 Caballero had scored 1 goal in 10 Copa Libertadores appearances.On 29 October 1998, Caballero was loaned to Arsenal from Cerro Porteño for the remainder of the 1998–99 FA Premier League season (with an option for a permanent transfer), where he was issued the number #26.Caballero was also part of the club's reserve-team, playing in the 1998–99 FA Premier Reserve League and scoring 8 goals in 16 league appearances as the squad finished in 9th position of the table with 45 points.