Japan Housing Finance Agency#s GHLC Series 42 To 53 Structured Notes #AAA (sf)# Ratings Affirmed

TOKYO (S&P Global Ratings) Feb. 16, 2017--S&P Global Ratings today said it has affirmed its 'AAA (sf)' ratings on Government Housing Loan Corp.'s (GHLC; predecessor of Japan Housing Finance Agency [JHF]) series 42 to 53 fixed-rate residential mortgage-secured pass-through notes (see list below).

The affirmations reflect the following: We assume a foreclosure frequency for the residential mortgage loans currently outstanding of about 2% under our base-case scenarios and about 14%-19% 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 21%-27% for defaulted loans under our 'AAA' stress scenarios.

We apply a floor for the projected losses (net loss rate after accounting for recoveries from defaulted loans) of 4.0% at the 'AAA' rating level and 0.35% in our base-case scenarios.No losses have occurred in the underlying pools because JHF replaced any loans with impending losses such as defaulted loans or four-month delinquent loans with performing loans.

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.

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 the credit quality of JHF. In addition, the transactions lack updated loan-by-loan data in the surveillance period.