All Episodes
Displaying 1 - 20 of 49 in total
Myth of Permanent Lock-In & Wine Cellar Theory of CMOs
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 Fe...
3D Home Printing, Burnout, and the Future of Mortgage Supply
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...
Refinance Friction Zone of High DTI & Return of Convexity Hedging Monster
Every generation believes it is navigating unprecedented uncertainty. This week, Kirill Krylov and Steven Scheerer explore what that uncertainty means for mortgage inv...
Diminishing Returns of GSE Buying and an Extra Scoop of Amerihome Gelato
In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why volatility, rather than the outright direction of rates, may remain the most important va...
Future of OTM Speeds & The New Low Loan Balance Playbook
In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why agency MBS fundamentals remain more constructive than recent volatility would suggest, de...
The Officially Unofficial 50th Show and The State of Convexity in the State of FL
In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer finally reunite for the podcast’s long-delayed “50th” episode and discuss a mortgage market caught be...
Everything’s Bigger in Texas… Including OTM Prepays
In this week’s Convexity Pulse, Kirill Krylov discusses how the mortgage market is transitioning from a volatility-driven environment toward one increasingly supported...
Tactical GSEs, Banks Eye Seasoned 30s, and the Prepayment Friction from Closing Costs
Kirill Krylov discusses how a more stable but directionless rate environment is shifting MBS returns away from volatility-driven spread tightening and toward carry and...
Credit Matrix Reloaded: FICO, Vantage, and the Prepayment Impact
Kirill Krylov and Steven Scheerer discuss a more cautious near-term outlook for MBS as valuations remain tight and supply is set to increase against a backdrop of unev...
Vol, Performance, MBS Demand and A Look at the CCM / Two Harbors Merger
In this week’s Convexity Pulse, Kirill Krylov discusses how improving technicals, declining volatility, and strong performance in production coupons are shifting the r...
Why Production Coupons Could Benefit & Happy B-Day to Butch Cassidy
Kirill Krylov and Steven Scheerer discuss how markets are digesting a recent energy-driven shock, with inflation pressures rising in the near term even as growth expec...
Bank Demand Returns, GSEs Still Anchor, and Chasing VA Waterfalls
Kirill Krylov and Steven Scheerer discuss the evolving technical backdrop for agency MBS, including continued support from GSE portfolios and renewed demand from banks...
Regulatory Reform & Bank Demand, Stagflation & Road 2 Housing
Kirill Krylov and Steven Scheerer discuss the growing risk of a stagflationary macro environment as energy prices rise and the yield curve continues to flatten. They r...
"Luck of the Irish" Won't Fix Housing Deficit; And "Pot of Gold" in NY/CEMA Labyrinth
Kirill Krylov and Steven Scheerer discuss widening mortgage spreads amid rising Treasury yields and a Fed that remains firmly in wait-and-see mode. They examine the pe...
Celebrating 250 Years of Adam Smith with the Invisible Hand of PIWs
Kirill Krylov and Steven Scheerer review February’s prepayment report and explain why refinancing activity is increasingly concentrated in the higher coupons of the st...
Can GSE Flexibility Keep Spreads from Widening into Geopolitical Volatility
Kirill Krylov flies solo today to examine the market implications of escalating geopolitical tensions along with renewed volatility and what that could mean for mortga...
K-Shape Recovery Impact on MBS, and Cash Window "Revolution"
Kirill Krylov and Steven Scheerer unpack a January housing slowdown driven more by weather and normalization than structural weakness, while highlighting a meaningful ...
Bad Bunny vs. Convexity-Cursed Chinchilla, Explosion in Ginnie Custom Issuance, And Supply Deficit in Spec Pools
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 ...
The GSE Buying Paradox
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, mortga...
Why Housing Policy Keeps Missing the Supply Problem
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 m...