题目
If the conditional prepayment rate (CPR) for a pool of mortgages is assumed to be 5% on an annual basis and the weighted average maturity of the underlying mortgages is 15 years, which of the following amounts is closest to the constant maturity mortality?
选项
A.0.333%
B.0.405%
C.0.427%
D.0.5%
答案
C
解析
SMM=1 – (1 – CPR)^(1/12) = 1 – (1 – 0.05)^(1/12)= 1 – 0.95^(1/12)= 0.43% 这道题的计算过程如下： SMM=1 – (1 – CPR)^(1/12) = 1 – (1 – 0.05)^(1/12)= 1 – 0.95^(1/12)= 0.43%