are structured to fully amortize the loan by the maturity date. There are both fixed-rate and variable-rate closed-end HELs. Typically, variable-rate loans have a reference rate of 6-month LIBOR and have periodic caps and lifetime caps, just as the adjustable-rate mortgages discussed in the previous chapter. The cash flow of a pool of closed-end HELs is comprised of interest, regularly scheduled principal repayments, and prepayments, just as with mortgage-backed securities. Thus, it is necessary to have a pre- payment model and a default model to forecast cash flows. The prepay- ment speed is measured in terms of a conditional prepayment rate (CPR).   Cash Flow The monthly cash flow for a security backed by closed-end HELs is the same as for mortgage-backed securities. That is, the cash flow consists of (1) net interest, (2) regularly scheduled principal payments, and (3) pre- payments. The uncertainty about the cash flow arises from prepayments. Borrower characteristics must be kept in mind when trying to assess prepayments for a particular deal. In the prospectus of an offering, a base case prepayment assumption is made-the initial speed and the amount of time until the collateral is expected to season. Thus, the prepayment bench- mark is issue specific and is called the prospectus prepayment curve or PPC.   Payment Structure There are passthrough and paythrough home equity loan-backed struc- tures. Typically, home equity loan-backed securities are securitized by both closed-end fixed-rate and adjustable-rate (or variable-rate) HELs. The securities backed by the latter are called HEL floaters. The reference rate of the underlying loans is typically 6-month LIBOR. The cash flow of these loans is affected by periodic and lifetime caps on the loan rate. To increase the attractiveness of home equity loan-backed securities to short-term investors, the securities typically have been created in which the reference rate is 1-month LIBOR. Because of (1) the mismatch between the reference rate on the underlying loans and that of the HEL floater and (2) the periodic and lifetime caps of the underlying loans, there is an available funds cap on the coupon rate for the HEL floater. Exhibit 10.7 presents a Bloomberg Security Description screen HEL floater issued from the Advanta Mortgage Loan Trust, Series 2000-2. This floating-rate tranche has a coupon formula of 1-month LIBOR plus 14 basis points with a floor of 14 basis points. This floater also has an available funds cap.       Tranches have been structured in HEL deals so as to give some senior tranches greater prepayment protection than other senior