A sample of five top-tier CLO deals is used as a proxy for a new-issue CLO portfolio. The combined loan portfolios are rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest DM in each week is identified, and the average of three such weekly observations is used as the monthly benchmark DM.
A sample of six top-tier CLO deals is used as a proxy for a new-issue CLO portfolio. The combined portfolios are rebalanced monthly, with loans priced below 92 excluded. On the liability side, the tightest DM in each week is identified, and the average of three such weekly observations is used as the monthly benchmark DM.
Arbitrage in the first half of 2025 was healthy, supported by wider asset spreads and tighter liability prints. In the second half of 2025, however, it generally ranged between 144 and 156 bps. When volatility spiked in February 2026, arbitrage improved to levels seen in early 2025, although it subsequently narrowed again, with the latest readings in the range of 150–160 bps.
The following two tables illustrate arbitrage trends since late January/early February. Arbitrage is currently estimated at around 161 bps for US BSL CLOs and 195 bps for 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.
