11.3.1.3 PSA Method

The PSA Prepayment Method (Public Securities Association Standard Prepayment Model) is a standardized Prepayment Model that is built on a single dimension, remaining term. The PSA curve is a schedule of prepayments, which assumes that prepayments occur at a rate of 0.2 percent CPR in the first month, and increases an additional 0.2 percent CPR each month until the 30th month and prepays at a rate of 6 percent CPR thereafter ("100 percent PSA"). PSA prepayment speeds are expressed as a multiple of this base scenario. For example, a 200 percent PSA assumes annual prepayment rates will be twice as fast in each of these periods -- 0.4 percent in the first month, 0.8 percent in the second month, reaching 12 percent in month 30 and remaining at 12 percent after that. A zero percent PSA assumes no prepayments.

You can create your origination date ranges and assign a particular PSA speed to all the instruments with origination dates within a particular origination date range.

Note:

PSA speed inputs can be between 0 and 1667.