Introduction of Housing Mortgage-Backed Securities Investment Indicator... Jugumgong Launches K-MBSI

Disclosed on the Securitization Securities Disclosure Portal on the 23rd

[Asia Economy Reporter Minwoo Lee] A nationally certified index for reference in mortgage-backed securities (MBS) investment has been developed.

Korea Housing Finance Corporation (HF) announced on the 23rd that it has developed the MBS index 'K-MBSI' issued by the corporation and will publish it on the securitization disclosure portal.

The index, approved as a national statistic, is a market capitalization-weighted price index calculated using MBS as the underlying asset. It calculates daily returns using the valuation prices of individual MBS and expresses changes in MBS value as a single number (index).

The base date for index calculation is January 1, 2017. Based on this, it is calculated daily, and total return indices and market price indices are published separately for each underlying asset type (general MBS and Pass-Through MBS).

In addition to indices by underlying asset, comprehensive information is provided including ▲sub-indices segmented by issuance maturity and expected maturity ▲auxiliary information for each index (daily returns, average duration, etc.) ▲time series data ▲periodic return information.

A representative from Korea Housing Finance Corporation stated, "By providing the MBS index, investors such as asset management institutions will be able to use it for investment decisions by comparing it with other bond indices like government bonds," and added, "This will create foundational conditions for MBS investment and have the effect of promoting investment in MBS."

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