All Episodes
Displaying 1 - 20 of 21 in total
Will the GSEs Plunge Back into MBS Like Steven Dove into Lake Tahoe?
Kirill and Steven break down the surge in October prepayments and what it means for November’s setup. They analyze the GSEs’ meaningful portfolio expansion, with Fanni...
Gold's Pullback and G2 Customs Potential Return
This week on the Convexity Pulse, Kirill Krylov flies solo for a recap that spans gold’s sharp reversal, shifting fund flows, and REITs’ growing influence in the mortg...
QT is Nearing an End while the Hunt for Convexity Lives On
This week on the Convexity Pulse, Kirill Krylov and Steven Scheerer recap a “pre-Halloween rally” in Treasuries as softer inflation and fresh Russia sanctions push yie...
Gold Shines Through Data Blackouts
This week on the Convexity Pulse, Kirill Krylov and Steven Scheerer widen the lens, tackling how the government shutdown’s data blackout is distorting market visibilit...
Trading in the Dark: MBS in a Data Blackout
This week’s Convexity Pulse finds Kirill Krylov flying solo as he navigates a data blackout caused by the government shutdown, renewed U.S. / China trade tensions, and...
FICO’s Power Play: Can the Bureaus 'Shake It Off'?
This week’s Convexity Pulse kicks off with Kirill Krylov and Steven Scheerer reviewing September’s fixed-income performance and the new leading sectors at the end of Q...
Surprise Strength: What upside GDP and Home Sales Mean for MBS
This week’s Convexity Pulse unpacks stronger-than-expected GDP data that may slow the pace of Fed cuts, alongside shifting fund flows that left 15-year MBS rebounding ...
Mind the Gap: CMOs vs. Pools
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 ...
Does Grilling an Economist Count as a Vegan's Weekend Meal Prep?
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 ...
Sleepless Dentists in Seattle, Mortgage Wisdom of Ted Lasso, and Inefficiency in 15yr MBS
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 sha...
When Mission Meets Quicken in the Land of Low Loan Balance
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 y...
Baird's 4+1 Strategy Equals Depository-Friendly Paths to Alpha
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 narrowin...
From Net Supply to Coupon Stack Plays: Mapping MBS Value
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 bre...
Convexity Tapas & GSE Dramas
Kirill discusses recent mortgage market dynamics, including MBS outperformance amid declining volatility, ETF inflows and the Bank of England’s historic rate cut last ...
CMO Issuance Bounces Back and The Four Key Forces Driving Housing Affordability
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 hi...
Rewiring in MBS Demand and Rewriting Loss Mitigation at the VA
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 ...
Micro & Macro Stress Building Simultaneously
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...
Schrodinger's Housing Market & GSEs Potential Return to MBS Buying
This week, in addition to a brief MBS Market update, Kirill discusses how the housing market seems to simultaneously be in two conflicting states. From the MBS perspec...
Securitization Rates in 2025 & Convexity Power of 2-4 Unit High LTV Loans
This week, Kirill welcomes Baird MBS strategist, Steven Scheerer, to the show. They begin with a quick overview of index sector performance during the first half of 20...
Evolving Housing Market of 2025
In the latest edition of our Fixed Income Insights podcast, Kirill Krylov discusses the evolving housing market of 2025 and the shift from the post-pandemic seller’s m...