JHF MBS Analysis: Monthly Series 229: Loan pool analysis

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JHF MBS Analysis: Monthly Series 229: Loan pool analysis

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JHF MBS Analysis

Monthly Series 229: Loan pool analysis

Pool size only ¥20bn; consideration again for weak market 12 May 2026

The total amount of underlying assets for the Monthly Series 229, which is scheduled to Structured Finance

launch in late May, is up to ¥20.06bn, the second lowest amount for May on record. We Japan

think the JHF took into consideration that the JHF MBS secondary market has not yet RMBS

recovered, that muni bond spreads widened in April, and that in addition to a Monthly

Series MBS, a Green MBS is scheduled to be issued in May. Table of Contents

High WAC, short WAM, high condo loan ratio boost CPR Issuance 2

The Monthly Series 229's underlying pool has initial WAC of 1.52%, up 17bp from the Spread trends 3

previous issue's, and final WACs of 2.28%, up 20bp from the previous issue's, reflecting Prepayment estimates and WAL characteristics 8

the sharp rise in Flat 35 rates from January to February. The final WAC rose significantly Credit characteristics of underlying pool 9

above the three-year high, and the initial WAC is close to the high end of the 10-year Loan pool characteristics 10

range (the level reached in 2H FY3/24). This factor boosts the CPR.

Other characteristics of loan pool mix (based on

Also, the underlying mortgages have a WAM of 30.9 years, near the five-year low, and outstanding amounts)

the proportion of mortgages with 20 or fewer years to maturity is 18.7%, near the Acronyms 20

record high. These factors also boost the CPR.

In addition, with mortgages originated in February serving as underlying assets, the Hironori Tamura

Japan MBS/ ABS Strategist

proportion of condo loans remains high at 24.9%. In line with this, the proportion of BofAS Japan