Schweser practice exam vol 1, Exam 1 Afternoon Session
Q109 Determind the single month mortality rate for MBS-X for month 20 using 200PSA.
Solution says step 1) find the appropriate CPR by using 6%*(20/30)*2
but where does 6% and 30(denominator) come from?
Thanks.作者: senlinlang 时间: 2011-7-13 16:42
it given in the CFAI book something like after month 30 CPR is 6
below 30 months CPR is a fraction of the 6.
just check in the book its just a few lienes where they talk about this作者: scarecrow 时间: 2011-7-13 16:42
CPR is .2% per month up to 30 months, where its at its max
200 is the PSA作者: Rasec 时间: 2011-7-13 16:42
This is the stuff that is "must know"
CPR is an annual rate
100PSA is standard - at 100PSA, CPR=.2% per month for up to 30 months. After 30 months CPR increases to 6% per month until maturity
And these are the calculations:
CPR for month 20 will be 20*.002=.04 this is 100PSA for month 20
200 PSA would be 2*.04=.08作者: tikfed 时间: 2011-7-13 16:42
Is it true that regardless of the maturity years, CPR is always .2% per month up to 30 months, where its at its max ?
