Yes, and just like for the case of a classical transformer PSU, there are terms and conditions under which it will do what it says it will.
A SMPS is a vastly more complicated affair than a transformer PSU but in essence it works almost the same. In a SMPS, the equivalent of a 22000uF cap is divided between two potions of the circuit. Energy storage between mains half-cycles is handled by a lower capcitance but higher voltage cap in the primary circuit of the SMPS. The usual way is full-wave rectifying the mains voltage into the cap. Because there is no stray inductance to limit the inrush current as in a standard transformer PSU, there has to be considerable input filtering or you get all sorts of hash into the mains. However, because energy storage in capacitors increases with voltage squared, a smaller capacitor can be used.
The voltage on the capacitor (which includes mains frequency x 2 ripple) is then 'chopped' into a HF waveform which, due to the high frequency, can efficiently pass through a very small transformer. On the other side of said transformer there is a fast rectifier and a filter cap.
The important part here is, you could in theory do away with the primary side capacitor, but then you would need the same order of size caps in the secondary as used in standard mains transformer type PSU.
If, however, you use regulation, then you can compensate for the 100/120Hz ripple in the primary side voltage, and then you need a much smaller capacitor because it has to hold charge for a far shorter time, namely, that between the periods of the conversion frequency.
This basic principle holds true for almost all SMPS topologies (and there are many). However, in the sace of a SMPS, you once again cannot even begin to disregard the filter caps and currents other than audio, that pass through them. SMPS filtering is perhaps the most demanding role an electrolytic cap can have, which is why fitting even high quality regular electrolytics in a SMPS output will usually result in them failing and exploding in a rather short time (sometimes seconds). If it was just audio currents going through them, this would certaily not be the case, which should tell you a lot.