US CLOs: Quarterly Average Discounted Loan Spread-to-Maturity Less Weighted Average DM in Graph The graph above shows the US CLO arb picture over time. Arb is calculated by taking the quarterly average S&P/LSTA U.S. B/BB Ratings Loan Index’s discounted spread-to-maturity net of the average WADM* (weighted averaged discount margin) for CLO deals priced in the same quarter….