Baird Fixed Income Insights: Convexity Pulse

About Baird Fixed Income Insights: Convexity Pulse

Baird's Fixed Income Portfolio Strategy & Analytics Manager, Kirill A Krylov, PhD, CFA, offers our institutional investors a weekly discussion on the most recent Agency MBS market developments. From regulatory updates and changes in government mortgage programs to convexity-enhancing specified pool features, we highlight the most relevant news for MBS investor consideration. Robert W. Baird & Co. Incorporated is providing this information to you for discussion purposes.  The materials do not contemplate or relate to a future issuance of municipal securities.  Baird is not recommending that you take any action, and this information is not intended to be regarded as “advice” within the meaning of Section 15B of the Securities Exchange Act of 1934 or the rules thereunder. This broadcast contains the current opinions of the hosts and are subject to change. The broadcast is provided for informational purposes only, is not a complete analysis of every material fact regarding any company, industry or security and should not be considered investment advice or recommendations. Investors should obtain professional advice before making investment decisions. The information has been obtained from sources considered reliable but its accuracy is not guaranteed. Past performance is not indicative of future results and diversification does not ensure a profit or protect against loss. All investments carry some level of risk, including loss of principal. Baird is not a legal or tax services provider and you are strongly encouraged to seek the advice of the appropriate professional advisors before taking any action. This broadcast may not be reproduced without expressed permission of Robert W. Baird & Co. Incorporated. Member SIPC.

Publisher

Kirill Krylov

Category

business · news

Language

en

Explicit

No

First episode

25 Jun 2025

Latest episode

19 Oct 2026

Latest episodes

60 episodes in the feed.

1. 

   19 Oct 2026

   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 mortgage structures could reshape housing turnover and agency MBS prepayments. They examine why rising household dissolution among aging homeowners may eventually weaken the mortgage lock-in effect, and whether defeasance could allow borrowers to unlock the economic value of low-rate mortgages without conventional prepayment. The episode also explores the resurgence of hybrid ARMs as an affordability tool and the potential implications for agency issuance, along with the unusual two-sided prepayment profile of low-FICO Rocket-serviced collateral.

2. 

   5 Oct 2026

   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 created an attractive re-entry point for agency mortgages. The episode explores how temporary mortgage-rate buydowns can provide call protection while subsidies remain in place but create a potential path to principal return as they expire, and why substantial borrower equity can weaken the traditional mortgage lock-in story in deeply discounted collateral. Kirill also looks beyond headline yields in CMO floaters, using relative-value analysis to distinguish structures that genuinely offer excess yield from those simply compensating investors for cap and extension risk.

3. 

   28 Sept 2026

   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 across agency MBS. They discuss why Fannie Mae’s new proactive mortgage-insurance cancellation outreach could make existing low-rate mortgages easier for some borrowers to keep, and why seasoned 5.5s that already survived a refinancing opportunity may offer inexpensive evidence of call protection. The episode also explores why specified collateral can still add value in deeply discounted coupons, where faster housing turnover can improve pull-to-par and carry today while call-protection characteristics may provide value if rates eventually rally.

Reach and audience

Public platform figures. Ratings count people who left a rating, not total listeners.

Apple Podcasts (US)

5.0 / 5

9 ratings

Spotify

5.0 / 5

3 ratings

Podcast Authority Score: 44 / 100

A composite of feed quality, social presence, YouTube performance and engagement. Read the methodology.

Quality

75

Social presence

0

YouTube

0

Engagement

32

Contact Baird Fixed Income Insights: Convexity Pulse

Guest appearances

Books guests

Based on episode analysis; this does not confirm that the show is currently accepting guests.

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