Analysis of the Factors that Affect the Yield of Mortgage - Backed Securities

In this work we analyse the factors, which influence the yield of mortgage - backed securities. In the analysis we used 51 Russian mortgage – backed securities over the period 2012-2018. In the research paper we took 3 group of factors: macroeconomic, sector specific and related to the specific bond issue. We tested the following hypothesis: the remained period term of mortgage-backed secutrity, the share of overdue mortgage credits from 31 to 90 days, the house price index, the initial loan - to - value ratio and the inflation. As the result of research 2 hypothesis about the initial loan – to – value and the inflation were not confirmed, the variables were not statistically significant in the models. However, the determination coefficienst is relatively low because mortgage backed securities are low liquid financial instrument and are not actively traded on the stock market. This work contains the intermediate results and presents a base for future researches, but it also could be useful for investors. The understanding of factors, which could have the impact on the yield of mortgage - backed securities, could help to estimate the general situation in the country and determine the future yield of the financial instrument, and also compare with similar investment instruments.