1

The portfolio has a maturity mismatch. Because the funding book was built by an
allocation of the 3 month, 6 month and 1 year maturities while the investing
book was built with 5 year, 7 year and 10 year maturities, there's roll/funding
risk.

I calculated that you'd need to roll/refinance the funding portfolio 9.29 times (10
times essentially) to get the weighted average maturity mismatch taken care of.
 2

Here you can note the decline in P&L, and the shape of the curve at t=1 is still a
relatively steep bull curve. But you don't need to have the curve invert for it to
kill you, This was just a flattening and you could see what it does.