Despite broader year-to-date widening in both discounted asset and liability spreads, recent tightening in liability spreads has outpaced that of assets, leaving new-issue arbitrage at around 167 bps as of 30 April.
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.
As of 6 March 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 202 bps, this has returned to levels last seen in early January 2025.
As of 9 February 2026, the arbitrage metric for non-short-dated US CLOs has improved, reflecting a widening four-week moving-average loan discounted spread alongside tight liability prints. At approximately 173 bps, this has returned to levels last seen in early July 2025.
