MULTI-ORGINATING TRANSACTIONS OF SECURITIZATION: PROBLEMS AND PROSPECTS OF APPLICATION

Abstract

Purpose. Identification of problems with the use of multi-originator securitization of mortgage assets and the prospects for the development of such transactions in the Russian Federation. Methods. Analyzed the current situation in the mortgage securitization market, and also conducted a comparative analysis of two securitized pools and based on the correlation and regression analysis the level of credit risk of each pool was revealed. Results. Based on the current structure of the mortgage bonds market, it was concluded that the growth of multi-originator securitization transactions was due to support from AHML. The Agency itself identified three major risks: operational, credit and market; However, the result of the study highlighted the special role of credit risk, the level of which determines the possibility of conducting a transaction or the likelihood of its completion. The article analyzes two issues of securitized mortgage loan pools traded on the market. As a result, a higher credit risk was revealed for the pool created on the basis of the multi-originator platform of AHML, which confirms the theory of the problems that still exist when using such a platform... Purpose. Identification of problems with the use of multi-originator securitization of mortgage assets and the prospects for the development of such transactions in the Russian Federation. Methods. Analyzed the current situation in the mortgage securitization market, and also conducted a comparative analysis of two securitized pools and based on the correlation and regression analysis the level of credit risk of each pool was revealed. Results. Based on the current structure of the mortgage bonds market, it was concluded that the growth of multi-originator securitization transactions was due to support from AHML. The Agency itself identified three major risks: operational, credit and market; However, the result of the study highlighted the special role of credit risk, the level of which determines the possibility of conducting a transaction or the likelihood of its completion. The article analyzes two issues of securitized mortgage loan pools traded on the market. As a result, a higher credit risk was revealed for the pool created on the basis of the multi-originator platform of AHML, which confirms the theory of the problems that still exist when using such a platform. Among the promising areas highlighted the development and improvement of the PPS-securitization system. The advantage of this system is that, on the one hand, clear conditions will be defined for banks wishing to use such a platform, and on the other hand, this will be an incentive to reduce the risk weights assigned to securities issued under specified conditions. As a result, it was concluded that the system for assessing and managing credit risk is crucial for the further development of the market of multi-originator transactions in the Russian Federation. Scientific novelty. The current structure of the mortgage bonds market, development directions and market problems associated with an increase in multi-originator securitization transactions were determined. The scientific novelty consists in identifying the special role of the credit risk assessment and management system for the further development of the market of multi-originator securitization transactions. function show_eabstract() { $('#eabstract1').hide(); $('#eabstract2').show(); $('#eabstract_expand').hide(); } ▼Показать полностью