Bloody US agent arresting one that's high (8)
I believe the answer is:
rarefied
'high' is the definition.
(thesaurus)
'bloody us agent arresting one' is the wordplay.
'bloody' becomes 'rare' (I've seen this before).
'us agent' becomes 'fed' (I've seen this before).
'arresting' indicates putting letters inside.
'one' becomes 'i' (Roman numeral).
'fed' going around 'i' is 'fied'.
'rare'+'fied'='RAREFIED'
'that's' acts as a link.
(Other definitions for rarefied that I've seen before include "Thin; very refined" , "Thinner than usual like air on high mountain" , "Thin - esoteric" , "Lofty - thin (of air)" , "Select" .)