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Factors and Other Monthly Data
update：March 25,2024
＜GHLC MBS＞
MBS※ |
Last Update | |
|---|---|---|
| #30 to #41 and #1(S-Series) to #5(S-Series)(issued from April, 2005 to March, 2006) |
|
2024.3.25 |
| #42 to #53 and #6(S-Series) to #10 (S-Series) (issued from April, 2006 to March, 2007) |
|
2024.3.25 |
[283KB]
※Includes redeemed series of MBS
＜JHF MBS＞
| MBS※ | Last Update | |
|---|---|---|
| #1 to #12 and #1 (S-Series) to #7 (S-Series) (issued from April, 2007 to March, 2008) |
|
2024.3.25 |
| #13 to #23 and #8 (S-Series) to #12 (S-Series) (issued from April, 2008 to March, 2009) |
|
2024.3.25 |
| #24 to #35 and #13 (S-Series) to #18 (S-Series)(issued from April, 2009 to March, 2010) |
|
2024.3.25 |
| #36 to #47 (issued from April, 2010 to March, 2011) |
|
2024.3.25 |
| #48 to #59 (issued from April, 2011 to March, 2012) |
|
2024.3.25 |
| #60 to #71 (issued from April, 2012 to March, 2013) |
|
2024.3.25 |
| #72 to #83 (issued from April, 2013 to March, 2014) |
|
2024.3.25 |
| #84 to #95 (issued from April, 2014 to March, 2015) |
|
2024.3.25 |
| #96 to #107 (issued from April, 2015 to March, 2016) |
|
2024.3.25 |
| #108 to #119(issued from April, 2016 to March, 2017) |
|
2024.3.25 |
| #120 to #131(issued from April, 2017 to March, 2018) |
|
2024.3.25 |
| #132 to #143 and #1 (T-Series) to #3 (T-Series) (issued from April, 2018 to March, 2019) |
|
2024.3.25 |
| #144 to #155 and #4(T-Series) to #6(T-Series) (issued from April, 2019 to March, 2020) |
|
2024.3.25 |
| #156 to #167 and #7(T-Series)to #9(T-Series)(issued from April,2020 to March, 2021) |
| 2024.3.25 |
| #168 to #179 (issued from April, 2021 to March, 2022) |
| 2024.3.25 |
| #180 to #191 (issued from April, 2022 to March, 2023) |
| 2024.3.25 |
| #192 to #202 (issued from April, 2023 to February, 2024) |
| 2024.3.25 |
※Includes redeemed series of MBS
＜Factors and Other Monthly Data for each MBS＞
| MBS | Last Update | |
|---|---|---|
| P&I Payment & Remaining Balance of MBS |
|
2024.3.25 |
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) |
