In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why broad agency MBS valuations remain relatively neutral even as opportunities beneath the surface become increasingly differentiated. 

They examine how Rocket and CrossCountry’s unusually early move to higher conforming loan limits could signal a growing competitive race among originators and gradually reshape what investors consider large-loan collateral. 

The episode also explores why Texas may offer unusually strong turnover protection in discount MBS, as shorter homeowner tenure, elevated new-construction activity, relocation patterns, and actual mortgage speeds point toward faster non-rate-driven prepayments. They also revisit bank demand, where small banks continue to add MBS while the long-awaited large-bank bid remains elusive.

In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer are joined by Bloomberg Intelligence MBS Strategist Erica Adelberg to examine the “hidden costs of cheap” across housing and mortgage markets. They discuss why policies designed to lower borrowing costs can have unintended consequences for home prices, MBS convexity, and GSE credit risk, while exploring how VantageScore adoption and increasing originator concentration could reshape refinancing behavior. The conversation also covers the changing marginal buyer of agency MBS, the evolving role of banks and foreign capital, and how builder incentives and shifting housing affordability are changing the collateral reaching the mortgage market.

In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss how rising federal debt and persistent Treasury supply could keep pressure on long-duration assets even if the Fed eventually eases, while Fannie Mae’s latest forecast pushes the expected refinancing wave further into the future. 

They examine a new wrinkle in VantageScore adoption, as updated mortgage-insurer capital requirements create different economics for VS4 and Classic FICO loans and add another layer of complexity for credit-focused specified pools. 

The episode also explores Ginnie Mae’s enhanced disclosures, which allow investors to separate FHA and VA delinquency at the pool level and more precisely analyze how serious delinquency may translate into future buyouts and par principal.

In this week's Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why agency MBS can look expensive at the broad basis level while still offering compelling opportunities beneath the surface. They examine how VantageScore adoption is changing the information content of traditional low-credit-score specified pools, potentially creating new distinctions in refinance friction and call protection. The episode also explores the return of bank demand, where recent Call Report data show depositories adding agency MBS selectively through Ginnies and CMOs rather than broadly extending into conventional pass-throughs.

In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why looking beneath the headline is becoming increasingly important across the mortgage market. They examine how AI’s near-term investment boom could complicate the longer-term disinflationary narrative, and why growing specified-pool issuance masks significant differences in collateral composition, scarcity, and call protection. The episode also explores the shift toward higher-cap CMO floaters, the growing appeal of Guaranteed Maturity Classes for investors seeking a hard final maturity with incremental yield, and what UWM’s recent capital raise could mean for future mortgage production.

In this week's Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why growing macro uncertainty has done little to change their constructive intermediate-term outlook for agency MBS, as improving technical demand increasingly offsets a more challenging rate environment. They examine two underappreciated forms of housing lock-in—capital gains taxes and America's aging housing stock—and explain why both may ultimately create future turnover rather than suppress it indefinitely. The episode also explores how maintenance costs, homeowner demographics, and state-level tax exposure are becoming increasingly relevant inputs for prepayment modeling, particularly in seasoned legacy discount collateral where even modest changes in turnover can meaningfully improve expected returns.

In this week's Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why mortgage investors may be placing too much emphasis on day-to-day Fed expectations and too little on the structural forces reshaping agency MBS. They examine how benchmark evolution, growing foreign demand, and changing index composition are quietly altering the investment landscape, while rising homeowners insurance costs and regional affordability pressures create new layers of refinance friction and borrower behavior. The episode also explores why the strongest specified-pool opportunities increasingly come from risk layering, where first-time homebuyers, high-LTV borrowers, elevated DTIs, and other complementary characteristics combine to produce more durable call protection than any single borrower attribute alone.

In this week's Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why today's mortgage market continues to defy simple narratives. They examine how shifting Fed expectations and persistent macro uncertainty are reinforcing the importance of disciplined security selection over broad directional bets. The episode also explores why "aging in place" may not permanently suppress housing turnover as many investors assume, why recent swings in GSE portfolio activity may say less about long-term demand than headlines suggest, and how the agency CMO market is evolving from broad valuation opportunities toward a more selective, collateral-driven environment.

In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why technical factors continue supporting agency MBS, even as spreads approach fair value and investors become increasingly selective. They examine how intergenerational wealth transfers could decouple housing demand from mortgage production, creating a future where healthy home sales no longer translate into robust agency MBS supply. The episode also explores the real implications of 3D-printed housing for mortgage investors and explains why yesterday’s fastest-prepaying collateral may ultimately become tomorrow’s most compelling burnout opportunity.

Every generation believes it is navigating unprecedented uncertainty. This week, Kirill Krylov and Steven Scheerer explore what that uncertainty means for mortgage investors today. The discussion covers a surge in bond fund inflows, renewed strength in agency MBS performance, and the increasingly constructive technical backdrop created by limited supply and delayed refinancing activity. The hosts then examine whether the "convexity beast" is beginning to wake up as higher-coupon collateral and shifting ownership dynamics bring mortgage hedging flows back into focus. The episode concludes with a look at rising borrower debt-to-income ratios and a new perspective on refinance risk. Rather than focusing solely on underwriting denial thresholds, Kirill and Steven argue that refinance flexibility may gradually erode long before borrowers encounter a hard underwriting wall.