dv01 Offers Insights into Consumer Credit Health at SFA Research Symposium 2026

The Structured Finance Association’s Research Symposium brought industry participants together in New York City on August 5, 2026 for a closer look at the trends shaping credit markets.

As part of the conference, dv01 Chief Economist Vadim Verkhoglyad joined the panel “Affordability Under Pressure: Focusing on the Consumer,” bringing dv01’s research perspective to a broader discussion on the health of U.S. households.

The panel was moderated by Kayvan Darouian, Director of ABS Research at Deutsche Bank, and also featured:

• Ian Rasmussen, Managing Director and Co-Head of ABS Ratings at Fitch Ratings
• Joe Astorina, Senior Vice President at AllianceBernstein L.P.
• Rohit Sinha, Executive Director of Securitized Products Research at Nomura

The American Consumer Is Doing Fine… Overall

At the aggregate level, the consumer remains relatively strong. Unemployment is still near historically healthy levels, household net worth remains elevated, and prime mortgage delinquencies are close to multi-decade lows.

While the U.S. consumer remains healthy as a whole, headline metrics can obscure a much smaller group of borrowers under financial stress. That dynamic closely aligns with what dv01 has been seeing in our own consumer credit research—and why increasingly granular analysis matters. 

Lower-income borrowers have materially reduced debt relative to pre-COVID levels, with dv01’s research showing more than 90% of non-mortgage debt now sits with the top two income cohorts. Fitch Ratings’ Ian Rasmussen framed the divide as a three-legged stool of net worth, employment, and income. Higher-income households still benefit from all three, while lower-income households are increasingly reliant on employment alone as weak real income growth erodes another source of support.

Affordability Shows Up in Borrower Behavior

When the discussion turned to affordability, the first problem was defining it. Vadim offered a framework that resonated with the panel, defining affordability as whether or not households can maintain their lifestyle without taking on more debt.

This behavioral definition makes sense because financial pressure does not affect every obligation equally. As households come under strain, they reprioritize payments. Consumers may choose to prioritize auto loans over unsecured personal loans since they need their cars to get to work. Servicers can also work with  borrowers to keep them from going into default, which shows up in the data as higher levels of delinquencies relative to defaults. As a result, headline delinquency rates may understate the ultimate credit impact. In subprime auto, dv01 research shows loss severities rising from roughly 45% pre-pandemic toward 60%.

Seeing Beyond the Headline Metrics

The panel concluded that traditional credit signals—like FICO or income cohort—are becoming less reliable on their own. In auto, LTV now separates borrower performance more clearly than FICO, while in housing, rising insurance and property-tax costs can create stress that national mortgage metrics miss.

As a result, investors need more granular views of leverage, collateral, geography, servicing, and payment behavior. dv01's Market Surveillance brings that resolution to structured finance, helping you see the financial health of US households, where pressure may be concentrated, and how that’s showing up in credit performance

Contact our team to learn how dv01 can help you spot emerging consumer credit trends.