As of 16 January 2026, the arbitrage metric for non-short-dated US CLOs stood at approximately 155 bps, tighter than at the end of last year despite a lower WACC. New issue upfront costs and management fees are not included in the calculation.
As at 16 December 2025, the latest arbitrage metric stood at 255 bps, broadly in line with the level observed in January 2025. However, the current backdrop is less favourable than it was in late January.
As of 17 November 2025, the latest arbitrage metric stood at 257 bps—up significantly from the low of 227 bps recorded on 25 June—driven by a lower CLO WACC and wider loan spreads since then. Overall, arbitrage has strengthened considerably since late June 2025 and is now broadly in line with conditions seen earlier in the year. But the current backdrop is less favourable than it was in late January.
As of November 14, 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 211 bps, representing a clear recovery from the sub-200 levels recorded in late July and early August.
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.
As of 11 September 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 204 bps — a marginal improvement from the sub-200 levels observed in late July and early August.
