Reddit

**Question 46** The conditional prepayment rate for an MBS is 0.15% for the first month after origination, and it is estimated to increase 0.15% every month for the next 36 months. What is the single monthly mortality rate (SMM) for the seventh month, assuming a 125 PSA? | Financial Risk Manager Part 1 Quiz - LeetQuiz

Explanation:

CPR_{Month\_7} = 7 \times 0.15\% = 1.05\%

125\,PSA = 1.25 \times 0.0105 = 0.0131

SMM = 1 - (1 - 0.0131)^{1/12} = 0.001098

(Book 3, Module 44.2, LO 44.d)

Comments (0)

No comments yet.

Financial Risk Manager Part 1

Get started today

Comments (0)

Get started today

Question 46

The conditional prepayment rate for an MBS is 0.15% for the first month after origination, and it is estimated to increase 0.15% every month for the next 36 months. What is the single monthly mortality rate (SMM) for the seventh month, assuming a 125 PSA?

Comments (0)

Financial Risk Manager Part 1

Get started today

Comments (0)

Get started today

Question 46 The conditional prepayment rate for an MBS is 0.15% for the first month after origination, and it is estimated to increase 0.15% every month for the next 36 months. What is the single monthly mortality rate (SMM) for the seventh month, assuming a 125 PSA?

Comments (0)

Question 46

The conditional prepayment rate for an MBS is 0.15% for the first month after origination, and it is estimated to increase 0.15% every month for the next 36 months. What is the single monthly mortality rate (SMM) for the seventh month, assuming a 125 PSA?