Within the OP’s original case the borrowed funds had been amortizing plus your model certainly is the funding are IO. The «amortization happens to be minimal» comment happens to be wrong, it generates a massive variation on ROE.

Within the OP’s original case the borrowed funds had been amortizing plus your model certainly is the funding are IO. The «amortization happens to be minimal» comment happens to be wrong, it generates a massive variation on ROE. The OP had adverse arb in the credit YOC vs. worth of financial obligation (4.75% versus 5.77percent). Inside your instance there exists […]