Pricing Analysis of Russian Mortgage-Backed Securities

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.