Arbor – August 2025 CLO Update

Author: Viceroy Research Published on: August 25, 2025 Published in: Uncategorized

August 25, 2025 –New build-to-baghold CLO data is now available, which shows loans to management team have been modified many times. Meanwhile, MFR net spreads continue to nosedive, DCRS show a slight improvement due to a fall in spread (Arbor revenues), and a record high number of loans move into >30 day delinquencies.

Arbor’s underlying CLO Debt Service Coverage Ratio (DSCR) has jumped from ~0.50x (adjusting for enormous errors in reporting) to ~0.68x.
- This increase in DSCR has not been fueled by underlying operating success, but by enormous reductions in interest (i.e. Arbor revenues).
- Underlying asset performance has decreased substantially m/m reporting. Reported group NOI has dropped from $244m/a to $226m/a.
Delinquent loans have risen from $1,048m to $1,172m.
Arbor has re-modified ~$100m of loans in August 2025. These have all been previously modified.
Arbor has modified $3.2b (84%) of its remaining CLO loans and holds ~$1,050m (26%) of delinquent loans.
Arbor has modified >$1.8b of loans YTD 2025, some of which have been modified many times during this YTD period.
Substantially all these loans had already been modified.

We maintain our belief that Arbor’s deteriorating loan book, and the measures it has taken to conceal its true state, represent a significant risk for the Company’s bondholders and shareholders.

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