Study finds auto ABS liquidity is on par with German covereds

A study commissioned by the European securitization industry has found that non-mortgage backed ABS, such as auto loan securitizations, have better liquidity than covered bonds when liquidity is measured mainly by bid-ask spreads rather than trading turnover.

  • By Joseph McDevitt
  • 14 Feb 2014
The study has drawn very different conclusions from the European Banking Authority’s study of liquidity, which formed the basis for recommending that only certain, high quality RMBS be allowed in Level 2b of bank liquidity coverage ratios (LCR). It found that ABS liquidity was worse than sovereign, corporate ...

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Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 Bank of America Merrill Lynch (BAML) 7,026 25 11.95
2 Citi 6,449 21 10.96
3 BNP Paribas 5,093 18 8.66
4 Barclays 4,040 11 6.87
5 Lloyds Bank 3,615 14 6.15

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1 Citi 2,454.09 9 13.89%
2 JPMorgan 1,441.26 6 8.16%
3 SG Corporate & Investment Banking 1,292.64 1 7.32%
3 Rabobank 1,292.64 1 7.32%
5 Bank of America Merrill Lynch 1,226.20 5 6.94%