Tag Archives: Arbitrage

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Monitor: US BSL CLO New Issue Arb Trend Since 2017

The table below also highlights the fact that the arbitrage metric and issuance volume are not really correlated. The median arbitrage metric YTD is actually poorer than in both 2022 and 2023, but this year’s new issue volume has already exceeded the past two years’ volume on an annualized basis.

From Initial Arbitrage to Final CLO Equity IRRs: Unveiling the Surprising Outcomes

The absence of CLO arbitrage has been garnering significant attention recently. This concept encompasses several facets, most notably the initial net interest margin of a CLO deal. However, in periods of loan market volatility, the importance of the initial net interest margin diminishes somewhat, as market participants redirect their focus towards the enticing potential rewards associated with the rise in equity NAV.