QT is Nearing an End while the Hunt for Convexity Lives On

This week on the Convexity Pulse, Kirill Krylov and Steven Scheerer recap a “pre-Halloween rally” in Treasuries as softer inflation and fresh Russia sanctions push yields below 4%. They discuss the approaching end of Quantitative Tightening, a growing call for GSEs to re-enter the MBS market, and how that could reshape spreads and affordability. The duo closes with a deep dive into relative-value trades across the belly and premium coupons, revealing where convexity still hides in plain sight from inefficient Loan Balance 4.5s to high-DTI Mission 5.5s.