Baird Fixed Income Insights: Convexity Pulse

Kirill Krylov
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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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  1. VOR 6 TAGEN

    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 highlight Agency CMO issuance, which bounced back in July after a slower June and note how 2025 is on pace for a record-breaking year. This episode closes by unpacking how today’s housing affordability crisis stems from long-standing policy choices - not just rates or prices.

    18 Min.

  2. 28. JULI

    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 new VA partial claim framework and its market implications for Ginnie Mae MBS.

    11 Min.

  3. 21. JULI

    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 factors leading to higher delinquencies and faster Out-of-the-money speeds in certain MBS cohorts. They provide macro thoughts on the latest CPI print and take a look at liquidity through the prism of the Strategas composite.

    12 Min.

  4. 14. JULI

    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 perspective, he highlights the potential return of GSE portfolio buying, which could be an important source of MBS demand.

    9 Min.

  5. 7. JULI

    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 2025, and how the securitization rates have climbed across different loan types. For investors seeking strong call protection in premium MBS, they highlight the small, but growing, cohort of 2-4 unit loans with High LTV.

    13 Min.

  6. 30. JUNI

    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 market to a buyer’s market in many areas of the country.

    10 Min.

  7. 25. JUNI

    MBS Supply/Demand Outlook and a Dive into the Low FICO Space

    In the latest edition of our Fixed Income Insights podcast, Kirill Krylov discusses our MBS market supply and demand outlook and highlights two key subsets of Low FICO loans that add convexity enhancements under different rate environments.

    12 Min.
  • 7 Folgen

Info

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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