Kirill Krylov and Steven Scheerer review February’s prepayment report and explain why refinancing activity is increasingly concentrated in the higher coupons of the stack as modest rate rallies begin to test refinance thresholds. They then explore the growing importance of appraisal waivers, or Property Inspection Waivers (PIWs), and how removing the traditional appraisal bottleneck is subtly changing refinance friction and convexity dynamics across mortgage pools. The episode closes with a look at the “hidden” side of housing affordability, where rising property taxes and insurance costs are quietly consuming a larger share of the monthly mortgage payment.

Kirill Krylov flies solo today to examine the market implications of escalating geopolitical tensions along with renewed volatility and what that could mean for mortgage spreads and GSE purchase activity. He breaks down the powerful technical backdrop created by record fixed income inflows and increased retained portfolio flexibility at Fannie and Freddie. The episode then turns to proposed MSR capital reforms and rising FHA delinquencies, exploring how shifts in servicing economics and borrower stress could gradually reshape prepayment behavior across the agency markets. 

Kirill Krylov and Steven Scheerer unpack a January housing slowdown driven more by weather and normalization than structural weakness, while highlighting a meaningful shift in buyer leverage and rising discounts off list prices. They then turn to household balance sheets, where climbing credit card delinquencies reveal a growing K-shaped dynamic that could dampen refinancing behavior in higher-coupon Ginnie cohorts. The episode closes with a deep dive into the GSE cash window, examining how competitive execution, selective collateral retention, and shrinking specified pool lists may be quietly reshaping supply, convexity dispersion, and market structure.

Kirill Krylov and Steven Scheerer examine the strong fund inflows seen in January, the rebound of active inflows vs passive at the end of the month, and how flows may be an indicator of MBS investors increasingly viewing GSE MBS buying not as a one-off program, but as part of a broader policy backstop. They highlight the risks of policy-driven spread tightening, and how GSE reform goals collide with using the agencies as rate-management tools. The episode also dives into shifting issuance dynamics, including a decline in specified pool share and a rapid migration from Ginnie TBA-eligible MULTIs into custom pools as investors seek better convexity control.

Kirill Krylov and Steven Scheerer revisit the surge in GSE MBS buying and explain why its apparent success may create longer-term challenges for housing supply, mortgage rates, and GSE reform. They examine how shifts in Fed leadership and balance sheet philosophy could keep mortgage rates sticky even as policy rates ease, and why predictability matters more than low rates for housing liquidity. The episode closes with a deeper look at how using the GSEs as an affordability tool complicates any credible path toward privatization or exit from conservatorship.

Kirill Krylov and Steven Scheerer address fears that GSE MBS buying could crowd out private investors, and explain why the data instead point to strong demand with a meaningful shift from active to passive flows. The episode also tackles the institutional investor executive order, rising political and inflation uncertainty, and a housing market caught between improving buyer interest and stubbornly tight supply.

Kirill Krylov and Steven Scheerer explore the tighter spreads in MBS post GSE purchase announcement, and why some investors are now hesitant to board the “government train.” They dive into where that demand is likely to land across UMBS, Ginnies, and structured products, and why execution, hedging, and net supply constraints matter as much as the headline. The episode also covers rising policy risk around FHA mortgage insurance changes and a reality check on new-home sales, where volume has improved but at the cost of pricing power.

Kirill Krylov and Steven Scheerer break down the large-scale GSE MBS buying program announced last week and why a fast, visible policy fix may carry meaningful second-order consequences for market structure, supply, and long-term affordability. They highlight 2025’s historically low net MBS issuance and record-high CMO activity. The episode also tackles why banning institutional homebuyers is unlikely to fix affordability and what all of this means for positioning across coupons as 2026 unfolds.

In the first Convexity Pulse of 2026, Kirill Krylov kicks off the year assessing an MBS market that looks rich after a historically strong 2025. He walks through why spreads are tight across coupons and vintages, why inflows still matter more than valuations alone, and why investors will require deeper pool-level and out-of-index strategies in the year ahead. The episode also examines shifting housing policy priorities, the limits of rate relief, and why securitization rates may now pose more downside than upside risk for MBS supply.

In the final Convexity Pulse episode of 2025, Kirill Krylov and Steven Scheerer explore three themes shaping the 2026 MBS outlook: the quiet return of GSE buying, the growing policy debate around whether Fannie and Freddie should support construction lending, and the steady role of money managers as the market’s center of gravity. They discuss how recent FHFA actions have reopened retained portfolio capacity, why AD&C lending remains controversial despite supply shortages, and how passive and active fund flows continue to anchor MBS demand. The episode closes with a forward-looking assessment of where spreads may settle as banks, GSEs, and money managers each play distinct roles in next year’s market.