Arbor Realty Trust's recent earnings report for the fourth quarter of 2023 admitted to some financial strain. It had "sixteen non-performing loans with a carrying value of $262.7 million, before related loan loss reserves of $27.1 million, compared to twelve loans with a carrying value of $150.5 million, before loan loss reserves of $12.6 million at September 30, 2023."

That made CRED iQ to sit up. The company typically doesn't consider CRE CLO deals from its regular delinquency reports. But it decided to take a "deep dive" into CRE CLOs to understand what might be happening with other CRE CLO issuers. The answer in short: "Arbor is not alone."

CRE CLO distress rates jumped from 1.4% in January 2023 to 7.4% in December, and then another leap to 8.6% in January 2024, which they said was a 440% increase in 12 months. "This metric includes any loan that reported 30 days delinquent or worse as well as any loan that is with the special servicer," they wrote.