November 16, 2023 – 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. These loans do not qualify for refinancing anywhere, and substantially all mature within the next 18 months.

• The current underlying DSCR of Arbor's ~$7.6b CLOs is about 0.63x.
• The current underlying weighted average LTV of the CLOs is ~77%
• Appraised values of underlying CLOs properties are valued at cap rates of ~4.7%. This is ludicrous. The current risk-free rate is ~4.6%.
• A bullish revaluation of underlying property values at a cap rate of ~7% (which is more than reasonable given these properties have NOT been fully rehabilitated) wipes out the LTV buffer and substantially all, if not all, of Arbors residual claim.
• Arbor has scrambled to insinuate that borrowers must establish interest rate caps for their loans. Various documented interviews on Tegus and Alphasense claim this is not the case.
• Most properties, even those with the best performing DSCR metrics, appear to be serially undermaintained. It is obvious that these properties have not been properly rehabilitated.

Arbor has a slowing stream of healthy new loans to breathe life into its dying portfolio. This is because the business of multifamily residential investments is no longer economically viable, and neither are Arbor's portfolio loans.