Importance The history of the Russian mortgage-backed securities market has thirty issues. The use of receipts for bonds issue increases significantly. Mortgage-backed securities do not generate considerable interest of investors, as there are no clearly defined risk-limiting conditions. A major deterrent for potential investors is insufficient liquidity of the secondary market of mortgage-backed bonds. Nevertheless, the development of this segment of the financial market will enable to make qualitative improvements of the market infrastructure. It will also serve as a precondition for increasing the liquidity level in the banking sector in particular. Objectives The objective of the study is to identify conditions and factors contributing to the development of the Russian credit-linked derivatives market. Furthermore, an important task is to specify the development constraints of the use of derivative financial instruments designed to transfer the credit risk in the interbank market. Methods We analyzed statistical data of Russian and foreign banking institutions to assess the nature, dynamics and quality of the emerging market of securitized assets as part of the Russian financial market and banking sector. Results We disclosed a number of factors contributing to the credit-linked derivatives market development in the existing conditions of the Russian economy. We described constraints and identified possible ways of the market development, as well as leveling the constraints in practice. Conclusions and Relevance At present, low liquidity of mortgage-backed bonds is a major obstacle for investors. As a result, there are few active participants in this segment. Increasing the liquidity of the secondary market of mortgage-backed securities is a prerequisite to attract both local and foreign investors to this market. It is crucial to provide higher premiums for IPOs, to reduce discounts on mortgage-backed securities in the REPO list of the Bank of Russia; to introduce a tax regime for mortgage-backed securities; to standardize requirements for mortgage loans in the pool of mortgages; to provide partial State guarantees for mortgage-backed securities that are issued by a party other than AHML. To support securitization development, it is reasonable to establish a fund to support the secondary securities market capable to function as a market maker and provide bilateral quotations for securities that are issued according to standard requirements.
Keywords: mortgage-backed, securities, bonds, initial public offering, IPO, federal loan bond, Russian Government Bonds, yield curve, originator, Agency for Housing Mortgage Lending, AHML, mortgage loan, quasi-sovereign debt securities, offer, discount, mortgage, credit rating, regulator, intervention, securitization, debt market volatility
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