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 An investor has financed a purchase of an MBS pool using a dollar valued at USD 10 million. The net proceeds of buying the January/February dollar are USD 133000. The short term interest rate is 0.5%, and the expected total principal pay down is 1%. The current prices are in the table below: 
 
FNMA 30-Year TBAs 4% Coupon 
Settlement Price 
15-Jan       102.00 
15-Feb       101.73 |   
 
 
 
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