US BSL CLOs: Latest Arbitrage Trends
As of October 17, 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 207 bps — an improvement from the sub-200 levels observed in late July and early August.
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As of October 17, 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 207 bps — an improvement from the sub-200 levels observed in late July and early August.
Magnetite XXXVII CLO was reset last Friday, cutting its WACC by roughly 65 bps from 216 bps to around 151 bps, while extending its reinvestment period by two years. The reduction in funding cost broadly offsets the underlying collateral spread compression of about 63 bps.
A sample of 544 EU CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 60% are excluded.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of EU CLO deals by vintage, based on asset prices as of 17 October 2025.
A sample of 1,617 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 17 October 2025.
In late June, arbitrage was at its tightest level year-to-date at 227 bps. Since then, it has improved notably, driven by the tightening of CLO liabilities across most parts of the capital structure, except for the single-A tranche. On the asset side, while nominal spreads have compressed slightly due to repricing activity, the four-week average discounted spread has widened by around 20 bps, reflecting lower asset prices. Overall, arbitrage has strengthened by a meaningful margin since late June 2025.
On 15 October 2025, several single-B tranches traded with cover bids ranging from 825 DM to 1,001 DM, and MVOCs ranging from 102h to 105h.
The recent reset of GoldenTree Loan Management US CLO 15 saw its WACC (AAA–BB) reduced by 72.4 bps, from 225.8 bps to 153.5 bps, while extending the reinvestment period by another two years. The reduction in WACC more than offset the deal’s underlying collateral spread compression of around 53 bps since inception.
Yesterday saw a relatively long list of EU CLO single-B tranches on BWIC, with DM price talks ranging from the L800s to L1200s, depending on their MVOC and WAL.
Over the past two business days, eight EU CLO single-B tranches traded, with cover bids ranging from 839 DM to 975 DM.
As of October 10, 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 206 bps — an improvement from the sub-200 levels observed in late July and early August.
Last Thursday (9th October) saw a range of US BSL BB tranches trade, with cover bids spanning from 503 DM to 792 DM.
A sample of 1,628 US BSL CLO deals (vintage 2013–2024) is included in this study. Deals with a collateral pool factor below 55% are excluded.
Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset prices as of 10 October 2025.
