Tag Archives: Arbitrage

Monitor: US BSL CLO New Issue Arb Trend

The arbitrage metric for new-issue US CLOs has remained largely rangebound. As of February 16, 2024, the latest metric stood at 214 basis points (bps), slightly lower than the median metric for 2023 deals. Another notable observation is the loan index's moving 4-week average discounted spreads, which have stayed remarkably flat over the past five weeks!

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.