In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer are joined by Bloomberg Intelligence MBS Strategist Erica Adelberg to examine the “hidden costs of cheap” across housing and mortgage markets. They discuss why policies designed to lower borrowing costs can have unintended consequences for home prices, MBS convexity, and GSE credit risk, while exploring how VantageScore adoption and increasing originator concentration could reshape refinancing behavior. The conversation also covers the changing marginal buyer of agency MBS, the evolving role of banks and foreign capital, and how builder incentives and shifting housing affordability are changing the collateral reaching the mortgage market.

In this week’s Convexity Pulse, Kirill Krylov and Steven Scheerer discuss how rising federal debt and persistent Treasury supply could keep pressure on long-duration assets even if the Fed eventually eases, while Fannie Mae’s latest forecast pushes the expected refinancing wave further into the future.

They examine a new wrinkle in VantageScore adoption, as updated mortgage-insurer capital requirements create different economics for VS4 and Classic FICO loans and add another layer of complexity for credit-focused specified pools.

The episode also explores Ginnie Mae’s enhanced disclosures, which allow investors to separate FHA and VA delinquency at the pool level and more precisely analyze how serious delinquency may translate into future buyouts and par principal.

In this week's Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why agency MBS can look expensive at the broad basis level while still offering compelling opportunities beneath the surface. They examine how VantageScore adoption is changing the information content of traditional low-credit-score specified pools, potentially creating new distinctions in refinance friction and call protection. The episode also explores the return of bank demand, where recent Call Report data show depositories adding agency MBS selectively through Ginnies and CMOs rather than broadly extending into conventional pass-throughs.