Baird Fixed Income Insights: Convexity Pulse
Jul 27, 2026 · 22 min · 8 segments
In this week's Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why growing macro uncertainty has done little to change their constructive intermediate-term outlook for agency MBS, as…
Kirill KrylovHost
Steven ScheererHost
Well, fortunately, mortgage investors can afford to be a little more patient than the average group chat, right? For sure.
Steven, if you had taken a two-week vacation and just looked at today's headline, you'd probably conclude that the world has gone a little mad and, if not, at least become a much more dangerous place for fixed income investors.
And the conflict in the Middle East continues to inject another layer of uncertainty into an already complicated macro picture.
But what I find interesting, Stephen, is that when you step back, the investment story for mortgages really hasn't necessarily become more bearish.
Yes, higher treasury yields, higher volatility, widened mortgage spread this week.
At the same time, the list of potential buyers who are lining up to buy more mortgage-backed securities is getting longer.
Yeah, I know, maybe less aggressively than we all hope, but they are expanding.
In other words, the demand side of the equation is quietly improving just as supply outlook begins to soften.
And this is not at all a terrible combination for mortgage basis, at least over the intermediate term.
Well, fortunately, mortgage investors can afford to be a little more patient than the average group chat, right? For sure.
Steven, if you had taken a two-week vacation and just looked at today's headline, you'd probably conclude that the world has gone a little mad and, if not, at least become a much more dangerous place for fixed income investors.
And the conflict in the Middle East continues to inject another layer of uncertainty into an already complicated macro picture.
But what I find interesting, Stephen, is that when you step back, the investment story for mortgages really hasn't necessarily become more bearish.
Yes, higher treasury yields, higher volatility, widened mortgage spread this week.
At the same time, the list of potential buyers who are lining up to buy more mortgage-backed securities is getting longer.
Yeah, I know, maybe less aggressively than we all hope, but they are expanding.
In other words, the demand side of the equation is quietly improving just as supply outlook begins to soften.
And this is not at all a terrible combination for mortgage basis, at least over the intermediate term.
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