Arbor – September 2025 CLO Update

Author: Viceroy Research Published on: September 19, 2025 Published in: Arbor Realty Trust (NYSE:ABR)

September 19, 2025 –MFR net spreads continue to nosedive, DCRS show a slight improvement due to a fall in spread (Arbor revenues). Arbor >30-day delinquencies have remained relatively flat, however we observe a significant number of 90+ day delinquencies are moving off-balance-sheet, presumably into foreclosures.

Arbor’s underlying CLO Debt Service Coverage Ratio (DSCR) fell m/m to ~0.66x (adjusting for enormous errors in reporting) to ~0.68x.
Underlying asset performance has fallen based on m/m reporting. Reported group NOI has dropped from $226m/a to $222m/a. This is likely due to a few low-earning assets being moved to Arbor’s balance sheet via foreclosures.
Arbor has re-modified ~$330m of loans in September 2025. These have all been previously modified.
Arbor has modified $3.2b (84%) of its remaining CLO loans and holds ~$1,010m (26%) of delinquent loans.
The DSCR of modified loans now fully captures 75bps of rate cuts, and further ~100 and still only sits slightly above ~0.66x.
Implied underlying cap rates sit at 4.2%. Any realistic revaluation of underlying collateral values will completely wipe out Arbor’s equity stake of its CLO.

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