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You are marking a pool of mortgages to market. The current yield to maturity (annual compounding) for these mortgages is 5.25%. The mortgage pool is

You are marking a pool of mortgages to market. The current yield to maturity (annual compounding) for these mortgages is 5.25%. The mortgage pool is expected to produce the following cash flows over the next five years (paid at the end of each year).

1 2 3 4 5
Pass through cash flow 2,400,000 1,800,000 1,300,000 800,000 400,000

The pool is expected to be fully repaid at the end of this period, meaning you expect no further cash flows beyond year-5. What is the current market value of this mortgage pool?

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