neiln, page-8

buy 100,000 TIMPB at 1.36 = $136,000
Interest on 2.00 face(grossed up)= $19,621
cash redemption = $200,000
profit=$83621

short 68% times 100,000 = 68,000 TIM @ .90 say
redeem at 2.50 = 1.70 times 68,000 = $115,600 loss from short;

assume your $5000 short funding

Total loss = $36971

Yes, if cash redemption, it is in fact a losing trade;

Tha is indeed the catch plus my model neglected funding the out of money position