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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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