Liability spreads in the ABS CDO market may continue to push out as issuance remains at a standstill. But with the pickup in new deals in the CLO sector, similar widening appears to have ended with the third quarter.
While one CLO analyst said that there has not been much change in liability spreads at the top of the capital structure, he saw spreads on more subordinated pieces coming in a bit. Indeed, single-A CLOs have tightened five basis points, to 240 basis points, and triple-B CLOs are tighter by 10 basis points, to 430 basis points, according to a recent report from Deutsche Bank. The report also noted that while spreads on triple-B CLOs widened to 825 basis points in mid-September, they have since come in by 15 basis points, ending the month only 10 basis points wider than at the end of August.