Levered Returns and Structural Changes, vol 2

dv01’s research centers on the interchange between Asset Yield and Liability Cost, and how this relationship ultimately translates to the Excess Interest that drives returns on the residual class of a security.

It also dives into how excess spread and enhancement levels shift over time, offering upgrade potential to subordinated tranches alongside the results of the dv01 Non-QM Prepayment Model to determine an effective duration for the collateral, which helps establish the total loss coverage available for a security.