A $1.4 Billion Ticket to Better Carry

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

Opublikowano: 2026-10-26

In this week's Convexity Pulse, Kirill Krylov and Steven Scheerer discuss Truist's recent $8 billion portfolio repositioning and what the $1.4 billion accompanying loss reveals about the changing economics of bank investment portfolios and the uneven return of depository demand. The episode also explores the surprising prepayment behavior of extended-term Ginnie Mae collateral, where 40-year modified mortgages can generate unusually fast principal returns, and how combining AmeriHome servicing with loan-balance restrictions may offer more efficient call protection in 30-year 6s.