Steven Took the Week Off; Kirill & MBS Market Did Not Take It Well

Podcast: Baird Fixed Income Insights: Convexity Pulse · Kirill Krylov

Opublikowano: 2026-10-05

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 comp...