NO.PZ2023091701000177
问题如下：
A model risk manager is reviewing the output from a prepayment model for a portfolio of recently issued government agency-backed MBS, where balances on underlying mortgages are still relatively high. The model uses a scenario in which interest rates are relatively high and do not change, the equity market declines by 20%, demand for housing does not change, and unemployment increases by 2%. Based upon those inputs, the model indicates that prepayments will increase significantly over the next 6 to 18 months. Assuming the agency backing the MBS remains solvent, which of the following provides the most likely explanation for the increase in prepayments in the model scenario?
选项：
A.Curtailments are increasing.
B.Defaults are increasing.
C.More properties are being refinanced.
D.
Turnover is decreasing.
解释：
B is correct. The economic conditions are conducive to increasing consumer defaults. For an agency mortgage, defaults are treated as prepayments since the principal payoff will be made whole by the backing agency.
A is incorrect. Curtailments (early partial repayment of principal amounts) typically occur when loans are relatively old and balances are low. This is not referenced in this scenario.
C is incorrect. Refinancing arises when a borrower prepays a mortgage in order to refinance the underlying property. The most likely reason for this is a decline in interest rates. If rates are high, there is less incentive to refinance.
D is incorrect. Turnover occurs when people sell their houses to move to a different location. Lower turnover results in fewer prepayments.
老师解释一下选项B，谢谢