Latest Episodes
Demographics, Defeasance, Return of ARMs, and Rocket LFICO Prepay Paradox
In this week’s Convexity Pulse, the very real, decidedly non-imaginary Steven Scheerer rejoins Kirill Krylov so they can discuss how changing demographics and emerging...
Steven Took the Week Off; Kirill & MBS Market Did Not Take It Well
In this week’s Convexity Pulse, Kirill Krylov, with some help from an imaginary Steven Scheerer, examines whether September’s sharp MBS underperformance has finally cr...
Should I Stay or Should I Go? Borrowers That Already Answered
In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer examine how changing borrower behavior is creating new ways to think about prepayment protection acro...
Remote Workers Beef Up OTM Speeds & Norway Flirts with Convexity
In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss growing dispersion beneath the agency MBS basis, including why structurally limited supply is...
Race to New Conforming Loan Limit & Geography of OTM Speeds
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 s...