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 update:Apr. 25,2018

<GHLC MBS>

MBS

  Last Update
#3 to #5 (issued from April, 2001 to March, 2002) 2018.4.25
#6 to #10 (issued from April, 2002 to March, 2003) 2018.4.25
#11 to #17 (issued from April, 2003 to March, 2004) 2018.4.25
#18 to #29 (issued from April, 2004 to March, 2005) 2018.4.25
#30 to #41 and #1 (S-Series) to #5 (S-Series) (issued from April, 2005 to March, 2006) 2018.4.25
#42 to #53 and #6 (S-Series) to #10 (S-Series) (issued from April, 2006 to March, 2007)
2018.4.25

<JHF MBS>

MBS   Last Update
#1 to #12 and #1 (S-Series) to #7 (S-Series) (issued from April, 2007 to March, 2008) 2018.4.25
#13 to #23 and #8 (S-Series) to #12 (S-Series) (issued from April, 2008 to March, 2009) 2018.4.25
#24 to #35 and #13 (S-Series) to #18 (S-Series) (issued from April, 2009 to March, 2010) 2018.4.25
#36 to #47 (issued from April, 2010 to March, 2011) 2018.4.25
#48 to #59 (issued from April, 2011 to March, 2012) 2018.4.25
#60 to #71 (issued from April, 2012 to March, 2013) 2018.4.25
#72 to #83 (issued from April, 2013 to March, 2014) 2018.4.25
#84 to #95 (issued from April, 2014 to March, 2015) 2018.4.25
#96 to #107 (issued from April, 2015 to March, 2016)      [1,809KB] 2018.4.25
#108 to #119(issued from April, 2016 to March, 2017)      [1,119KB] 2018.4.25
#120 to #131(issued from April, 2017 to March, 2018)      [388KB] 2018.4.25

<Factors and Other Monthly Data for each MBS>

MBS   Last Update
P&I Payment & Remaining Balance of MBS 2018.4.25
Factors and other monthly data are available on 25th day of each month, or immediately preceding business day if such day is not a business day Glossary
Initial Scheduled Factor Ratio of each GHLC MBS and JHF MBS on balance scheduled at issuance (calculated based on ratio in the principal balance of underlying mortgages by assuming no prepayment, replacement, nor change in the loan repayment method).
More specifically, the ratio is quoted in eight decimals as a result of rounding it off to five decimal place. The issuance amount is assumed to be 1 in the calculation.
Factor (Actual) Ratio of each GHLC MBS and JHF MBS in terms of actual outstanding balance at each month after monthly repayment (or expected monthly repayment officially announced)
Weighted Average Coupon or WAC (%) Average coupon rate of underlying loan pool backing each GHLC MBS and JHF MBS as weighted by the balance of each loan
WAC = Σ [coupon rate x loan balance] / Σ loan balance
Weighted Average Maturity or WAM (years) Average years to maturity of underlying loan pool backing each GHLC MBS and JHF MBS as weighted by the balance of each loan
WAM = Σ [years to maturity x loan balance] / Σ loan balance]
Conditional Prepayment Rate or CPR (%) Annualized prepayment rate of each month
CPR = 1 - (1 - prepayment amount for each month / loan balance net of expected loan collection amount for the month) 12
Rescheduled Factor Expected ratio of each GHLC MBS and JHF MBS on balance after the actual loan collection(, replacement or partial cancellation)(calculated based on ratio in the principal balance of underlying mortgages by assuming no prepayment , replacement , nor change in the loan repayment method)
Weighted Average Loan Age or WALA (months) Average loan age for the underlying loan pool backing each GHLC MBS and JHF MBS as weighted by the balance of each loan
Replacement or Partial Cancellation Rate (long-term delinquency,%) Balance of new replaced or partially cancelled loans net of claims in arrears at end of period (loans that are four months in arrears) / balance of loans net of claims in arrears at end of period (monthly rate)
Replacement or Partial Cancellation Rate (other than long-term delinquency,%) Balance of new replaced or partially cancelled loans net of claims in arrears at end of period (other than loans that are four months in arrears) / balance of loans net of claims in arrears at end of period (monthly rate)