Mixtape Side B: From Vantage to Ginnie: More Data, More Questions

In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss how rising federal debt and persistent Treasury supply could keep pressure on long-duration assets even if the Fed eventually eases, while Fannie Mae’s latest forecast pushes the expected refinancing wave further into the future. They examine a new wrinkle in VantageScore adoption, as updated mortgage-insurer capital requirements create different economics for VS4 and Classic FICO loans and add another layer of complexity for credit-focused specified pools. The episode also explores Ginnie Mae’s enhanced disclosures, which allow investors to separate FHA and VA delinquency at the pool level and more precisely analyze how serious delinquency may translate into future buyouts and par principal.