A record issue of securities was placed against Sberbank loans

The volume of the latest issue of mortgage securities secured by Sberbank loans amounted to a record 220 billion rubles. At the end of the year, the total volume of mortgage bond placements may significantly exceed the previous record, reaching RUB 650 billion. However, according to experts, rates on the debt market that increased in the second half of 2023 leave the opportunity for market securitization only for concessional loans. And next year the volume of issue of such securities may be significantly reduced.

Dom.RF Mortgage Agent (a subsidiary of Dom.RF JSC) on Tuesday, December 19, completed the placement of mortgage bonds secured by Sberbank mortgage loans for a record amount of RUB 220.3 billion. Mortgage coverage amounted to almost 604 billion rubles. The previous record belonged to the issue of mortgage-backed securities (MSB), issued for a portfolio of VTB loans worth RUB 207.6 billion, which took place two years ago.

By the end of the year, it is planned to place two more VTB issues through Dom.RF Mortgage Agent (for 49.9 billion and 109.7 billion rubles). If these plans come true, the volume of mortgage bonds placed in this way will amount to almost 650 billion rubles, 1.6 times higher than last year (400 billion rubles).

At the same time, despite the record performance of the mortgage securitization market, not all market participants’ expectations for this year came true. Thus, at the beginning of this year, Elena Muzykina, director of the Securitization division of Dom.RF JSC, expected new players to appear on the mortgage securities market. “We expect that all banks that issued issues last year will continue to conduct securitization transactions,” she noted. At the same time, through JSC Dom.RF, taking into account the planned issues of VTB, only eight issues of five banks can be placed, whereas last year there were 15 placements of eight banks. And not a single new bank appeared on the mortgage bond market this year.

There is a logical explanation for this. Typically, most issues are posted in the second half of the year. In particular, last year, 12 out of 15 releases were completed after September 20th. This year, from mid-July, the Central Bank sharply tightened monetary policy. As a result, the key rate more than doubled over six months – from 7.5% in July to 16% in December. As Andrey Suchkov, head of the securitization department at VTB Bank, noted back at the end of October, when securitizing on market loans with a fixed rate, which account for the majority of the portfolio, the main problem is the possibility of placement on the market. However, their average yield was about 10% per annum, which was already lower than current rates. “It is difficult to sell securities secured by such a loan and issued under the Dom.RF program without a discount,” he pointed out.

Moreover, according to Andrei Suchkov, for banks that have switched to internal ratings (IVR), replacing mortgages with Dom.RF MBS can no longer significantly reduce the burden on capital. VTB itself switched to PVR in November last year, and Sberbank even earlier, with the two banks accounting for more than 89% of the issues planned for this year. Nevertheless, according to Mr. Suchkov, these securities remain a fairly good tool for increasing portfolio liquidity – in the second quarter of this year alone, the volume of repo transactions with the Dom.RF Securities Bank amounted to 3.7 trillion rubles.

In addition, during periods of instability, liquidity released as a result of securitization can be used for lending at floating rates, where interest rate risk is mitigated, experts note. “We are talking about financing large corporate clients and small and medium-sized business clients,” says independent financial analyst Andrei Barkhota. Next year, he estimates, the volume of securitization will be significantly lower. “The new mortgage portfolio will be formed with a higher interest rate, but this means increased risks of refinancing and early repayment,” says Mr. Barhota. In his opinion, it will be more profitable for the originating banks to assign (sell) a new mortgage portfolio rather than securitize it.

Maxim Builov, Ksenia Kulikova