Anybody understand how for exhibit 24 it’s possible to have a lower YTM and lower convexity than the index portfolio?
YTM is 1.356 abd convexity is 0.779 for portfolio. And is YTM of 1.4350 for benchmark and convexity of .801.
Again, the emphasis throughout the chapter and what has been shown is that higher convexity leads to lower yields. Also, it doesnt seem to go with the text with because it says the all in pro forma has no MBS and therefore higher convexity than benchmark.
Thanks,