Baird Fixed Income Insights: Convexity Pulse

Kirill Krylov

English Business Business News Investing News

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Episodes 46

Avg. Duration 18m

Activity Highly Active

Since Jun 2025

Latest Episode Jun 2026

Publishing Details

Schedule

Weekly

Format

Episodic

Consistency

80%

Hosting

feeds.transistor.fm

Contact & Outreach

About This Podcast

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.

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Recent Episodes

Diminishing Returns of GSE Buying and an Extra Scoop of Amerihome Gelato

Jun 08, 2026 20m

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 variable for agency MBS investors…

Future of OTM Speeds & The New Low Loan Balance Playbook

Jun 01, 2026 25m

In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why agency MBS fundamentals remain more constructive than recent volatility would suggest, despite geopolitical uncertainty…

The Officially Unofficial 50th Show and The State of Convexity in the State of FL

May 18, 2026 24m

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 between elevated volatility and…

Everything’s Bigger in Texas… Including OTM Prepays

May 11, 2026 18m

In this week’s Convexity Pulse, Kirill Krylov discusses how the mortgage market is transitioning from a volatility-driven environment toward one increasingly supported by carry, stable demand, and…

Tactical GSEs, Banks Eye Seasoned 30s, and the Prepayment Friction from Closing Costs

May 04, 2026 17m

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 demand support. He examines the…

Credit Matrix Reloaded: FICO, Vantage, and the Prepayment Impact

Apr 27, 2026 24m

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 uneven demand. They explore how GSE…

Vol, Performance, MBS Demand and A Look at the CCM / Two Harbors Merger

Apr 20, 2026 18m

In this week’s Convexity Pulse, Kirill Krylov discusses how improving technicals, declining volatility, and strong performance in production coupons are shifting the return profile in MBS from spread…

Why Production Coupons Could Benefit & Happy B-Day to Butch Cassidy

Apr 13, 2026 20m

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 expectations begin to soften. They…

Bank Demand Returns, GSEs Still Anchor, and Chasing VA Waterfalls

Mar 30, 2026 21m

Kirill Krylov and Steven Scheerer discuss the evolving technical backdrop for agency MBS, including continued support from GSE portfolios and renewed demand from banks. They also examine how market…

Regulatory Reform & Bank Demand, Stagflation & Road 2 Housing

Mar 23, 2026 20m

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 revisit their bank demand outlook…

"Luck of the Irish" Won't Fix Housing Deficit; And "Pot of Gold" in NY/CEMA Labyrinth

Mar 16, 2026 22m

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 persistent U.S. housing shortage…

Celebrating 250 Years of Adam Smith with the Invisible Hand of PIWs

Mar 09, 2026 21m

Kirill Krylov and Steven Scheerer review February’s prepayment report and explain why refinancing activity is increasingly concentrated in the higher coupons of the stack as modest rate rallies begin…

Can GSE Flexibility Keep Spreads from Widening into Geopolitical Volatility

Mar 02, 2026 18m

Kirill Krylov flies solo today to examine the market implications of escalating geopolitical tensions along with renewed volatility and what that could mean for mortgage spreads and GSE purchase…

K-Shape Recovery Impact on MBS, and Cash Window "Revolution"

Feb 17, 2026 21m

Kirill Krylov and Steven Scheerer unpack a January housing slowdown driven more by weather and normalization than structural weakness, while highlighting a meaningful shift in buyer leverage and…

Bad Bunny vs. Convexity-Cursed Chinchilla, Explosion in Ginnie Custom Issuance, And Supply Deficit in Spec Pools

Feb 09, 2026 22m

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 be an indicator of MBS investors…

The GSE Buying Paradox

Feb 02, 2026 16m

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, mortgage rates, and GSE reform. They…

Why Housing Policy Keeps Missing the Supply Problem

Jan 26, 2026 22m

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 meaningful shift from active to…

All Aboard: The Government Train Is Running Again

Jan 20, 2026 18m

Kirill Krylov and Steven Scheerer explore the tighter spreads in MBS post GSE purchase announcement, and why some investors are now hesitant to board the “government train.” They dive into where that…

The GSE MBS Shopping Spree: Watch Out for That First Step..It's a Doozy

Jan 12, 2026 21m

Kirill Krylov and Steven Scheerer break down the large-scale GSE MBS buying program announced last week and why a fast, visible policy fix may carry meaningful second-order consequences for market…

New Year Resolutions for Mortgage Investors

Jan 05, 2026 12m

In the first Convexity Pulse of 2026, Kirill Krylov kicks off the year assessing an MBS market that looks rich after a historically strong 2025. He walks through why spreads are tight across coupons…

Frequently Asked Questions

How many episodes does Baird Fixed Income Insights: Convexity Pulse have?

Baird Fixed Income Insights: Convexity Pulse has published 46 episodes since June 2025, covering topics in Business, Business News.

Is Baird Fixed Income Insights: Convexity Pulse still active?

Baird Fixed Income Insights: Convexity Pulse is currently highly active with new episodes weekly. Average episode length is 18m.

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