Baird Fixed Income Insights: Convexity Pulse
Jun 29, 2026 · 26 min · 8 segments
In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why technical factors continue supporting agency MBS, even as spreads approach fair value and investors become increasingly…
Kirill KrylovHost
Steven ScheererHost
Ah, and speaking of probabilities, Steven, uh, that's really good segue, actually, into this week's discussion because the market is trying to price everything from payrolls to Fed policy to mortgage spreads.
And today we will talk about where we think the odds are not in your favor or simply mispriced.
[upbeat music] Steven, not only we had a pretty busy week, as you correctly pointed out, we're also looking at fairly busy week ahead, even though a short one.
But it really feels like, uh, everything starts with Thursday's, uh, em- employment report.
You know, the headline numbers matter, but I'll be paying even more attention to wages and unemployment.
If wage growth surprises to the upside or unemployment falls, that would likely push the market conversations to a higher for longer once again.
I will be paying attention to my barbecue, uh, seasoning as Fourth of July approach.
But yes, market is already pricing some probability of additional tightening, clearly.
The economy has been resilient enough to, uh, take rate cuts off of the table, well, at least for now.
But the extended pause still looks more likely to me than a new and aggressive hiking cycle.
Well, like you said, Thursday's report should definitely give us a clearer view.
Ah, and speaking of probabilities, Steven, uh, that's really good segue, actually, into this week's discussion because the market is trying to price everything from payrolls to Fed policy to mortgage spreads.
And today we will talk about where we think the odds are not in your favor or simply mispriced.
[upbeat music] Steven, not only we had a pretty busy week, as you correctly pointed out, we're also looking at fairly busy week ahead, even though a short one.
But it really feels like, uh, everything starts with Thursday's, uh, em- employment report.
You know, the headline numbers matter, but I'll be paying even more attention to wages and unemployment.
If wage growth surprises to the upside or unemployment falls, that would likely push the market conversations to a higher for longer once again.
I will be paying attention to my barbecue, uh, seasoning as Fourth of July approach.
But yes, market is already pricing some probability of additional tightening, clearly.
The economy has been resilient enough to, uh, take rate cuts off of the table, well, at least for now.
But the extended pause still looks more likely to me than a new and aggressive hiking cycle.
Well, like you said, Thursday's report should definitely give us a clearer view.
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