2020-1, the last transaction that we rated. Moody’s based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of CIG to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction.

At closing, the Class A notes, Class B notes, Class C notes, Class D notes and Class E notes are expected to benefit from 39.25%, 29.75%, 25.00%, 11.00%, and 4.50%, of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination except for the Class E notes which do not benefit from subordination. The notes may also benefit from excess spread.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was “Moody’s Global Approach to Rating Auto Loan- and Lease-Backed ABS” published in September 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1264141. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Moody’s could upgrade the subordinated notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody’s expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor’s promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices.

Down

Moody’s could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody’s expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor’s promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud.

REGULATORY DISCLOSURES

For further specification of Moody’s key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody’s Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.

Further information on the representations and warranties and enforcement mechanisms available to investors are available on http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1308749.

The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody’s estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.

Moody’s quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody’s weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.

For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody’s rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider’s credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

These ratings are solicited. Please refer to Moody’s Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com.

Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.

Moody’s general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.

The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the EU and is endorsed by Moody’s Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody’s office that issued the credit rating is available on www.moodys.com.

The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody’s affiliates outside the UK and is endorsed by Moody’s Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody’s office that issued the credit rating is available on www.moodys.com.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody’s legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Puloma Mukherjee
AVP-Analyst
Structured Finance Group
Moody’s Investors Service, Inc.
250 Greenwich Street
New York, NY 10007
U.S.A.
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Daniela Jayesuria
Senior Vice President/Manager
Structured Finance Group
JOURNALISTS: 1 212 553 0376
Client Service: 1 212 553 1653
Releasing Office:
Moody’s Investors Service, Inc.
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JOURNALISTS: 1 212 553 0376
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CIG Financial President Jeffrey Butler Nominated For Top Auto Finance Innovator

DBRS Morningstar Takes Rating Actions on CIG Auto Receivables Trust 2019-1


DBRS, Inc. (DBRS Morningstar) confirmed or upgraded its ratings on the following classes of securities included in CIG Auto Receivables Trust 2019-1:

— Class A Notes, upgraded to AAA (sf)
— Class B Notes, upgraded to AA (sf)
— Class C Notes, upgraded to A (sf)
— Class D Notes, confirmed at BB (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: September Update,” published on September 10, 2020. DBRS Morningstar initially published macroeconomic scenarios on April 16, 2020, which have been regularly updated. The scenarios were last updated on September 10, 2020 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 remains predicated on a more rapid return of confidence and a steady recovery heading into 2021. Observed performance during the 2008–09 financial crisis and the possible impact from stimulus were also considered in the assumptions.

— Transaction’s capital structure, and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss (CNL) (including an adjustment for the moderate scenario) assumption at a multiple of coverage commensurate with the ratings above.

— The collateral performance to date and DBRS Morningstar’s assessment of future performance, including upward revisions to the expected CNL assumptions consistent with the expected unemployment levels in the moderate scenario.

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

Issuer Debt Rated Rating Action Rating Trend Latest Event
CIG Auto Receivables Trust 2019-1 Class A Notes Upgraded AAA (sf) -- November 10, 2020
CIG Auto Receivables Trust 2019-1 Class B Notes Upgraded AA (sf) -- November 10, 2020
CIG Auto Receivables Trust 2019-1 Class C Notes Upgraded A (sf) -- November 10, 2020
CIG Auto Receivables Trust 2019-1 Class D Notes Confirmed BB (sf) -- November 10, 2020

CIG Auto Receivables Trust 2020-1– CIG Financials’ third CIGAR issuance


Summary CIG Auto Receivables Trust 2020-1 (CIGAR 2020-1) is the third securitization under the CIGAR platform of non-prime-quality1 retail installment auto loan contracts originated or acquired and serviced by CIG Financial, LLC (CIG). Key credit strengths of the transaction include CIG’s strong managed portfolio performance, the improved seasoning relative to the prior transaction and the absence of prefunding. Credit challenges include an unrated and small servicer and CIG’s limited prior securitization experience.

Moody’s ratings Classes Rating Amount (millions) % of Assets Legal final maturity Coupon Reserve fund Total initial hard CE*

Class Rating Amount of Securities
A Aaa (sf) $116,940,000
B Aa1 (sf) $18,290,000
C Aa31 (sf) $8,660,000
D Baa2 (sf) $25,510,000
E Ba3 (sf) $11,070,000