Previous discussion here that gives more background about the topic:

https://news.ycombinator.com/item?id=13781408

tl;dr: the PSP is a full computer that lives between the instructions that get sent to your CPU and what your CPU actually executes. It's obviously a huge security problem, because if a backdoor in the PSP gets exploited, you cannot trust your computer in any way, and there is no way for you to verify whether it is being exploited or not. AMD said they might open source it, but even that wouldn't do much to establish trust.