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Authors : 1. Sofya A. Potomova,
post-graduate student of the Department of Economics and Finance
Volgograd Institute for Management – branch of the Russian Presidential Academy of National Economy and Public Administration
Current state of the mortgage pool of securitized assets in VTB24 bank
Objective: to analyze the current state of mortgage coverage of bonds issued by “VTB 24” PJSC and to identify the factorsinfluencing the credit risk level of these securities.
Methods: the analysis is based on the inductive and logical methods of cognition of economic phenomena, which made it possible to identify certain indicators of the quality of mortgage loans and their impact on the credit risk level of the entire pool of securitized assets. Graphic method and method of scientific abstraction were used for visual demonstration of the revealed interrelations.
Results: the article deals with approaches to estimation of mortgage-backed securities. It is shown that the main mechanism of mortgage coverage is the transfer of assets into the pool of mortgage loans, which is the source of mortgage-backed bonds. It is emphasized that, due to the lack of methodology to discover the reliability of such bonds, there are risks of default on bonds for investors. The article analyzes the indicators characterizing the increase in the credit risk of mortgage loans under economic stagnation; the conclusion is made that there is a connection between the income of the population, the housing market and the level of mortgage rates. The credit pools of VTB-24 were studied on the basis of publicly available information contained in the register of mortgage coverage of bonds. As a result, it was determined that the loans issued during
2013–2014 proved to be more risky; accordingly, the level of mortgage bonds for the second pool is also higher. Also the assessment of credits on the territorial basis was made; the districts were revealed, in which the share of default credits is higher; the factors influencing such situation were revealed.
Scientific novelty: the article proposes a new approach to the assessment of credit risk of mortgage-backed bonds, based on the analysis of the influence of various factors on the behavior of securitized mortgage loans borrowers.
Practical significance: the identified current trends in securitized loan pools are of practical importance for originators, and should be taken into account in the formation of future pools. On the other hand, the performed analysis is of practical importance for investors wishing to place their funds in such securities. The proposed study of the mortgage loan pool makes it possible to correlate the current risk level with the expected yield and to replenish the investment portfolio with the necessary assets.
Keywords :
Economics and national economy management; Securitization; Mortgage coverage; Mortgage securitization; Credit risk; Default
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Citation :
Potomova S. A. Current state of the mortgage pool of securitized assets in VTB24 bank Actual Problems of Economics and Law, 2018, vol. 12, No. 1, pp. 49–64 (in Russ.). DOI: http://dx.doi.org/10.21202/1993-047X.12.2018.1.49-64
Type of article : The scientific article
Date of receipt of the article :
01.12.2017
Date of adoption of the print :
02.03.2018
Date of online accommodation :
25.03.2018
