Japan Structured Product Monthly: Rising risk of decline in JHF MBS issuance

Research evidence excerpt

Japan Structured Product Monthly: Rising risk of decline in JHF MBS issuance

26-28% credit enhancement ratio (main forecast: 27%) for the JHF Monthly Series MBS.

For details on our estimation method, see our 13 November 2023 "Structured Product

Insight" report.

The JHF MBS market has weakened since 2025, leading the JHF to adjust issue sizes (by

holding back available loans rather than securitizing them) out of consideration for

market conditions. It is thus difficult to gauge the amount of Flat 35 mortgages (the

underlying assets) to be securitized and the maximum potential MBS issuance.

In this analysis, we estimate what the issuance volume would have been if Monthly

Series MBS had been issued normally since 2025 (ie, if all available loans had been

securitized). We refer to this as "normal” issuance volume.

Exhibit 2: JHF MBS issue size (actual and estimated) Exhibit 3: Amount of loans backing JHF MBS (actual and estimated)

Assuming all available mortgages are used, we estimate issuance of ¥252bn We estimate available mortgage amounts of ¥325bn in Apr-Jun 2026 and

in May-Jul 2026 and ¥254bn in Aug-Oct 2026 ¥328bn in Jul-Sep 2026

350 (JPY bn) 350 400 (JPY bn) 400

350 350 300 300

300 300

250 250

200 200 200 200

150 150 150 150

100 100 100 100

50 50

0 0

2023Q1 2023Q2 2023Q3 2023Q4 2024Q1 2024Q2 2024Q3 2024Q4 2025Q1 2025Q2 2025Q3 2025Q4 2026Q1 2026Q2 2026Q3 1 month before MBS issuance (=loan agreement signing 2023Q1 2023Q2 2023Q3 2023Q4 2024Q1 2024Q2 2024Q3 2024Q4 2025Q1 2025Q2 2025Q3 2025Q4 2026Q1 2026Q2 2026Q3

period) Loan agreement signing period

Note: The plot shows the estimated issuance amount assuming all available loans are used as Note: The plot shows the estimated issuance amount assuming all available loans are used as

underlying assets. underlying assets.