JHF MBS Analysis: Monthly Series 231: Loan pool analysis

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JHF MBS Analysis: Monthly Series 231: Loan pool analysis

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JHF MBS Analysis

Monthly Series 231: Loan pool analysis

Planned issue size ¥15.7bn; consideration again for weak 07 July 2026

market Structured Finance

We estimate Monthly Series 231, to be launched mid-Jul, will have issue size of ¥15.7bn, -74% JapanYoY. This would be the lowest ever for a July Monthly Series MBS. We think this decline is a

RMBSresult of the JHF’s consideration for the market. In fact, mortgages executed in March continue

to be used as underlying loans. We think even some of those mortgages remain unused.

High ratio of loans with 20 years or less to maturity a Table of Contents

factor pushing up CPR Issuance 2

The Monthly Series 231's underlying pool has initial WAC of 1.47%, down 2bp from the Spread trends 3

previous issue's, and final WACs of 2.26%, down 3bp from the previous issue's. The new

Monthly Series MBS's final WAC declined for the first time in three months but remains near Prepayment estimates and WAL characteristics 7

the three-year high. This factor boosts the CPR. Credit characteristics of underlying pool 8

The underlying mortgages' initial/final WAC differential is 79bps, down 1bp from the previous Expected rate of return analysis 10

issue's but still near the highest level since 2013. We think that the Flat 35 Child Rearing Plus

program’s becoming available for Flat 35 refi mortgages in March 2026 contributed to the Loan pool characteristics 10

widening of the WAC differential. This factor increases the risk of CPRs rising sharply in tandem Other characteristics of loan pool mix (based on 20

with rate step-ups. outstanding amounts)

In conjunction with the greater rate reductions, the proportion of loans whose rates step up 5 Acronyms 22