Refinance Friction Zone of High DTI & Return of Convexity Hedging Monster

Every generation believes it is navigating unprecedented uncertainty. This week, Kirill Krylov and Steven Scheerer explore what that uncertainty means for mortgage investors today. The discussion covers a surge in bond fund inflows, renewed strength in agency MBS performance, and the increasingly constructive technical backdrop created by limited supply and delayed refinancing activity. The hosts then examine whether the "convexity beast" is beginning to wake up as higher-coupon collateral and shifting ownership dynamics bring mortgage hedging flows back into focus. The episode concludes with a look at rising borrower debt-to-income ratios and a new perspective on refinance risk. Rather than focusing solely on underwriting denial thresholds, Kirill and Steven argue that refinance flexibility may gradually erode long before borrowers encounter a hard underwriting wall.