As of December 2003, the top 10 HEL issuers were as follows:

Rank	Deal Name ID	Issuer	Current Balance	Original Balance
1	RFC	Residential Funding Mortgage Securities II	71,494,232,159	242,072,452,603
2	CWF	Countrywide	53,251,532,489	121,935,129,123
3	RES	RESI Finance LP 2003-CBI/RESI Finance DE Corp 2003-CBI	48,353,376,295	77,933,014,483
4	WMS	Washington Mutual Mortgage Loan Trust	48,318,167,783	117,637,520,395
5	SAS	Structured Asset Securities Corp.	31,736,689,846	79,690,769,680
6	CSF	CS First Bostin Mortgage Securities Corp.	25,136,599,885	51,358,734,896
7	WFM	Wells Fargo Asset Securities Corp.	19,626,493,594	54,301,040,825
8	AMQ	Ameriquest Morgage Securities	19,536,932,462	26,361,542,952
9	BMS	Bank of America Mortgage Securities	18,245,906,439	58,215,862,836
10	MAS	MASTR Asset Securitization Trust	16,932,910,886	26,611,801,713

The model will have a parameter set for each of the above 10 issuers. While running the model, if issuer information is not available, then a generic parameter set (an average across all issuers) will be used.

Developing a model involves access to variables that do not have too many missing values. Even though FICO is an important explanatory variable in describing the variation in prepayments for HELs, we do not have access to a full set of FICO scores across all issuers. Hence, we use a proxy variable to determine the credit rating of a borrower. We use the Spread at Origination (SatO) variable which is calculated as the difference between the loan rate and the rate on a par-priced FNMA 30 year mortgage.

The other variables we looked at include the following:

Refinancing Incentive
Aging
Original Balance
Original Loan-to-Value
Home Price Appreciation

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