题目
The single monthly mortality rate (SMM) most likely:
选项
A.increases as extension risk rises.
B.decreases as contraction risk falls.
C.stays fixed over time when the standard prepayment model remains at 100 PSA.
答案
B
解析
： B is correct. The SMM is a monthly measure of the prepayment rate or prepayment speed. Contraction risk is the risk that when interest rates decline, actual prepayments will be higher than forecast. So if contraction risk falls, prepayments are likely to be lower than forecast, which would imply a decrease in the SMM. A is incorrect because the SMM is a monthly measure of the prepayment rate or prepayment speed. Extension risk is the risk that when interest rates rise, actual prepayments will be lower than forecast. So if extension risk rises, prepayments are likely to be lower than forecast, which would imply a decrease, not an increase, in the SMM. C is incorrect because at 100 PSA, investors can expect prepayments to follow the PSA prepayment benchmark. Based on historical patterns, the PSA standard model assumes that prepayment rates are low for newly initiated mortgages and then speed up as mortgages season. Thus, 100 PSA does not imply that the SMM remains the same but, rather, implies that it will vary over the life of the mortgage. ： B是正确的。SMM是提前还款率或提前还款速度的月度度量。收缩风险是指当利率下降时，实际预付款将高于预期的风险。因此，如果收缩风险下降，预付款可能低于预期，这意味着SMM将减少。 A不正确，因为SMM是提前还款率或提前还款速度的月度度量。延期风险是指当利率上升时，实际预付款将低于预期的风险。因此，如果延期风险上升，预付款可能会低于预期，这意味着SMM将减少，而不是增加。 C是不正确的，因为在100 PSA时，投资者可以预期预付款将遵循PSA预付款基准。基于历史模式，PSA标准模型假设新发起的抵押贷款的提前还款率较低，然后随着抵押贷款季节的加快而加快。因此，100 PSA并不意味着SMM保持不变，而是意味着它将在抵押贷款的生命周期内发生变化。