Trends in the development of mortgage–backed securities in modern condition

Purpose: to identify objective patterns of development of mortgage–backed securities that determine the prospects of this direction to increase its role in the Russian economy.

Methods: the study used general scientific methods of cognition, including comparative analysis, economic–statistical and abstract– logical methods, generalization and complex analysis. The methodological basis is the fundamental provisions of the theory of mortgages, the general theory of mortgage lending, thematic works of domestic and foreign scientists, as well as data from the Analytical Center DOM.RF.

Results: the concept and classification of mortgage–backed securities are considered, the features of securitization are presented. The analysis of factors affecting the price level and profitability of mortgage–backed securities is carried out. The analysis of the state of the mortgage securities market in Russia has been carried out. The analysis of factors that have a significant impact on the current level of prices and yields of Russian mortgage bonds has been carried out. Development problems have been identified.

Conclusions and Relevance: in the conditions of uncertainty in the Russian economy caused by the pandemic, sanctions, geopolitical tensions and inflation, retail investors are seek to secure their savings by investing them in bonds with yields higher than deposit rates. Bank deposits will remain the main way of saving money for the population. The popularity of bond investments will gradually grow, especially among the younger generation. The state has taken the right step towards improving the financial literacy of the Russian population and instilling a culture of investing in various instruments, especially securities. A similar practice should be applied to mortgage–backed securities. It is recommended to use positive experience in attracting individuals to certain segments of the stock market: simplification of access and purchase of mortgage bonds for the ordinary population; information campaign to popularize mortgage bonds as a simple investment tool with optimal compliance with the «risk–return» parameters; provision of state or institutional support measures in the form of tax benefits for investors, or reduced size agency commissions.

1. Annenskaya N.E., Dymochkin P. K. Improvement of methods for e valuating mortgage bonds. Banking services. 2020; (7–8):30–38. EDN: YUOHVO. https://doi.org/10.36992/2075-1915_2020_7-8_30 (In Russ.)

2. Gavrilova E.N. Modern investment in the brokerage services market. Moscow Witte University Bulletin. Series 1: Economics and Management . 2021; 3(38):39–45. EDN: EYVPBB. https://doi.org/10.21777/2587554X-2021-3-39-45 (In Russ.)

3. Denisov M.A. Features of Russian mortgage-backed bonds market. Russian Journal of Housing Research. 2018; 5(3):399–414. EDN: VPGSWY. https://doi.org/10.18334/zhs.5.3.39509 (In Russ.)

4. Kandybko N.V., Kandybko O.E. Conceptual model of prediction of the securities market forecast by methods of the fundamental analysis. Moscow Witte University Bulletin. Series 1: Economics and Management . 2017; 3(22):44–49. EDN: ZSMEUZ. https://doi.org/10.21777/2307-6135-2017-3-44-49 (In Russ.)

5. Krinichansky K.V., Fatkin A.V. Assessment the impact of banking intermediation the economy of Russian regions: the post-crisis trends. Voprosy Ekonomiki. 2017; (1):103–122. EDN: XGSEXF. https://doi.org/10.32609/00428736-2017-1-103-122 (In Russ.)

6. Khalilova M.H., Sergeeva S.M. Comprehensive assessment of the financial risks of a bank. Economics and entrepreneurship . 2015; 11–2(64):500–504. EDN: VCKVYB (In Russ.)

7. Yanov V.V., Inozemtseva E.Yu. Securitization of bank assets: innovative financial instruments in the mortgage market. Economics and Sociology . 2018. 4(40):64–69. EDN: ZDOKNV. https://doi.org/10.14451/3.4064 (In Russ.)

8. Balemi N., Füss R., Weigand A. The impact of COVID-19 on real estate markets: overview and prospects. Financial Markets and Portfolio Management. 2021; 35(4):495–513. https://doi.org/10.1007/s11408-02100384-6 (In Eng.)

9. Filotto U., Giannotti K., Mattarocci G., Scimone H. Residential mortgages, Real Estate market, and Economic growth: evidence from Europe. Journal of Property Investment & Finance . 2018: 36(6):552–577. https://doi.org/10.1108/JPIF-09-2017-0060 (In Eng.)

10. Krinichansky K.V., Lunyakov O.V., Makovetsky M.Yu. Methodological approaches to measuring financial development. In: Lecture Notes in Networks and Systems. Strategies and trends of organizational and project management. Ed. P.V. Trifonov, M.V. Charaeva. Springer International Publishing, 2022. Р. 552–557. EDN: OFRORW. https://doi.org/10.1007/978-3-030-94245-8_75 (In Eng.)

11. Lee S., Tidwell A., Jin C. Housing Market and Banking Stability: Attention to the OECD and Developing Asian Countries. J o u r n al o f R e al E s t a t e R e s e a r c h . 2021; 43(2):248–270. https://doi.org.10.1080/08965803.2021.1938917 (In Eng.)

12. Bogatyreva M.V., Kolmakov M.A. Leskinen M.I.The domestic real estate market during financial crises. In: Conference on IOP. Series: Earth and Environmental Science . 2021. P. 012134. https://doi.org/10.1088/17551315/751/1/012134 (In Eng.)

13. Iosifidi M., Panopoulou Е., Tsoumas С. Mortgage loan demand and banks’ operational efficiency. Journal of Financial Stability . 2021; 53: 100851. https://doi.org/10.1016/j.jfs.2021 (In Eng.)

14. Li S-m. Mortgage Loan as a Means of Home Finance in Urban China: A Comparative Study of Guangzhou and Shanghai. Housing Studies. 2010; 25(6):857–876. https://doi.org/10.1080/02673037.2010.511154 (In Eng.)

15. Mani Sh.B., Ekambaram V. Antecedents of the service quality for housing loan customers of Indian banks. Banks and Bank Systems. 2021; 16(1):195–204. http://dx.doi.org/10.21511/bbs.16(1).2021.17 (In Eng.)

16. Rouwendal J., Pet A. Mortgage underwriting and house prices: Evidence from the 2011 change in the Dutch Code of Conduct for mortgage loans. Real Estate Economics. 2022; 1–18. https://doi.org/10.1111/15406229.12372 (In Eng.)

17. Rudyk N.V. Features of cottage real estate management in Russia. Moscow Witte University Bulletin. Series 1: Economics and Management. 2019; 4(31):103–107. EDN: CWUXNH. https://doi.org/10.21777/2587554X-2019-4-103-107 (In Russ.)

18. Selmanova N.N. The real estate appraisal Information situation as a cybernetic model. Educational resources and technologies . 2020; 2(31):77–86. EDN: UPIZDG. https://doi.org/10.21777/2500-2112-20202-77-86 (In Russ.)

19. Kolari J.W., Fraser D.R., Anari A. The effects of securitization on mortgage market yields: A cointegration analysis. Real Estate Economics . 1998; 26(4):677–693. https://doi.org/10.1111/1540-6229.00761 (In Eng.)

20. Liu В., Skully М. The determinants of mortgage yield spread differentials: Securitization. J o u r n al o f Multinational Financial Management . 2005; 15(4–5):314–333. https://doi.org/10.1016/j.mulfin.2005.04.003 (In Eng.)

21. Ambrose B.W., LaCour-Little M., Sanders A.B. The effect of conforming loan status on mortgage yield spreads: A loan level analysis. Real Estate Economics. 2004; 32(4):541–569. https://doi.org/10.1111/j.10808620.2004.00102.x (In Eng.)

22. Rozmainsky I., Mindubaeva K., Yakovleva E. An analysis of the French non–financial private sector based on the Financial Instability Hypothesis. T e r r a E c o n o mic u s . 2022; 20(1):6–26. EDN: DEPGBR. https://doi.org/10.18522/2073-6606–2022-20-1-6-26 (In Russ.)

23. Obrimah О.А. The Price Effects of Fannie Mae's Liquidity Provision Activities within the Secondary Market for Mortgage Backed Securities. SSRN Electronic Journal. 2013. http://dx.doi.org/10.2139/ssrn.2005274 (In Eng.)

24. Brazil A.J. Citicorp's mortgage valuation model: Option-adjusted spreads and option-based durations. The Journal of Real Estate Finance and Economics. 1988; 1(2):151–162. https://doi.org/10.1007/BF00152570 (In Eng.)

25. Korobeynikova O.M., Burkaltseva D.D., Tyulin A.S. Evolution of electronic money. Scientific Bulletin: finance, banks, investments. 2017; (2(39)):73–79. EDN: ZTIDRH (In Russ.)