Understanding Delinquency Patterns Across Consumer Debt Markets by the Urban Institute

Whether to source or hedge risk, MDX investors will look to correlations with other household debt to determine exposures. Two important areas of correlation will matter: fundamental credit performance and market pricing of risk.

In this research report by Laurie Goodman, Bryson Berry, and Edward Golding, the authors explore delinquency trends across various types of household debt and examine the utility of Ginnie Mae borrower performance as a proxy for households in the aggregate.

Additionally, using data provided by Vista Index Services, the Urban Institute team makes a preliminary assessment of market correlations between MDX and mortgage credit risk securities.