IGES (.igs) file does not save the file an assembly. I would recommend saving it as STEP (.stp) file.
Answered with a tutorial: https://grabcad.com/tutorials/how-to-save-assembly-in-iges-step-formate-in-catia-v5
assy all the parts in catia v5 then save it . then go for
file- save as-then new window ll open there u select save type as iges /stp..
this ll work
Another possibility is to Generate CATPart from Product... see the tutorial.