JHF MBS Analysis: Green MBS 2: Loan pool analysis

Research evidence excerpt

JHF MBS Analysis: Green MBS 2: Loan pool analysis

Issue size

Planned issue size of around ¥12.4bn, out of consideration

again for weak market

The total underlying mortgages for Green MBS #2 (scheduled to launch in late May) is

¥12.4bn based on published candidate pool data. Given that Green MBS have no credit

enhancement, we think this amount is exactly the planned issue size at this point. This

amount is 38% smaller than that of the previous issue (Green MBS #1, issued in

November 2025). As with new Monthly Series MBS, we think the JHF is capping the

issue size out of consideration for the weak JHF MBS market (see our 12 May 2026 “JHF

MBS Analysis” report).

By contract month, 89% of the mortgages backing Green MBS #2 were originated in

February and 11% in January (ie, the contract months are similar to those for the new

Monthly Series 229 scheduled to be issued in May). Mortgages executed in March-April,

which are eligible to be underlying loans, were apparently not used.

Exhibit 1: JHF MBS issuance since 2025

Further decline in JHF MBS issuance in 2026; consideration again for weak

market

80 (JPY bn) Monthly MBS E55 Green MBS

202501 202502 202503 202504 202505 202506 202507 202508 202509 202510 202511 202512 202601 202602 202603 202604 202605

Source: BofA Global Research

BofA GLOBAL RESEARCH

Spread

Nominal spread of Green MBS #1 was 7bp above that of

Monthly Series MBS

The nominal spread of Green MBS #1, launched on 21 November 2025, was 58bp, 7bp

wider than that of the Monthly Series 223 issued in the same month. The absence of

excess collateral and lower ratings were factors behind the wider Green MBS spread.

According to media reports, Green MBS #1 appears to have been smoothly absorbed at

this spread.