下面这个题目，已知CPR--得出SMM, 然后求解Prement
1-CPR = (1 – SMM)^12
SMM = 1 – (1 – CPR)1/12 = 1 – (1 – 0.006)1/12 = 0.0005014 = 0.05014%
按照书上的公式 PRE = SMM*(Mort begining - Scheduled principal payment）
Scheduled principal payment = PMT -interest
N=60, I/y=5%/12, PV=32M, FV=0 >> PMT=604,466
Monthly interest = 32M*5%/12=133,333
Scheduled principal payment = 471,133
PRE=0.05014%*(32M-471,133)=15,809
但是答案是直接按照
PRE = SMM*Mort begining
The expected principal prepayment is equal to the percentage of principal
outstanding at the beginning of the month that is prepaid during the month =
32,000,000 * 0.0005014 = USD 16,044.80
不知道哪个是对的？
98. Question
A fixed-income portfolio manager purchases a seasoned 5% agency MBS with a
weighted average loan age of 60 months. The current balance on the loans at the
beginning of this month is USD 32 million, and the conditional prepayment rate is
assumed to be constant at 0.6% per year. Which of the following is closest to the
expected principal prepayment this month?
