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Primer 2005

Primer 2005

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Published by: andrewzky on Jun 10, 2011
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04/06/2015

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2005 EDITION
Home EquityHandbook
Editors:Charles Schorin Monica Mehra 
 
901
This material has been prepared in accordance with ourconflict management policy. The policy describes ourorganizational and administrative arrangements for theavoidance, management and disclosure of conflicts ofinterest. The policy is available at: www.morganstanley.com/ institutional/research.Please see additional important disclosures at the end of thismaterial.
Morgan Stanley &Co. IncorporatedFebruary 17, 2005
2005 EDITION
Home EquityHandbook
Editors:Charles SchorinMonica Mehra
 
Home Equity Handbook
SECTION I. INTRODUCTION TO THE HOME EQUITY MARKET1
MARKET
O
VERVIEW1
5
Market SizeCollateral Types Transaction StructureUnderwriting Guidelines
SECTION II. THECOLLATERAL2
COLLATERAL
T
YPES9
2
7
 Traditional Subprime MortgagesHome Equity Lines ofCredit (HELOCs)Home Improvement Loans (HILs)High Combined Loan-to-Value Loans (High CLTVs)
3
FICO
BORROWER
C
REDIT
S
CORES29
4
5
ParametersMigration PatternsDistribution AnalysisCumulative Loss Projections
4
PERFORMANCE
B
Y
C
HARACTERISTIC47
6
1
Factors Affecting DefaultDefault Prediction Regression
5
TRANSITION
R
OLL
R
ATE
M
ATRIX63
6
5
Delinquency Migration Patterns
6
SERVICER
R
ATINGS67
7
3
Rating Criteria Types ofServicing Product Distinction
SECTION III. METRICS7
PREPAYMENTS77
9
4
Historical PerformanceImpact on Available Funds CapPrepayment Rate Stability 
8
DELINQUENCIES95
1
03
Performance by StatusDefault Timing Excess Spread Surveillance
9
LOSS
S
EVERITY105
1
09
Loan Size Impact
10
CREDIT
E
NHANCEMENT111
1
15
Stressing Subordination Levels
SECTION IV. THE STRUCTURE11
MEZZANINE
& S
UBORDINATE
C
LASSES119
1
36
Loss,Prepayment and LIBOR Stresses Analyzing Performance

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