They have to keep them ongoing until they can find someone willing to buy them. Who would buy them? If they had the money and thought the risk acceptable, then perhaps almost anyone. But if they had to borrow the money, then it's only worth buying the assets if the income they will generate exceeds the cost of borrowing.
A mortgage book is a bit like a portfolio of gilts. Each mortgage you might want to buy has a redemption date (the date on which the borrower
*must* repay the loan at par, though he is usually free to do so earlier) and a yield (the interest rate, expressed, as with gilts, as a percentage of par (the amount borrowed)). This simple view applies to interest-only mortgages, it gets a bit more complicated with the repayment variety, but this is of no fundamental concern.If you could buy 6%-yielding gilts only by borrowing at 6.9%, you could break even (on the current account) only if you could buy them at less than 87% of par. The capital account will skew the results, of course, so any gain you expect to make by buying at a discount to par might compensate for some loss on the current account. And if the borrower redeems early, you collect a bonus!
It's not as simple as that. That's only a theoretical value in isolation. Its real value is what someone would be willing to pay for it, i.e. the value as perceived by a potential investor. This would take not only the above isolated value into consideration, but also its capability to generate income or gain (why else invest, after all?). And the cost of financing the deal must play a part too.