Arbor – November CLO Update

Author: Viceroy Research Published on: November 29, 2023 Published in: Arbor Realty Trust (NYSE:ABR)

November 29, 2023 – Arbor’s underlying CLO performance trustee data for November is now live, and it is as bad as we expected, if not worse. This report will track Arbor’s underlying asset delinquencies and debt service coverage ratios (DSCR), which now show clear and dangerous negative trends to the downside.

Arbor’s November CLO vintages show that delinquencies are up ~40-50% over the last 30 days. Tranches which had 0% delinquency rates earlier in the year are now experiencing almost 30% delinquency rates across their total deal flow.
Despite loans moving from <30 days delinquent to >30 days delinquent, the <30 day delinquency figures remain high. This indicates that this delinquency trend will likely continue into the next month.
Quarterly DSCR data now available for October 2023 gives some insight into why these loans are becoming delinquent: their portfolio is significantly underwater.

Viceroy is short Arbor Realty Trust (NYSE : ABR). In this industry plagued with delusion and bad decisions, Arbor stands out as the worst of the worst. Viceroy’s dive into Arbor’s CLOs suggest its entire loan book is distressed and underlying collateral is vastly overstated.

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