Fixed-Income Toolbox™

psaspeed2default - Benchmark default

Syntax

[ADRPSA, MDRPSA] = psaspeed2default(DefaultSpeed)

Arguments

Description

[ADRPSA, MDRPSA] = psaspeed2default(DefaultSpeed) computes the benchmark default on the performing balance of mortgage-backed securities per PSA benchmark speed.

ADRPSA is the PSA default rate, in decimal (360-by-1).

MDRPSA is the PSA monthly default rate, in decimal (360-by-1).

Examples

Given a mortgage-backed security with annual speed set at the PSA default benchmark, compute the default rates.

DefaultSpeed = 100;

[ADRPSA, MDRPSA] = psaspeed2default(DefaultSpeed);

See Also

psaspeed2rate

mbsyield2speed

psaspeed2rate