US BSL CLOs: Weekly Arbitrage Metrics
As of 9 May 2025, the latest arbitrage metric for non-short-dated US CLOs stood at around 218 bps, marginally lower than at the start of the year.
As of 9 May 2025, the latest arbitrage metric for non-short-dated US CLOs stood at around 218 bps, marginally lower than at the start of the year.
As of 6 May 2025, the latest arbitrage metric stood at 241 bps—an improvement from the recent low of 232 bps on 2 April 2025, though still below the 254 bps recorded on 24 January 2025.
The recent pricing of Trinitas Euro CLO IX was particularly impressive, with a WACC of just 205 bps, compared to the estimated four-week average discounted spread of 442bps on the loan index.
As of April 4, 2025, the latest arbitrage metric for US CLOs was recorded at around 214 bps.
Last week experienced a marked widening in both asset and CLO liability spreads. However, as of 14 March, the arbitrage remained largely stable week on week, with asset spreads (4-week average) and CLO WACC increasing in tandem by approximately 5 bps.
As shown in the table below, 2018 and 2021 vintage deals have a tight WACC, which is typically an attractive feature for equity investors—after all, who wouldn’t want to lock in a long-term, low cost of funding?
