FRM考试真题解析，备考生必看！

发布时间：2022-06-16 09:57来源： 融跃教育FRM

在FRM备考冲刺阶段，做大量的真题练习是很重要的，尤其是近两年的FRM真题练习，下面是FRM考试真题解析，备考生必看！

If a pool of mortgage loans begins the month with a balance of $10,500,000, has a scheduled principal payment of $54,800, and ends the month with a balance of $9,800,000, what is the CPR for this month?

A) 6.177%

B) 42.240%

C) 53.472%

答案：C

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解析：We use the following formulas: SMM = (prepayment/beg. bal - scheduled principal payment) and (1 - SMM)12 = (1 - CPR).

Prepayment = actual payment - scheduled payment = ($10,500,000 - $9,800,000) - $54,800 = $700,000 - $54,800 = $645,200.

So: $645,200/($10,500,000-$54,800)=0.06177 and CPR=1- (1- 0.06177)12 = 0.5347 = 53.47%

How many of the following statements concerning the capital structure in a securitization are most likely correct?

Ⅰ.The senior tranche is typically the smallest tranche size while the equity tranch

is usually the largest tranch size.

Ⅱ.The equity tranches typically offer fixed coupons.

Ⅲ.The senior tranche typically receives the highest coupon.

A) Zero statements are correct.

B) One statement is correct.

C) Two statements are correct.

D) Three statements are correct.

答案：A

解析：Senior tranches are perceived to be the safest, so they receive the lowest coupon. The equity tranche receives residual cash flows and no explicit coupon. Although the mezzanine tranche is often thin, the equity tranche is typically the thinnest slice.

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