Local CPS conversion is a compiler transformation for improving the code generated for nested loops by a direct-style compiler. The transformation consists of a combination of CPS conversion and light-weight closure conversion, which allows the compiler to merge the environments of nested recursive functions. This merging, in turn, allows the backend to use a single machine-level procedure to implement the nested loops. Preliminary experiments with the Moby compiler show the potential for significant reductions in loop overhead as a result of Local CPS conversion.