Pricing Analysis of Russian Mortgage-Backed Securities
https://doi.org/10.26794/2587-5671-2025-29-4-163-176
Abstract
The rapid growth of the mortgage lending market in recent years has resulted in an increase in the issuance of mortgage bonds, which, on the one hand, represent an object of investment and, on the other hand, a source of funding for the banking sector. In 2023, the total volume of mortgage lending in Russia reached 4 trillion rubles, an increase of 25% compared to the previous year. The experience of financial engineering that led to the mortgage crisis in 2008 in the USA, the high volatility of the Russian stock market and the Bank of Russia rates that reached 21% in 2024 have actualized the study of securitization risks. The purpose of this study is to identify the key factors affecting the price of Russian mortgage bonds. The least squares method was used to create a model based on significant indicators: the ratio of outstanding liabilities to the estimated total liabilities; the proportion of overdue loans, weighted by outstanding debt; the spread between the pooled loan rate, weighted by the volume of outstanding debt, and the weighted average mortgage rate; the spread between the yield on mortgage bonds and the yield on 10-year government bonds. The results obtained led to the conclusion that these factors significantly affect the pricing of MBS and can be utilized by investors and the regulators to more accurately forecast prices for mortgage bonds.
Keywords
mortgage-backed securities,
mortgage lending,
securitization,
mortgage,
mortgage assets,
valuation of securities
JEL: G12, G21, G11
About the Authors
S. A. Panova
Financial University under the Government of the Russian Federation
Russian Federation
Competing Interests:
Russian Federation
Svetlana A. Panova — Dr. Sci. (Eng.), Cand. Sci. (Econ.), Cand. Sci. (Chem.), Prof., Department of Financial Markets and Financial Engineering
Moscow
Competing Interests:
The authors have no conflicts of interest to declare
D. L. Kuimov
JSC “Bank DOM.RF”
Russian Federation
Competing Interests:
Russian Federation
Dmitry L. Kuimov — Chief specialist of Retail business planning and support division
Moscow
Competing Interests:
The authors have no conflicts of interest to declare
S. A. Perekhod
Financial University under the Government of the Russian Federation
Russian Federation
Competing Interests:
Russian Federation
Sergey A. Perekhod — head of laboratory “Fininvest”
Moscow
Competing Interests:
The authors have no conflicts of interest to declare
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For citations:
Panova S.A., Kuimov D.L., Perekhod S.A. Pricing Analysis of Russian Mortgage-Backed Securities. Finance: Theory and Practice. 2025;29(4):163-176. https://doi.org/10.26794/2587-5671-2025-29-4-163-176
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