S&P: Japan Housing Finance Agency's Series 60 To 71 Structured Notes 'AAA (sf)' Ratings Affirmed

S&P Global Ratings today said it has affirmed its 'AAA (sf)' ratings on Japan Housing Finance Agency's (JHF) series 60 to 71 fixed-rate residential mortgage-secured pass-through notes (see list below).

Our affirmations reflect the following:We assume a foreclosure frequency for the residential mortgage loans currently outstanding of about 2%-3% under our base-case scenarios and about 17%-26% under stress scenarios consistent with our 'AAA' ratings. These rates, which reflect our view of the credit quality of the underlying assets, are prior to applying adjustments for the transactions' convertible pro rata pay structure. We also assume a loss severity rate of about 37%-41% for defaulted loans under our 'AAA' stress scenarios. No losses have occurred in the underlying pools because JHF has thus far withdrawn from the pools any loans with impending losses, such as defaulted loans or loans in delinquency for four months. These withdrawals have almost the same effect as prepayments. Current credit enhancement available for each rated series of notes is sufficient to cover that transaction's various risks, such as credit risk under a stress scenario consistent with our rating on the transaction. These transactions are structured note issuances that JHF issued. A pool of residential mortgage loans that JHF purchased from private-sector financial institutions ultimately backs the notes issued under each transaction. JHF entrusted the loan pool underlying each transaction with a trust as collateral. Because of the structural features of these transactions, we believe the ratings on the notes depend to an extent on JHF's credit quality. In addition, the transactions lack regular updates to loan-by-loan data in the surveillance period.

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