
Explanation:
Correct Answer: B
Explanation:
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612.1. Consider the following amortization schedule for a $1.0 million mortgage loan that fully amortizes in ten years:
| Principal (L) | $1,000,000 |
|---|---|
| Yield (y) | 6.0% |
| Variable: (t) | IPMT (a) | PPMT (b) | PMT (c) | c/(1+y)^t (d) | t*b/L (e) | t*d/L (f) |
|---|---|---|---|---|---|---|
| 1 | $60,000 | $75,868 | $135,868 | $128,177 | 0.08 | 0.13 |
| 2 | $55,448 | $80,420 | $135,868 | $120,922 | 0.16 | 0.24 |
| 3 | $50,623 | $85,245 | $135,868 | $114,077 | 0.26 | 0.34 |
| 4 | $45,508 | $90,360 | $135,868 | $107,620 | 0.36 | 0.43 |
| 5 | $40,086 | $95,782 | $135,868 | $101,528 | 0.48 | 0.51 |
| 6 | $34,340 | $101,528 | $135,868 | $95,782 | 0.61 | 0.57 |
| 7 | $28,248 | $107,620 | $135,868 | $90,360 | 0.75 | 0.63 |
| 8 | $21,791 | $114,077 | $135,868 | $85,245 | 0.91 | 0.68 |
| 9 | $14,946 | $120,922 | $135,868 | $80,420 | 1.09 | 0.72 |
| 10 | $7,691 | $128,177 | $135,868 | $75,868 | 1.28 | 0.76 |
| Sum: | $1,000,000 | 5.98 | 5.02 |
Each of the following statements is true EXCEPT, which is false?
A
The Macaulay duration is 5.02 years
B
If the yield increases to 7.0%, the Macaulay duration will increase to 5.09 years
C
The weighted average life (WAL) is 5.98 years
D
If the yield increases to 7.0%, the WAL will increase to 6.05 years