May 21, 2025 –Arbor net spreads continue to nosedive, suggesting a further fall in Q2 2025 revenues. More significant errors in Arbor’s reporting of delinquencies, total debt, and debt servicing costs against underlying collateral have also been uncovered.
- Either the DSCR of Arbor CLOs have dropped to 0.37x, or Arbor has severely misreported the financial data through US Bank Trustee. We have found enormous errors in CLO reporting over 18 months, none of which has been corrected.
- The delinquency status of some loans across CLOs has jumped from <30 days delinquent to 90+ days delinquent in the space of one month, immediately following the presentation of Arbor’s Q1 results. This appears intentional.
- Net interest spreads have collapsed across all of Arbor’s CLOs. In 2022-FL2, the net interest spread is now below 50bps, and many borrowers are paying effective rates below SOFR due to Arbor’s widespread modification practices.
There is no underlying operational improvement secured against these loans, no opportunity to transition these loans into agency or any other feasible lending product, and (obviously) no buyer for these loans at their marked price. These loans are in transition to foreclosures, and nothing else.