Arbitrage Comparison: US BSL CLOs vs EU CLOs
Arbitrage Comparison: US BSL CLOs vs EU CLOs
Arbitrage Comparison: US BSL CLOs vs EU CLOs
As of March 24, 2026, the arbitrage metric for non-short-dated US CLOs has improved significantly, reflecting a materially wider four-week moving-average loan discounted spread relative to the widening in liability spreads. At approximately 201 bps, this has returned to levels last seen in early January 2025.
As of 6 March 2026, the arbitrage metric for non-short-dated US CLOs has improved significantly, reflecting a materially wider four-week moving-average loan discounted spread relative to the widening in liability spreads. At approximately 202 bps, this has returned to levels last seen in early January 2025.
As of 9 February 2026, the arbitrage metric for non-short-dated US CLOs has improved, reflecting a widening four-week moving-average loan discounted spread alongside tight liability prints. At approximately 173 bps, this has returned to levels last seen in early July 2025.
Against the backdrop of a much tighter WACC, EU primary CLOs are now generating arbitrage of around 180 bps, which represents a healthy level for the market compared with the past six to seven months.
AAA tranches continue to lag the broader spread-compression trend. While top-tier BB tranches have tightened to around 430 DM, AAA levels, at 117 bps, remain wider than the 113 bps seen in February 2025. This has pushed the AAA–BB pricing differential to a new record tight of roughly 317 bps in the CLO 2.0 market.
