Nikolae na, Koniagina Ma iia
A icle
Cu en s a e and pe spec i es o secu i iza ion p ocesses
in he Russian Fede a ion
In e na ional Jou nal o Business and Economic Sciences Applied Resea ch (IJBESAR)
P o ided in Coope a ion wi h:
In e na ional Hellenic Uni e si y (IHU), Ka ala
Sugges ed Ci a ion: Nikolae na, Koniagina Ma iia (2020) : Cu en s a e and pe spec i es o
secu i iza ion p ocesses in he Russian Fede a ion, In e na ional Jou nal o Business and Economic
Sciences Applied Resea ch (IJBESAR), ISSN 2408-0101, In e na ional Hellenic Uni e si y (IHU),
Ka ala, Vol. 13, Iss. 3, pp. 45-55,
h ps://doi.o g/10.25103/ijbesa .133.04
This Ve sion is a ailable a :
h ps://hdl.handle.ne /10419/242237
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†Co esponding Au ho : Koniagina Ma iia Nikolae na
e-mail: a070278@yandex. u
DOI: 10.25103/ijbesa .133.04
In e na ional Jou nal o
Business and Economic Sciences Applied Resea ch
IJBESAR
ijbesa .ihu.g
Cu en S a e and Pe spec i es o Secu i iza ion P ocesses in he Russian
Fede a ion
Koniagina Ma iia Nikolae na †
No h-Wes Ins i u e o Managemen , Russian Academy o Na ional Economy and Public Adminis a ion unde he P esiden o he Russian
Fede a ion, S Pe e sbu g, Russia, 197376 Pesochnaya Embankmen , 4, S Pe e sbu g/ Russia
ARTICLE INFO
ABSTRACT
A icle His o y
Recei ed 25 July 2020;
Accep ed 26 Sep embe
2020
Pu pose:
The s udy is aimed no only a de e mining he cu en s a e o he bank asse secu i iza ion
ma ke bu also a de eloping me hods and ways o imp o e he p ocesses o bank asse
secu i iza ion in Russia.
Design/me hodology/app oach:
The a icle p esen s he esul s o a su ey o Russian ma ke secu i iza ion o e he las 10
yea s, whe e he au ho sepa a ely conside s mo gage and non-mo gage secu i iza ion,
conduc s a disc e e analysis o egula o y changes in secu i iza ion, and iden i ies he main
p oblems in he de elopmen o his impo an economic p ocess and he issues ha ha e
emained un esol ed du ing he decade. The main me hods o s udy chosen by he au ho
a e sys ema iza ion, gene aliza ion and econome ic analysis.
Finding:
The au ho has demons a ed ha he e is a s ong in e se ela ionship be ween he
mo gage lending olume and he in e es a e, and has buil a linea unc ion o he
es ima ed mo gage lending olume. The excess in he eal mo gage lending olume o e
he es ima es con i ms ha he cu en s a e policy, including s a e suppo and educ ion o
he Cen al Bank key a e, in he sphe e o mo gage lending is indeed s imula ing.
Resea ch limi a ions/implica ions:
The de elopmen o secu i iza ion in Russia has been cons ained no only by sanc ions and
bu eauc a ic inconsis encies in he equi emen s se o secu i ized asse s, bu also by delay
in he access o he o icial bodies such as he Fede al Se ice o S a e Regis a ion, he
Cadas e, and Ca og aphy (“Ros ees e”) o mode n echnologies, as well as by he
insecu i y and dis us o digi al inancial se ice echnologies.Qui e di e en conclusions
ollow om he analysis o non-mo gage secu i iza ion, whe e he au ho suppo s and
de elops c i ical ema ks exp essed by o he esea che s in p e ious yea s.
O iginali y/ alue:
The su ey esul s no only show he achie emen s o mo gage lending in Russia in ecen
yea s, bu also p o ide aluable ecommenda ions o help suppo he posi i e dynamics o
mo gage lending and secu i iza ion de elopmen in he Russian Fede a ion.
JEL Classi ica ions
G18, G21, G23
Keywo ds:
Secu i ized asse s;
Mo gage; Mo gage bonds;
Mo gage loan; Comme cial
bank; Secu i iza ion
©In e na ional Hellenic Uni e si y
1. In oduc ion
The g owing demand o c edi esou ces in he eal sec o o he Russian economy encou ages he na ional banking
sys em o seek long- e m inancing and look o e ec i e ins umen s o e inancing loans. In he la e 1980s, a new
way o a ac ing long- e m inancing, based on a ac ing any asse s ha c ea e a s able cash low, was in oduced
in o he global inancial sys em (Bu ko a, 2014). Wo ld p ac ice in ecen decades shows ha secu i iza ion is widely
used in inancial ma ke s o a ac addi ional inancing, mee capi al adequacy s anda ds, main ain liquidi y, di e si y
asse s and minimize isks.
Secu i iza ion is an e ol ing complex inno a i e p ocess which has good p ospec s o implemen a ion and
de elopmen in he p ac ice o Russian banks. This is an e ec i e way o aising unds as i p o ides access o almos
unlimi ed esou ces bo h in Russia and ab oad, bypassing sanc ion ba ie s. Secu i iza ion allows he c edi ins i u ion
o ob ain liquid unds wi hou losing he e iciency o ac i e ope a ions. I all makes he s udy o he cu en
condi ions and p ospec s o he bank asse secu i iza ion ma ke in Russia especially ele an .
46
The subjec o he s udy is bank asse secu i iza ion in Russia and he ela ions ha a ise be ween he pa ies in
he cou se o his p ocess. The s udy is aimed no only a de e mining he cu en s a e o he bank asse
secu i iza ion ma ke bu also a de eloping me hods and ways o imp o e he p ocesses o bank asse secu i iza ion
in Russia. To achie e hese goals, he au ho has 1) analyzed and e alua ed he Russian secu i iza ion ma ke ; 2)
highligh ed p oblems and p ospec s o secu i iza ion de elopmen in Russia; 3) p oposed a numbe o measu es o
sol e he cu en p oblems in he p ocess o bank secu i iza ion in Russia.
2. Li e a u e Re iew
Qui e a numbe o wo ks in he economic li e a u e a e de o ed o he p oblems o secu i iza ion. The heo e ical
basis o his esea ch consis s o wo ks o Russian and o eign scien is s on secu i iza ion, inancial managemen ,
in es men ope a ions and egula ion o ope a ions wi h de i a i es. I is necessa y o men ion he wo ks o E.R.
Yescombe (Yescombe, 2013), T. Beliko (Beliko , 2009), H.P. Bae (Bae , 2007), T.S. Kolmyko a (Kolmyko a, 2013)
and some o he au ho s. De ailed heo e ical and me hodological p o isions on secu i iza ion a e p esen ed in he
wo ks o N.V. Aleksand o (Alexand o , 2007), I.I. Guliye (Guliye , 2014), L.N. D obyshe skaya and T.V. Kone a
(D obyshe skaya, Kone a, 2013), L.P. Ha chenko (Ha chenko, 2017).
This esea ch also akes in o conside a ion he wo ks de o ed o he gene al issues o secu i iza ion in Russia: V.S.
Akseno and P.S. Goliko (Akseno , e c., 2013), M.A. Deniso (Deniso , 2016), V.E. K oli e skaya (K oli e skaya,
2019), O.V. Khmyz (Khmyz, Aleksee a, 2018), I.M. Golaido and Ts y ko, A.A. (Golaido, e c., 2019). As mo gage
loans cons i u e he la ges sha e o secu i iza ion in Russia, i is mos in e es ing o p o ide a e ospec i e
compa ison o he esul s and conclusions p esen ed in he publica ions o E. Da idson (Da idson, e c., 2007) and Y.A.
Bu ko a (Bu ko a, 2014). The au ho also eso s o he esul s o he s udy on housing and communal se ices
(Vasilye a, 2018), sys ema ized expe ise and o ecas s in he ield o non-mo gage secu i iza ion (Suslo , 2015), as
well as asse secu i iza ion in comme cial o ganiza ions in gene al (Ko ale a, Kh os enko, Glukho a, Mozha o sky,
2018).
Wo ks, e iewing o eign secu i iza ion expe ience, ha e helped o come up wi h he in e im and inal esul s o
he s udy: B. Da e and Y. Kobayashi (Da e, Kobayashi, 2018), I. K eko en (K eko en, S is un, Khudolii, 2018), C.Y.-P.
Lo (Lo, 2018).
The s udy elies on he da a om he analy ical ma e ials published on he o icial websi e o he Cen al Bank o
he Russian Fede a ion, on he websi e o he Fede al Se ice o S a e S a is ics o he Russian Fede a ion, on he
in o ma ion po al Rusipo eka, a ing agency Expe RA, and o he ma e ials.
The s udy applied a numbe o gene al scien i ic me hods: a logical and e ospec i e analysis, syn hesis,
gene aliza ion, and sys em app oach, expe e alua ion me hod, isualiza ion and co ela ion analysis in ol ing he
use o MS Excel.
The p esen s udy has been p esen ed a he 12 h In e na ional Con e ence “Economies o he Balkan and Eas e n
Eu opean Coun ies”, EBEEC 2020, ha has been online in Opa ija, C oa ia om May 29 h o 31 h 2020
(h p://ebeec.ihu.g ).
3. Da a, Me hodology and Empi ical Resul s
3.1 Mo gage loans ma ke in Russia
The de elopmen o secu i iza ion in Russia began long be o e he in oduc ion o legisla ion egula ing he
p ocedu e o hese ansac ions. Pas his s age o de elopmen , he secu i iza ion ma ke is s a ing o mo e owa ds
g ow h and compe i ion. Amendmen s o he cu en legisla ion in he ield o non-mo gage secu i iza ion, a new
p ocedu e o assessing c edi isk, oge he wi h he s a e suppo in he o m o he Agency o Housing Mo gage
Lending (AHML), which was ans o med la e in o a inancial housing de elopmen ins i u ion DOM.RF, and he
S a e De elopmen Co po a ion VEB.RF ( o me Vnesheconombank), ha e led o he inc ease in secu i iza ion in
Russia. Howe e , all hese achie emen s do no gua an ee he eadiness o exis ing in as uc u e. Unde cu en
condi ions, he majo i y o secu i iza ion ansac ions a e ela ed o secu i iza ion o mo gage asse s.
DOM.RF (un il 2018 known as he Agency o Housing Mo gage Lending (AHML)) p o ides a mechanism o
e inancing mo gage loans by issuing single- anche mo gage bonds. I is expec ed ha in 2019 he issuing olume
will exceed 150 billion ubles. In 2018, he issuing olume o mo gage bonds amoun ed o mo e han 100 billion
ubles and he ansac ions in ol ed public and p i a e banks: Sbe bank, VTB, Rai eisen bank, Housing Finance
Bank. A he end o Decembe 2017, a deal secu i ized he mo gage po olio o VTB 24 by issuing mo gage bonds
wo h 48.2 billion ubles. Besides ha , VTB accep ed applica ions o he pu chase o secu i ies om ins i u ional
in es o s.
In 2018 he olume o deals eached 146 billion ubles. VTB planned o implemen mo e ansac ions in ol ing
mo gage, consume and au o loans in 2018, expec ing a signi ican in e es o local in es o s in au o loan
secu i iza ion. This exac ly wha happened in No embe 2018. VTB oge he wi h DOM.RF (AHML) issued
mo gage bonds wo h 74.3 billion ubles.
In iew o 2019, VTB signed a memo andum wi h DOM.RF o issue mo gage bonds o up o 500 billion ubles in
2019 – 2021. Bonds will be secu ed by he pools o mo gages issued by he VTB G oup and gua an eed by DOM.RF.
The i s bond issuing wi hin Vnesheconombank's P ojec Finance Fac o y was planned o he beginning o 2018.
Howe e , as o Ma ch 2018, he planned issuance was ne e ca ied ou .
DOI: 10.25103/ijbesa .133.04
47
The p oposed mechanism in ol es isk dis ibu ion: a he i s s age, he bo owe ecei es a syndica ed loan
om se e al anches, while he VEB assumes he ole o a lending agen and pledge manage ; a he second s age,
bonds o he amoun om 10 o 30 billion ubles, gua an eed by he go e nmen and secu ed by he anche
po olio, a e issued. The long- e m anche is ini ially inanced by he VEB and hen assigned o he bond issue , a
special pu pose ehicle (SPV). Asse s a e acc ued o bondholde s o all issuances, wi h he nominal alue o bonds
issued a any ime no exceeding he asse alue. Expe s plan ha in h ee yea s’ ime he po olio o SPV will
inc ease o 300 billion ubles.
Mo gaging emains he mos dynamic segmen and one o he d i e s o he Russian banking sys em. In 2016,
when he olume o issued mo gages exceeded 1.5 illion ubles, lending a es we e a a his o ic low. In 2018,
mo gaging le els b oke all eco ds and exceeded he olume o 2016 by 2 imes. As o Decembe 31, 2018 mo gage
lending olumes eached 3 billion ubles ( ig.1).
These ac o s con ibu e o he de elopmen o mo gage secu i iza ion in Russia. Howe e , he inc ease in he
key a e led o he inc ease in he mo gage a e, which in luenced he o ecas s in mo gage lending olumes in 2019.
Figu e 1: Dynamics o mo gaging in he Russian Fede a ion
No e : Compiled by he au ho on he basis o da a p o ided by he Cen al Bank o he Russian Fede a ion. [Elec onic esou ce]. URL:
h p://cb . u/analy ics/bnksys / (accessed: 03.10.2019).
The Russian mo gage ma ke is s able and has big p ospec s o u he de elopmen : he sha e o mo gaging o
GDP in Russia is only 5% compa ed o he a e age 35% in o he coun ies. Based on he p ojec ions o he
esea che s, mo e han 8 million amilies migh be g an ed mo gages in he nex 5 yea s, which is mo e han e e in
he his o y o he mo gage ma ke since 2004. A he same ime, he e en s o 2020 allow us o judge ha he
o ecas s a e mo e han modes . Wi h he ou b eak o he COVID-19 pandemic, he go e nmen o he Russian
Fede a ion ook a numbe o measu es o suppo he economy du ing he pe iod o sel -isola ion, one o which was
aimed a suppo ing mo gage lending. In addi ion o he simpli ied scheme o ob aining hese loans and he
comple e digi aliza ion o p ocedu es, in e es a es on housing mo gage loans we e educed: acco ding o
p elimina y es ima es, he a e age ma ke decline was 1.5%. In addi ion, he so-called "mo gage holidays" and he
oppo uni y o es uc u e loans we e p o ided o amilies in di icul li e si ua ions due o he pandemic. All his ga e
a signi ican incen i e o inc ease he olume o housing mo gage lending, which, acco ding o he Bank o Russia, in
Janua y-July 2020 exceeded he olume o he same pe iod in 2019 by 34.3%. A p esen , mo gages issued by
uni e sal comme cial banks a e playing an inc easing ole. The Russian mo gage ma ke consis s o a la ge numbe
o banks wi h mo gages in hei balance shee s.
Based on he esul s o 2018, i is possible o iden i y 10 banks as leade s in he Russian mo gage ma ke (Table
1).
48
Table 1: Pe o mance o leading mo gage banks in Russia in 2018
N
Bank
The olume o
issued
mo gage loans,
mln ub.
Numbe o issued
mo gages, pieces
Inc ease in he olume
o issued loans
compa ed o 2017, %
А
1
2
3
4
1
Sbe bank
1 560 204
827 928
44
2
VTB
672 292
289 898
55
3
Gazp ombank
149 408
64 283
87
4
Russian Ag icul u al Bank
(Rosselkhozbank)
128 004
68 138
75
5
CB Del aC edi
74 643
28 858
28
6
Rai eisen bank
63 441
22 761
7,6
7
Absolu e Bank
48 096
19 807
78
8
O k i ie Bank
33 743
13 323
171
9
Al a-Bank
33 049
9 091
no da a
10
Bank U alsib
30 531
14 168
13
No e : Compiled by he au ho on he basis o he analy ical ma e ial o LLC “Rusipo eka” – an o e iew o he compe i i e en i onmen in he
mo gage ma ke in 2018. [Elec onic sou ce]. URL: h p://www.ludiipo eki. u/shop/ esea ches/en y/826/ (accessed: 14.09.2019)
Sbe bank o Russia headed he lis o leading mo gage banks in 2018. The olume o home equi y loans issued by
Sbe bank is 2.32 imes highe han by VTB, which comes second in he lis . I compa ed by he numbe o mo gages
issued in he speci ied pe iod, Sbe bank exceeded VTB by 2.85 imes. O he banks in he a ing lis showed lowe
olumes and he numbe o mo gages issued.
Howe e , i we compa e he same banks in 2017, almos all banks demons a ed a posi i e inc ease ( om 7.6% o
171%), which ac indica es he de elopmen o mo gaging and he eme ging posi i e dynamics.
In o de o unde s and he condi ions o he mo gage ma ke be e , i is necessa y o conside he sha e o banks,
included in he lis o TOP-10 mo gage ins i u ions, in he o al olume o mo gages issued in 2018 ( ig. 2).
Figu e 2: Sha e o leading banks in he o al olume o mo gages issued in 2018
No e : Compiled by he au ho on he basis o he analy ical ma e ial o LLC “Rusipo eka” – an o e iew o he compe i i e en i onmen in he
mo gage ma ke in 2018. [Elec onic sou ce]. URL: h p://www.ludiipo eki. u/shop/ esea ches/en y/826/ (accessed: 14.09.2019)
PJSC Sbe bank (51.78%) and VTB (22.31%) became he absolu e leade s in issuing mo gages wi h a o al sha e o
74.09%. They a e ollowed by Gazp ombank (4.96%), Russian Ag icul u al Bank (4.25%), CB Del aC edi (2.48%), and
o he s.
A g aph showing he olume o loans g an ed o esiden s in ubles in 2013 – 2018 ( ig. 3) has been buil in o de
o assess g ow h o decline ends in mo gage demand. A he end o 2018, mo gage loans inc eased signi ican ly in
olume and numbe compa ed o he same pe iod in 2015.
O e he pe iod o 2012-2018, he olume o issued mo gages inc eased by 1,981,123 million ubles, o 192% a
he end o 2018 compa ed o 2013, which ce ainly con i ms he posi i e o ecas o mo gage lending. Such an ac i e
g ow h indica es ha he demand o mo gage loans in Russia oday is a om sa u a ion: e e y yea mo e amilies
a e g an ed mo gage loans. In 2018, hei numbe almos eached 1.5 million, which is no so much o Russia. In
addi ion, eal es a e is o en iewed by Russians as a good in es men . The e o e, people p e e his o m o
in es men han o he s.
The dynamics o he olume o mo gage lending is a ec ed by he de alua ion o he Russian uble, he ise in
eal es a e p ices, and some o he ac o s. The g ow h a es o lending olumes a e g adually dec easing. Fo

DOI: 10.25103/ijbesa .133.04
49
example, he g ow h a e o he mo gage po olio o he leade in e ms o lending, Sbe bank o Russia, is lowe han
ha o i s closes compe i o VTB. This indica es a g adual cooling o he demand o mo gage loans, which in u n
is aken in o accoun in secu i iza ion. No all mo gage loans a e secu i ized, bu only a sha e o he po olio
de e mined by he banks' policy. The slowdown in secu i iza ion is due o expec a ions o sa u a ion o he mo gage
ma ke . And he i s o eel such sa u a ion is he ma ke leade , Sbe bank, which p ede e mines a dec ease in he
g ow h a e o he po olio in compa ison wi h VTB Bank.
Figu e 3: Volume and numbe o mo gages issued o indi iduals du ing he pe iod o 2012 – 2018.
No e : Compiled by he au ho on he basis o he analy ical ma e ial o LLC “Rusipo eka” – he ma ke o e iew o he mo gage ma ke in 2012-
2018. [Elec onic sou ce]. URL: h p://www.ludiipo eki. u/shop/ esea ches/en y (accessed: 24.09.2019)
3.2 De elopmen o mo gage secu i iza ion in Russia
The g ow h in he Russian mo gage ma ke could no bu in luence he de elopmen o he mo gage secu i iza ion
ma ke , wi h a g owing numbe o ansac ions du ing he pe iod o 2016 – 2018 ( ig. 4).
Figu e 4: Mo gage secu i iza ion olumes in he Russian Fede a ion, bln. ub.
No e : Compiled by he au ho on he basis o he analy ical ma e ial o LLC “Rusipo eka” – he ma ke o e iew o he mo gage ma ke in 2013-
2018. [Elec onic sou ce]. URL: h p://www.ludiipo eki. u/shop/ esea ches/en y (accessed: 24.09.2019)
The c isis o 2014 led o a sha p 74% d op in mo gage secu i ies. Howe e , wi h he g ow h in he olume and
amoun o mo gage lending, he e has been an inc ease in he secu i iza ion o mo gage asse s. The de elopmen o
his ype o inancing has also been pushed by he es ic ions in o eign capi al bo owing. Mo gage lending g ow h
a es ha e become he main d i e o he inc ease in mo gage secu i iza ion.
Public policies and go e nmen suppo ha e had a posi i e impac on he de elopmen o he mo gage ma ke .
Go e nmen p og ams aimed a inc easing housing cons uc ion olumes and imp o ing mo gage lending
condi ions include he p og am o housing eno a ion, he Fede al Ta ge P og am "Housing" o 2015-2020, he
p io i y p ojec “Mo gage and en al housing” and p o ide da a used o o ecas ends in mo gage secu i iza ion.
In o de o iden i y he na u e and le el o co ela ion, an elemen a y co ela ion analysis o he impac o he
in e es a e on he olumes o issued mo gages, p esen ed in igu es 5 (a) and (b), espec i ely, was ca ied ou . The
cha s show a mon hly change in indica o s o e a 10-yea pe iod.
Using a se o obse a ions o he mon hly dynamics o he weigh ed a e age in e es a e on mo gage loans and
mon hly olumes o issued mo gages om he beginning o 2009 o he end o 2018, he co ela ion coe icien was
calcula ed using he CORREL unc ion in MS Excel. The p og am calcula es he coe icien acco ding o Fo mula 1:
50
∑






√∑ 
√∑



(1)
whe e n – numbe o pe iods
- amoun o mo gage loans issued in pe iod i;
 – a e age alue o issued mo gages o e he en i e pe iod o obse a ion;
– alue o a e age weigh ed in e es a e on mo gage loans in pe iod i;
 – a e age alue o a e age weigh ed in e es a e on mo gage loans o e he en i e pe iod o obse a ion.
(a)
(b)
Figu e 5: Mon hly dynamics o in e es a e and amoun o mo gage loans issued in Russia om 1.01.2009
ill 31.12.2018
No e : Compiled by he au ho on he basis o he analy ical ma e ial o LLC “Rusipo eka” – he ma ke o e iew o he mo gage ma ke in 2009-
2018. [Elec onic sou ce]. URL: h p://www.ludiipo eki. u/shop/ esea ches/en y (accessed: 24.09.2019)
Acco ding o calcula ions, he co ela ion coe icien amoun ed o –0.829658207, which indica es ha he e is a
s ong in e se dependence be ween he in e es a e on loans and he amoun o mo gages g an ed. Tha is, he
educ ion o mo gage loan a es esul s in he inc eases in he olume o hei issuance and ice e sa.
The assessmen o he s a is ical signi icance o he co ela ion coe icien due o he small sample size was
pe o med using he S uden 's - es . The obse ed (ac ual) alue o his c i e ion (4.6995) exceeds he c i ical alues
om he ables and is conside ed signi ican . Consequen ly, he e is a close s a is ical ela ionship be ween he s udied
a iables.
Coe icien s o he linea unc ion (Fo mula 2) a e de e mined wi h he help o LINEST unc ion in MS Excel:
Y=ax+b (2)
whe e y – amoun o issued mo gage loans;
x – alue o he a e age in e es a e on a mo gage;
a,b – linea unc ion coe icien s.
DOI: 10.25103/ijbesa .133.04
51
Calcula ions esul in he ollowing equa ion (Fo mula 3):
Y= -44223.2*X +665700.1 (3)
Linea unc ion (Fo mula 3) makes i possible o de e mine he es ima ed alue o all mo gage loans issued in
2018 and compa e i wi h he eal alue o he same yea ( able 2).
Table 2: Di e ence be ween eal and es ima ed mo gage alues in 2018
Da e
Real alue o mo gage
loans o e he pe iod, mln.
ub.
Es ima ed alue o
mo gage loans o e he
pe iod, mln. ub.
Di e ence be ween eal
and es ima ed alues, mln.
ub.
Janua y 2018
148 573
230101.1
-81 528
Feb ua y 2018
199 261
232312.3
-33 051
Ma ch 2018
235 307
234965.7
341
Ap il 2018
249 641
237176.9
12 464
May 2018
235 846
238503.6
-2 658
June 2018
243 060
239830.2
3 230
July 2018
246 801
240272.5
6 529
Augus 2018
260 302
241599.2
18 703
Sep embe 2018
255 354
242483.6
12 870
Oc obe 2018
300 572
243368.1
57 204
No embe 2018
302 174
243810.3
58 364
Decembe 2018
341 265
242925.9
98 339
To al in 2018
3018156
2867349
150807
No e : Compiled by he au ho on he basis o he analy ical ma e ial o LLC “Rusipo eka” – he ma ke o e iew o he mo gage ma ke in 2013-
2018. [Elec onic sou ce]. URL: h p://www.ludiipo eki. u/shop/ esea ches/en y (accessed: 24.09.2019)
Es ima ed olume o mo gage loans exceeded he eal olume in Janua y, Feb ua y and May, which could ha e
been connec ed wi h a dec ease in he ac i i y o buye s du ing long holidays. The di e ence be ween he calcula ed
indica o and he eal one had been inc easing in he pe iod om June o Decembe 2018, which could be explained by
he cumula i e o “snowball” e ec . On he whole, in 2018, he es ima ed olume o mo gage lending was 150.8
billion ubles less han he eal one. This ac is he e idence o he co ec economic policy in he ield o mo gage
lending, go e nmen suppo and egula ion o he key a e o he Cen al Bank. These measu es p o ed o be qui e
e icien in a ac ing new bo owe s and inc easing he mo gage po olio in excess o he es ima ed igu es. The
igu e o 150.8 billion ubles a e hose ex a esou ces ha banks did no expec .
Since mo gage secu i iza ion is ecognized as he mos de eloped in he Russian Fede a ion, i is necessa y o
es ima e he impac o hese addi ional inancial esou ces on he secu i ized mo gage po olio. Fo his pu pose, i is
necessa y o calcula e he secu i ized mo gage po olio a io in he o al amoun o issued mo gage. The
secu i iza ion coe icien shall be calcula ed in acco dance wi h he ollowing o mula (Fo mula 4):
∑
⁄
∑
⁄ (4)
whe e n – numbe o obse a ion pe iods,
– olume o secu i ized mo gage po olio in pe iod n;
– olume o all mo gage po olio in pe iod n.
The calcula ion is based on annual da a o 2013-2018. A e summing i up, he secu i iza ion coe icien equals o
8.9606%. In o he wo ds, only 8.96% o he en i e mo gage loan po olio is secu i ized. On he one hand, he alue is
no high, bu on he o he hand, he sha e o he secu i ized po olio has he po en ial o g ow as a esul o he
compe en inancial policy.
The amoun o “addi ional secu i iza ion”, he pa o he secu i ized po olio, which o med as a esul o he
di e ence be ween he olume o issued mo gage loans and he es ima ed one, is o pa icula in e es . In o de o
assess i , i is necessa y o mul iply he di e ence be ween he ac ual amoun o he mo gage po olio and he
es ima ed one by he secu i iza ion coe icien . Thus, he inc ease in secu i iza ion due o he go e nmen 's quali y
mo gage lending policy in 2018 amoun ed o 13.513 million ubles. This is 9.26% o he o al secu i iza ion (146
billion ubles) in 2018. The e o e, he s a e, by in oducing changes in he socially impo an sec o o he economy,
indi ec ly inc eased he olume o secu i ized secu i ies, which has a posi i e impac on he g ow h o he indus y as
a whole.
3.3 De elopmen o non-mo gage secu i iza ion in Russia
Explo ing he issues o non-mo gage secu i iza ion, hose au ho s (Kha chenko, 2017), whose s udies conce n i s
in e na ional aspec s, no e ha asse -backed secu i ies (ABS) occupy a signi ican sha e o he in e na ional deb
ma ke , wi h he main ins umen s including bonds o au o loans, c edi ca ds and s uden loans.
52
Today, bonds secu ed by au o loans may become ano he ins umen o he secu i iza ion ma ke in Russia, in
addi ion o mo gage lending. Howe e , he e a e ce ain di icul ies, including du a ion assessmen and low liquidi y,
which may limi he in e es o in es o s. In addi ion, in 2014 some legal es ic ions we e imposed on he Russian
non-mo gage secu i iza ion ma ke . All ansac ions p io o he adop ion o amendmen s o he legisla ion
in oduced by he Fede al Law No. 379-FZ we e ca ied ou in acco dance wi h he legisla ion o he coun y whe e
he SPV was es ablished, among which we e Cyp us, G ea B i ain, Spain, Po ugal and I aly.
The i s ansac ion unde Russian law included placemen o bonds secu ed by he au o loan po olio in June
2015 o he amoun o mo e han 12.5 billion ubles. The o igina o o he ansac ion, i.e. he en i y ha has he
igh o assign ecei ables du ing he secu i iza ion o asse s, was C edi Eu ope Bank. I was he i s secu i iza ion
ansac ion o se le open accoun s be ween se e al banks, o check he complex p ocedu e o he gua an ee pool
eplenishmen (" e ol e "), o de elop a mechanism o accele a ed dep ecia ion o bonds o mee speci ic condi ions
in ende documen s and a uni ied sys em o con ol compliance wi h he main pa ame e s o he ansac ion. The
dynamics o non-mo gage secu i iza ion in Russia is uns able ( ig. 6), and he da a a e s ill insu icien o ele an
o ecas ing.
Figu e 6 – Dynamics o non-mo gage secu i iza ion in Russia, bln ub.
No e : Compiled by he au ho on he basis o he analy ical ma e ial o LLC “Rusipo eka” – he bank inancial da a. [Elec onic sou ce]. URL:
h p://www.ludiipo eki. u/shop/ esea ches/en y/975/ (accessed: 1.10.2019)
The mos success ul yea o non-mo gage lending and secu i iza ion was 2014. A e he c isis in Decembe
2014, ABS secu i iza ion dec eased by 69%. In his case, co ela ion analysis will p o e inaccu a e due o he
he e ogenei y o asse s unde lying he non-mo gage secu i iza ion, as well as due o he lack o s a is ical da a o he
eliable calcula ion o indica o s.
One o he easons o he low secu i iza ion o non-mo gage asse s compa ed o mo gage-backed secu i ies
(MBS) is unde eloped legisla ion. Ano he eason is he lack o unde s anding o he du a ion o his ins umen : i is
ha d o p edic how he unde lying loans will be dep ecia ed. The e o e, while in he Wes such ins umen s a e o
inc easing in e es o insu ance companies and o he ins i u ionalized in es o s, in Russia he e a e no ools o hedge
he isks. I can be concluded ha he Russian Fede a ion as a whole does no ha e an es ablished ma ke o such
in es o s who a e eady o in es in hese ins umen s. Low liquidi y on such secu i ies also inhibi s he de elopmen
o non-mo gage secu i iza ion.
The high cos o he secu i iza ion p ocess also hinde s he de elopmen o he ma ke . Secu i iza ion becomes
p o i able wi h a po olio o 3.000 million ubles o mo e. Acco ding o a ious es ima es, he cos o p epa ing he
ansac ion anges om 30 o 45 million ubles, and mos o he cos s a e accoun ed o by consul ing. A he same
ime, i is ob ious ha he cos s o he ini ial issuance may be much highe due o he lack o expe ience. Thus, only
la ge o ganiza ions seem o ha e access o his me hod o inancing.
Thus, he g ow h o he secu i iza ion ma ke undoub edly has a di ec co ela ion wi h he g ow h o he bank's
loan po olios. A e a bad yea in 2015, he mo gage and o he lending ma ke s a e e u ning o p e-c isis
indica o s. On he one hand, i con ibu es o he de elopmen o secu i iza ion and inancial ma ke o he coun y as
a whole. Howe e , no all segmen s o loan po olios a e equally a ac i e o in es o s o ha e simila p ospec s o
secu i iza ion.
3.4 Cu en p oblems o asse -backed secu i iza ion in Russia and hei solu ions
The mechanism o a ac ing unds h ough asse secu i iza ion is widely used in he global inancial ma ke .
Recen ly, his me hod o inancing has eached eme ging ma ke s. Secu i iza ion allows a company o ge a highe
a ing han he bo owe 's company, sepa a ing secu i ized asse s om o he asse s o he o ganiza ion and he eby
educing he cos o bo owed unds. This me hod o inancing has o he ad an ages (Akseno and Goliko , 2013).
The cu en a ac i eness o secu i iza ion ope a ions o Russian banks migh be explained by he ollowing:
Russian banks ace a long- e m liquidi y de ici . Secu i iza ion makes i possible o a ac long- e m and ela i ely
inexpensi e capi al, in pa icula , om pension unds.