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US BSL CLOs: Latest Arbitrage Metrics

As of 11 June 2025, the latest arbitrage metric for non-short-dated US CLOs stood at approximately 216 bps, lower than the level recorded at the start of the year. Notably, the AAA–BB DM differential has narrowed to below 400 bps, with the latest Neuberger Berman Loan Advisers CLO 61 showing a differential of 360 bps.

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