DBRS Finalizes Provisional Ratings on CIG Auto Receivables Trust 2017-1

DBRS, Inc. (DBRS) finalized its provisional ratings on the following classes issued by CIG Auto Receivables Trust 2017-1 (CIGAR 2017-1 or the Issuer):

-- $150,950,000 Series 2017-1, Class A Notes rated A (sf)
-- $8,980,000 Series 2017-1, Class B Notes rated BBB (sf)
-- $12,580,000 Series 2017-1, Class C Notes rated BB (sf)

The ratings are based on DBRS’s review of the following analytical considerations:

-- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement.
-- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios.
-- 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 capabilities of CIG Financial, LLC (CIG) with regard to originations, underwriting and servicing.
-- DBRS has performed an operational review of CIG and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer.
-- The presence of CSC Logic, Inc. (CSC) as a hot backup servicer. CSC is deemed to be an acceptable backup servicer of subprime auto loans by DBRS.
-- 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 quality and consistency of provided historical static pool data for CIG originations and performance of the CIG auto loan portfolio.
-- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with CIG, that the trust has a valid first-priority security interest in the assets and the consistency with DBRS’s “Legal Criteria for U.S. Structured Finance” methodology.

The CIGAR 2017-1 transaction represents the inaugural public term securitization of subprime auto loans and offers both senior and subordinate rated securities. The receivables securitized in CIGAR 2017-1 are subprime automobile loan contracts secured primarily by used automobiles, light-duty trucks, minivans and sport-utility vehicles.

The rating on the Class A Notes reflects the 17.50% of initial hard credit enhancement provided by the subordinated notes in the pool (12.00%), the Reserve Account (1.50%) and overcollateralization (4.00%). The ratings on the Class B and Class C Notes reflect 12.50% and 5.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure.

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

The principal methodology is Rating U.S. Retail Auto Loan Securitizations, which can be found on dbrs.com 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.

The full report providing additional analytical detail is available by clicking on the link under Related Research at the right of the screen or by contacting us at info@dbrs.com.