In The Tranches of Structured Finance dv01

In the latest podcast episode, we explore a novel method of analyzing government debt, highlighting how, despite rising federal debt, the aggregate U.S. debt as a percentage of GDP fell from 2006 to 2019 and only increased in 2020 due to substantial pandemic-related fiscal measures. This holistic perspective also reveals that while U.S. asset values have significantly outpaced debt growth, the debt-to-GDP ratio remains only slightly above its 2006 levels, at 236%. 

We also discuss trends in Consumer Unsecured, Subprime Auto, and Non-QM. Notably, the ongoing challenges with increased impairments and low cure rates in Non-QM, despite rising prepayment rates in 2023, as well as the seasonality trends within Consumer Unsecured and Subprime Auto.
Subscribe to our free research to stay up-to-date on the latest trends. Contact sales@dv01.co to learn how dv01 data can help you understand what's going on in the market, and to better analyze your whole loan portfolio and securitizations.

In this episode, Vadim is joined by Adelina Grozdanova, Co-Founder of Upgrade, to discuss all things consumer credit and the American consumer. Discussion includes, factors behind the dramatic volume declines of unsecured personal loans, how the record-high US credit card rates create opportunity to refinance using installment loans, and how Upgrade is positioning itself as a leading fintech by offering multiple products, including auto.
Subscribe to our free research to stay up-to-date on the latest trends. Contact sales@dv01.co to learn how dv01 data can help you understand what's going on in the market, and to better analyze your whole loan portfolio and securitizations.

dv01's quarterly update on consumer credit performance continues. Vadim looks at data through September 30, 2023 and discusses trends in Consumer Unsecured (outside of credit cards), Autos, and Mortgages.

Cited Research 
dv01: Non-QM Performance Report, October 2023dv01: Consumer Unsecured and Subprime Auto Performance Report, October 2023Subscribe to our free research to stay up-to-date on the latest trends. Contact sales@dv01.co to learn how dv01 data can help you understand what's going on in the market, and to better analyze your whole loan portfolio and securitizations.

The RMBS market, specifically Non-QM, is showing signs of recovery and growth following the COVID-19 pandemic. Amid rising rates, Non-QM is facing unique challenges and opportunities not present in the broader mortgage market.

The upswing in mortgage rates has led the origination channel to shift its focus towards Non-QM, providing a favorable tailwind for future sector growth and market penetration. On the flip side, delinquencies are beginning to rise in Non-QM unlike the broad mortgage market. Non-QM securitizations have faced spread pressures similar to other structured credit products (which have eased in recent months), creating challenges for securitizations but also opportunities for new entreats.

In this episode, Vadim is joined by Justin Mahoney of Shelter Growth Capital Partners to discuss in-depth trends.
Subscribe to our free research to stay up-to-date on the latest trends. Contact sales@dv01.co to learn how dv01 data can help you understand what's going on in the market, and to better analyze your whole loan portfolio and securitizations.

dv01's quarterly update on consumer credit performance continues. Vadim looks at data through June 30, 2023 and discusses trends in Consumer Unsecured (outside of credit cards), Autos, and Mortgages, including:
The Consumer Unsecured sector continue to tighten its credit box, with more lending going to borrowers with higher creditworthiness.Performance of Subprime Auto loans continues to worsen.Delinquencies for Non-QM Mortgages are at near-record lows.
Cited Research 
dv01: Non-QM Performance Report, June 2023dv01: Consumer Unsecured and Subprime Auto Performance Report, June 2023dv01: Consumer Unsecured Origination Report, May 2023

Subscribe to our free research to stay up-to-date on the latest trends. Contact sales@dv01.co to learn how dv01 data can help you understand what's going on in the market, and to better analyze your whole loan portfolio and securitizations.

Understanding the factors driving regional affordability—supply and demand imbalances, zoning restrictions, building regulations, economic opportunities, culture, and climate—is crucial for portfolio and risk valuation. In this episode, dv01 argues that affordability challenges are far more regionally concentrated than they've ever been.

Cited Research
dv01: Housing Affordability and Portfolio RiskBlackKnight: Mortgage MonitorRedFin: Housing Market DataSubscribe to our free research to stay up-to-date on the latest trends. Contact sales@dv01.co to learn how dv01 data can help you understand what's going on in the market, and to better analyze your whole loan portfolio and securitizations.