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Arbor – March CLO Update

Author: Published on: Published in: Arbor Realty Trust (NYSE:ABR)

March 18, 2024 – Arbor’s underlying CLO performance data for March 2024 is now live. 66 of Arbor’s CLO loans are now delinquent, representing 20% of its CLO book.

We note that Arbor has made 9 modifications to loans in its CLO over the last quarter, many of which are regarded as “credit risk impaired”. Arbor’s March CLO vintages showed that delinquencies are up ~10% month on month.

Arbor’s delinquencies are now well developed, as distressed loans flow from “<30 days” to “>30 days”. We note that despite the window dressing exercise in February, the > 30-day delinquencies have continued to rise very quickly. Meanwhile weighted average DSCR continues to remain well below 1 across the portfolio.

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