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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Mikhail Samsonov
The Impact of Mortgage Secrutization on Bank Performance: Estimation of the Average Treatment Effect
Finance
(Master’s programme)
2018
The paper investigates an "originate-to-distribute" model of banking in relation to mortgage assets. The model makes it possible for Russian banks to sell mortgage loans that they originated and reinvest profits in income producing assets. However, such the technique of assets management bears risk of information asymmetry that could result in the adverse selection and moral hazard problems which are able to neutralize possible positive effects of this model for the banks as the 2007 subprime mortgage crisis showed.

The purpose of the research is to estimate an average treatment effect of mortgage securitization on Russian banks performance. The research object is the Russian commercial banks. The research subject is the mortgage securitization transactions where Russian banks act as originators.

To identify the average treatment effect Dynamic Panel Data Model and Propensity Score Matching with Difference in Difference are used. The results show that mortgage securitization in Russia allows banks to increase the target loan portfolio by 88%. This is equivalent to increasing the equity capital of the bank by some 142%. Also, securitization leads to the growth of the share of liquid assets and the share of overdue loans in the bank's loan portfolio by 149 bp. and 115 bp. respectively, reduces the net interest margin by 61 bp. and does not affect the capital adequacy and cost of funding as well as ROA and ROE.

The practical value of the research is that the results can serve as a basis for credit organizations when deciding whether to enter the securitization market.

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