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Basic Question 3 of 9
Using the Public Securities Association Prepayment benchmark, calculate CPR and SMM.
User Contributed Comments 6
| User | Comment |
|---|---|
| danlan2 | Using PSA benchmark, CPR = 6%*t/30 When PSA=90, CPR=0.9*0.06*10/30=1.8% |
| pb09 | where'd we get 6% and 10/30 from?? |
| bodduna | If t<30, cpr = 6%*t/30, If t>30, cpr = 6%. It is a standard |
| Catalin92 | This came from nowhere... |
| khalifa92 | yeah and there's no emphasize about it in the book. just 3 lines. |
| Ewan2015 | odduna: Thank you for explaining that. Better than the summary that makes no mention of that standard :( |
I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
Learning Outcome Statements
describe types and characteristics of residential mortgage-backed securities, including mortgage pass-through securities and collateralized mortgage obligations, and explain the cash flows and risks for each type
CFA® 2024 Level I Curriculum, Volume 4, Module 19.