MORGAN
STANLEY
FIXED
INCOME
RESEARCH
September
20,
2005
ABS
Perspectives
After
the
Storm:
Impact
of
Hurricanes
on
Home
Equity
Loans
Text001
Asset-Backed
Securities
Primary
Analyst:
ABS
Sector
Spread
Data
1
Spread
Change
(bp)
Close
as
of
09/15/05
During
the
Past
Year
Std.
Dev.
Deviation
from
Average
Spreads
to
Treasuries
Treasury
Yields
2-yr
5-yr
10-yr
Non-Mortgage
Product
Credit
Cards
AAA
2-yr
3-yr
5-yr
10-yr
A
Rated
2-yr
3-yr
5-yr
BBB
Rated
3-yr
5-yr
Automobile
Loans
2-yr
3-yr
Student
Loans
(T-Bill
Indexed)
2-yr
Rate
Reduction
Bonds
2-yr
5-yr
10-yr
Unsecured
Corporates
(Single-A
Rated)
Financial
2-yr
5-yr
10-yr
Industrial
2-yr
5-yr
10-yr
1
1
Week
1
Month
3
Months
High
Low
Avg.
3.89
3.99
4.21
2
5
7
-11
-8
1
21
14
14
4.15
4.33
4.64
2.41
3.24
3.89
3.39
3.78
4.19
47
27
15
1.1
0.8
0.1
34
38
45
51
51
57
63
70
77
38
45
50
36
46
52
0
-1
0
0
0
-1
0
0
0
0
-1
0
0
0
0
-1
1
0
-2
0
2
-2
3
0
1
2
0
-1
-1
-2
1
1
2
1
3
3
2
-3
-3
4
4
0
2
2
1
41
49
50
64
58
69
73
88
95
48
54
50
44
53
65
31
34
38
46
45
50
58
67
74
32
37
50
32
41
44
35
40
45
53
51
58
63
76
82
38
45
50
37
46
54
2
4
3
4
3
5
4
6
6
3
4
0
3
3
4
-0.5
-0.6
0.0
-0.5
0.0
-0.2
-0.1
-1.0
-1.0
0.0
0.0
NA
-0.4
-0.2
-0.4
49
63
89
41
56
83
1
3
1
0
0
0
1
-1
4
2
2
7
-3
-1
18
-3
0
7
64
76
98
52
65
84
39
55
68
35
46
57
49
66
84
42
57
72
5
5
9
3
4
6
-0.1
-0.7
0.6
-0.5
-0.1
1.8
AAA-rated
securities,
except
as
noted.
Source:
Morgan
Stanley,
Bloomberg
Financial
Markets
See
additional
important
disclosures
at
the
end
of
this
report.
13
