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Assume $1 million par value of a 5% mortgage pool is sold for 103.50 in March and repurchased in April for 102.60. The coupon and

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Assume $1 million par value of a 5% mortgage pool is sold for 103.50 in March and repurchased in April for 102.60. The coupon and principal payments for the month are approximately 0.5% of par value. The payment date is the 10th day of each month, and funds can be invested at a monthly rate of 0.2%. Which of the following amounts is closest to the value of the dollar roll? A. $1,927 B. $4,684 C. $6,073 D. $7,462

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