The Officially Unofficial 50th Show and The State of Convexity in the State of FL

In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer finally reunite for the podcast’s long-delayed “50th” episode and discuss a mortgage market caught between elevated volatility and still-powerful carry dynamics. They examine how strong fixed income inflows, resilient refinance friction, and improving higher-coupon prepayment behavior continue supporting agency MBS despite rising Treasury yields and macro uncertainty. The episode also explores growing stress within consumer balance sheets, where rising insurance costs, HELOC usage, and elevated DTIs are creating increasingly segmented borrower behavior. Finally, they dive into two evolving specified pool stories: Florida collateral, where refinance friction is beginning to resemble New York-style call protection, and UWM low-balance pools, where selective recapture behavior is reshaping historical prepayment assumptions.