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6) (10 points) Consider 100mm of a newly created 30yr FN 5.5 pool with underlying borrowers
who have 6% note rates: a. Assuming no prepayments for life (O CPR), what is the average life of
this pool? b. Assuming a flat 6cpr for life, what is the average life of this pool?

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6 10 points Consider 100mm of a newly created 30yr FN 5.pdf

  • 1. 6) (10 points) Consider 100mm of a newly created 30yr FN 5.5 pool with underlying borrowers who have 6% note rates: a. Assuming no prepayments for life (O CPR), what is the average life of this pool? b. Assuming a flat 6cpr for life, what is the average life of this pool?