DBRS Morningstar Takes Rating Actions on Two CIG Auto Receivables Trust Transactions

DBRS, Inc. (DBRS Morningstar) upgraded three ratings and confirmed four ratings from two CIG Auto Receivables Trust transactions (CIG Auto Receivables Trust 2020-1 and CIG Auto Receivables Trust 2021-1).

The rating actions are based on the following analytical considerations:

-- The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - April 2023 Update, published on April 28, 2023. These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020.

-- The collateral performance to date and DBRS Morningstar's assessment of future performance. CIG Auto Receivables Trust 2020-1 has amortized to a pool factor of 20.43% and has a current cumulative net loss (CNL) of 6.00%, which is tracking below DBRS Morningstar’s initial base-case loss expectation. CIG Auto Receivables Trust 2021-1 has amortized to a pool factor of 46.73% and has a current CNL of 8.77%. While the current CNL is tracking above DBRS Morningstar’s initial base-case loss expectation, available credit enhancement is sufficient to support the current rating levels.

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

-- The rating actions are the result of performance to date, DBRS Morningstar's assessment of future performance assumptions, and the increasing levels of credit enhancement.

-- The 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 CNL assumption at a multiple of coverage commensurate with the ratings.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

Notes:
The principal methodology applicable to the ratings is DBRS Morningstar Master U.S. ABS Surveillance (February 6, 2023; https://www.dbrsmorningstar.com/research/409444).

Other methodologies referenced in this transaction are listed at the end of this press release.

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: https://www.dbrsmorningstar.com/research/384482.

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

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

DBRS, Inc.
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The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

Operational Risk Assessment for U.S. ABS Servicers (April 5, 2023)
https://www.dbrsmorningstar.com/research/412303/operational-risk-assessment-for-us-abs-servicers

Operational Risk Assessment for U.S. ABS Originators (April 5, 2023)
https://www.dbrsmorningstar.com/research/412302/operational-risk-assessment-for-us-abs-originators

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance

Rating U.S. Structured Finance Transactions (February 6, 2023)
https://www.dbrsmorningstar.com/research/409449/rating-us-structured-finance-transactions

Rating U.S. Retail Auto Loan Securitizations (May 10, 2022)
https://www.dbrsmorningstar.com/research/396623/rating-us-retail-auto-loan-securitizations

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].