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.