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

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 as markets navigate a resilient labor market, geopolitical uncertainty, and an important upcoming inflation report. They examine whether the market is placing too much emphasis on GSE portfolio growth and not enough on the diminishing marginal impact of additional agency purchases, funding constraints, and the increasingly important role of private capital. The episode also explores a surprising specified-pool opportunity within AmeriHome collateral, where slower refinance responsiveness and correspondent-lending dynamics have created compelling relative-value opportunities across First-Time Buyer and low-loan-balance stories.