DYNAMICS OF CPR INDICATOR AND BURNOUT OF MORTGAGE LOAN POOLS IN RUSSIA AS FACTORS OF INVESTMENT ATTRACTIVENESS MORTGAGE-BACKED SECURITIES

The article examines the phenomenon of early repayment of the mortgage principal debt and the refinancing burnout in Russia based on the data of the mortgage agent DOM.RF for the period 2016–2021. The relevance of the study is due to the macroeconomic changes currently taking place, under the influence of which both phenomena under consideration are changing, which are significant for determining the parameters of mortgage-backed securities (MBS) and the investment attractiveness of this financial instrument. The interrelation of the conditional prepayment rate, the refinancing burnout and the dynamics of mortgage interest rates is analyzed. The achievement of the peak value of the conditional repayment rate in 2020 is noted and the assumption is made about the significance of its reaching for the beginning of the refinancing burnout process in the Russian mortgage-backed securities market. The object of the study is the Russian mortgage-backed securities market, the subject of the study is the factors influencing such characteristics of the MBS as profitability, life span, etc. The aim of the work is to consider the MBS level of investment attractiveness and identify possible trajectories of its change in connection with the ongoing macroeconomic changes. The authors used general scientific methods: analysis and synthesis of information, historical method etc., as well as special research methods: time-series analysis, calculation of relative values of dynamics etc.

The result of the study is the determination of the expected direction in which the investment attractiveness of mortgage-backed securities is expected to change, based on the analysis of the CPR values dynamics, weighted average of mortgage interest rates and the share of refinancing in the total volume of issued mortgage loans. The results of the study can be used by various groups of investors (private and institutional investors, companies engaged in investment activities, etc.) to consider the MBS as a financial asset and reduce the uncertainty of expectations regarding changes in the MBS parameters over time.

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