Abstract
The article examines the main trends in the development of the Russian mortgage market and the market of mortgage-backed securities (MBS) associated with government incentive measures. We consider the importance of the registers of mortgage collateral of MBS for the assessment of various risks arising when working with these securities. We analyze the quantitative aspect of mortgage loans in collateral pools for issues covered by the guarantee of the mortgage agency DOM.RF. The analysis of pools includes the aspects of time to maturity, yield, difficultness of the collateral loans and the changes in the Loan/Value ratio. We propose the directions for the development of models for predicting the prepayment levels for mortgage collateral pools.
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