This week on the Convexity Pulse, Kirill Krylov and Steven Scheerer recap a “pre-Halloween rally” in Treasuries as softer inflation and fresh Russia sanctions push yields below 4%. They discuss the approaching end of Quantitative Tightening, a growing call for GSEs to re-enter the MBS market, and how that could reshape spreads and affordability. The duo closes with a deep dive into relative-value trades across the belly and premium coupons, revealing where convexity still hides in plain sight from inefficient Loan Balance 4.5s to high-DTI Mission 5.5s.
This week on the Convexity Pulse, Kirill Krylov and Steven Scheerer widen the lens, tackling how the government shutdown’s data blackout is distorting market visibility and mortgage valuations. They explore the global “gold rush” as central banks swap Treasuries for bullion, the potential long-term impact of the Senate’s ROAD to Housing Act on affordability and Ginnie supply, and finish with a technical dive into the paradoxical behavior of Quicken low-loan-balance pools, the MBS trade investors love to hate but can’t ignore.
This week’s Convexity Pulse finds Kirill Krylov flying solo as he navigates a data blackout caused by the government shutdown, renewed U.S. / China trade tensions, and a market rally built more on uncertainty than conviction. He explores how missing data clouds mortgage modeling, reviews Bloomberg’s new weighted loan count feature for Supers, and connects America’s falling birth rate to the long-term housing pipeline. Kirill also dives into Florida’s cooling housing market and rising prepayment activity driven by AI-assisted loan processing.
This week’s Convexity Pulse kicks off with Kirill Krylov and Steven Scheerer reviewing September’s fixed-income performance and the new leading sectors at the end of Q3. They explore regional housing momentum led by the Midwest and Harvard’s long-range outlook for homeownership through 2035. They highlight the record pace of CMO issuance this year and focus on September's shifting trends as rates rallied. The episode closes with a deep dive into FICO’s new direct licensing model — a potential shake-up in the mortgage credit ecosystem.
This week’s Convexity Pulse unpacks stronger-than-expected GDP data that may slow the pace of Fed cuts, alongside shifting fund flows that left 15-year MBS rebounding while Ginnies lagged. Kirill breaks down conforming loan limit projections, the pitfalls of relying too heavily on refi indices as a direct translation to prepay speeds, and the surprising strength in new home sales. He also explores how seniors carrying mortgages into retirement create unexpected prepay risk in discount pools.
This week’s Convexity Pulse unpacks the Fed’s first rate cut and its ripple effects across MBS performance, with lower coupons and belly sectors still leading the way while production coupons lag. Kirill and Steven highlight consumer debt fragility, housing market contradictions, and builder hesitancy despite lower rates. They also dive into relative value in low coupon CMOs versus pools, and wrap with Detroit’s NBA-backed down payment assistance pilot that could reshape affordability strategies.
This week’s Convexity Pulse features special guest Tom Tzitzouris of Strategas, who joins Kirill Krylov and Steven Scheerer to discuss consumer debt strains, the myth of Fed independence, and the implications of balance sheet policy for MBS investors. The team also covers the Rocket–Mr. Cooper merger and its impact on servicing speeds, before turning to the looming wave of AI-driven refinancing that could reshape convexity risk in 2026.
On this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss long term trends in the evolution of the Bloomberg Agg’s composition, leading to a higher share of Treasuries, at the expense of MBS. They highlight some striking stats regarding housing affordability and how weaker home sales, combined with higher rates, has translated into lower MBS supply. With 15yr MBS supply shrinking over the last few years, the sector has performed well, and both agree that inefficiencies in loan balance distributions of 15yr pools can be a convexity enhancing feature.
On this week’s Convexity Pulse, Steven Scheerer joins Kirill Krylov to review August fixed income index performance, where MBS posted their best excess return of the year, far outpacing corporates on the strength of a 30-year sector rebound. They dissect bank call report data showing notable shifts in MBS product mix and examine CMO issuance trends, with Ginnie deals running at record pace and floaters maintaining dominance. The episode closes with a technical dive into convexity layering, highlighting how Low Loan Balance, Mission, and Quicken features interact to reshape prepay profiles.
On this week’s Convexity Pulse, Kirill reviews last week's MBS market dynamics and a few post Jackson Hole macro thoughts. Turning to housing, he explores the narrowing cost gap between new and existing homes, the evolving role of LLPA waivers in Mission loans, and how these waivers provide call protection for MBS investors. Finally, he discusses Baird's “4+1” MBS strategy tailored for depositories, highlighting 15yr MBS, Seasoned 30yr Collateral, CMOs, and select niche sectors.
In this week’s Convexity Pulse, Kirill Krylov reviews another strong week for mortgages as spreads tightened and volatility eased—though he warns the calm may soon break. He digs into the supply–demand tug-of-war shaping MBS markets, with tepid but steady bank buying, REITs stepping up, and the GSEs still waiting in the wings. Finally, he walks through relative value opportunities across the UMBS 30yr coupon stack, from deep discounts to production coupons and the challenging high-coupon minefield.
Kirill discusses recent mortgage market dynamics, including MBS outperformance amid declining volatility, ETF inflows and the Bank of England’s historic rate cut last week. Then he dives into the Trump administration’s floated plan to partially privatize Fannie Mae and Freddie Mac. And his menu of convexity enhancing tapas includes a discussion of how prepayment protection on high-LTV conventional pools would improve in a negative HPA environment, and the relative value of ITM investor pool payups compared to other spec stories (like FL) that have similar multipliers.
This week, Kirill welcomes Steven Scheerer back to the show and they discuss July’s MBS Index performance and relative value opportunities across sectors. They also highlight Agency CMO issuance, which bounced back in July after a slower June and note how 2025 is on pace for a record-breaking year. This episode closes by unpacking how today’s housing affordability crisis stems from long-standing policy choices - not just rates or prices.
This week, Kirill Krylov covers the emergence of digital behavior in MBS demand and the early signs of a foreign buyer rebound in U.S. housing. He also discussing the new VA partial claim framework and its market implications for Ginnie Mae MBS.
This week, Kirill welcomes back Baird MBS strategist, Steven Scheerer. After highlighting a few of last week’s mortgage performance surprises, they discuss some of the factors leading to higher delinquencies and faster Out-of-the-money speeds in certain MBS cohorts. They provide macro thoughts on the latest CPI print and take a look at liquidity through the prism of the Strategas composite.
This week, in addition to a brief MBS Market update, Kirill discusses how the housing market seems to simultaneously be in two conflicting states. From the MBS perspective, he highlights the potential return of GSE portfolio buying, which could be an important source of MBS demand.
This week, Kirill welcomes Baird MBS strategist, Steven Scheerer, to the show. They begin with a quick overview of index sector performance during the first half of 2025, and how the securitization rates have climbed across different loan types. For investors seeking strong call protection in premium MBS, they highlight the small, but growing, cohort of 2-4 unit loans with High LTV.
In the latest edition of our Fixed Income Insights podcast, Kirill Krylov discusses the evolving housing market of 2025 and the shift from the post-pandemic seller’s market to a buyer’s market in many areas of the country.
In the latest edition of our Fixed Income Insights podcast, Kirill Krylov discusses our MBS market supply and demand outlook and highlights two key subsets of Low FICO loans that add convexity enhancements under different rate environments.
