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psaspeed2default

Benchmark default

Description

example

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

Examples

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This example shows how to compute the benchmark default rates on the performing balance of mortgage-backed securities per PSA benchmark speed, given a mortgage-backed security with annual speed set at the PSA default benchmark.

DefaultSpeed = 100;

[ADRPSA, MDRPSA] = psaspeed2default(DefaultSpeed)
ADRPSA = 360×1

    0.0002
    0.0004
    0.0006
    0.0008
    0.0010
    0.0012
    0.0014
    0.0016
    0.0018
    0.0020
      ⋮

MDRPSA = 360×1
10-3 ×

    0.0167
    0.0333
    0.0500
    0.0667
    0.0834
    0.1001
    0.1167
    0.1334
    0.1501
    0.1668
      ⋮

Input Arguments

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Annual speed relative to the benchmark, specified as an NDEF-by-1 vector. The PSA benchmark is 100.

Data Types: double

Output Arguments

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PSA default rate, returned as a 360-by-NDEF vector in decimals.

PSA monthly default rate, returned as a 360-by-NDEF vector in decimals.

References

[1] PSA Uniform Practices, SF-49

Introduced before R2006a