About this Metric

Total PT yield earned less total borrow cost paid, divided by principal, principal being collateral net of debt, so this is the leveraged return on the money loopers actually put in rather than the unlevered spread between PT yield and borrow cost. The PT leg uses each position's cost basis, the rate it locked in, while the borrow leg uses the current rate, because borrow rates float while PT yield is fixed at entry; only positions where both rates are known are counted, with the denominator drawn from that same subset. Debt excludes accrued borrow interest, so borrow cost is understated and the figure reads slightly optimistic.