题目
Under a constant maturity mortality approach, the monthly rate of prepayment （ ） on a mortgage (aka, single month mortality rate, SMM) is found to be 0.40%. What is the annualized conditional prepayment rate (CPR)?
选项
A.4.70%
B.4.80%
C.6.00%
D.95.30%
答案
A
解析
CPR=1–(1–SMM)^12=1–(1–0.40%)^12=1– 0.996^12=4.70% 本题解析如下： CPR=1–(1–SMM)^12=1–(1–0.40%)^12=1– 0.996^12=4.70%