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Churning · 2020年01月31日

问一道题:NO.PZ2018062020000030

问题如下:

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.

解释:

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.

老师能解释下这道题的意思吗 不太理解

1 个答案

吴昊_品职助教 · 2020年02月03日

嗨,从没放弃的小努力你好:


SMM是月提前还款率。Contraction risk是缩期风险,当提前还款率升高,真实的提前还款率大于预定的还款速度时,会发生缩期风险。B选项缩期风险降低,换句话说提前还款率降低,即SMM降低。


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