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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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A fixed-income portfolio manager purchases a seasoned 5.5% agency mortgage-backed security with a weighted average loan age of 60 months. The current balance on the loans is USD 20 million, and the conditional prepayment rate is assumed to be constant at 0.4% per year. Which of the following is closest to the expected principal prepayment this month?

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