Myth of Permanent Lock-In & Wine Cellar Theory of CMOs

In this week's Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why today's mortgage market continues to defy simple narratives. They examine how shifting Fed expectations and persistent macro uncertainty are reinforcing the importance of disciplined security selection over broad directional bets. The episode also explores why "aging in place" may not permanently suppress housing turnover as many investors assume, why recent swings in GSE portfolio activity may say less about long-term demand than headlines suggest, and how the agency CMO market is evolving from broad valuation opportunities toward a more selective, collateral-driven environment.