FRM一级金融市场产品例题解析
题目一：
A pass-through mortgage-based security (MBS) assumes a 200% PSA prepayment speed. The pool has an original weighted average maturity (WAM) of 360 months but now has an age of 60 months (five years).
What is the model's assumption, at this month 60, for the single month mortality (SMM) rate?
A. 0.92%
B. 1.00%
C. 1.06%
D. 1.14%
答案：C
解析：100% PSA levels off at 6% CPR for months 31 to maturity. 200% PSA implies 12% CPR after 30 months. Therefore, SMM = 1 - (1-CPR)^(1/12) = 1 - (1-12%)^(1/12) = 1.06% ,在 31 个月至到期之间，100％ PSA 水平为 6％CPR。200％PSA 意味着 30 个月后CPR 为 12％。 因此， SMM = 1-（1-CPR）^（1/12）= 1-（1-12％）^（1/12）= 1.06％
关联考点：PSA与SMM之间的转换计算
易错点分析：根据规定，100PSA代表标准的提前还款率，正常情况下，每个月增加0.2%，只到第30个月增加到6%（0.2%*30）就不再增加，如果是200PSA说明其提前还款率是标准提前还款率的2倍，也就是增加到第30个月后是6%*2=12%，此后便不在增加，这个是要作为常识记住的。
题目二：
Consider day count convention and, specifically, the following example:
A semiannual bond with $100 face value has a 4% coupon. Today is August 3. Assume coupon dates of March 1 and September 1. Which of the following statements is true?
A. Corporate bonds accrue more interest in July than T-bonds.
B. Corporate bonds accrue more interest from March 1 to September 1 than September 1 to March 1 .
C. Corporate bonds accrue more interest than T-bonds for this period (March 1 to August 3).
D. The T-bond accrued interest is $1.76 for this period (March 1 to August 3).
答案：C
解析：July accrued T-bond interest is 31/184 = 0.1685;
July accrued corporate bond interest is 30/180 = 0.1667.
T-bonds accrue 155/184 = 0. 8424 x $2 = $1.6848;
C-bonds accrue 152/180 = 0.8444 x $2 = $1.6889.
关联考点：T-bond（actual/actual)和公司债(30/360）的计息惯例
易错点分析：对T-bond（actual/actual)和公司债(30/360）的计息惯例不够熟悉，记忆出现偏差。
