The estimation model of the mortgage securitization effect on banking business

The paper is devoted to the development of the mortgage securitization market in Russia. The aim of the study is to assess the average effect of mortgage securitization transactions on the performance of Russian banks that executed such transactions in the period from 2012 to 2018. The Propensity Score Matching methodology, which is applied for assessing the effect of the event on a particular object or a process, was used in this research. The data was collected from the Cbonds database that contains information on the dates and volumes of securitization transactions in the Russian Federation, while bank performance indicators were gathered from the Bank of Russia database. The results demonstrated that the main positive effect of securitization for Russian banks in the analyzed period was the growth of liquid assets, whereas the negative ones were a lower yield of the loan portfolio and its quality deterioration. Unlike foreign practices, securitization did not bring Russian banks the benefits associated with a reduction in funding costs and increased profitability. The outcome of the research contributes to the theory of banks financial stability and could be useful, both for banks when deciding on securitization and for supervisors for regulatory purposes. The practical value for the risk management of banks is represented by the conclusion concerning the use of securitization as a source of liquidity in the context of a structural liquidity deficit. The potential power of securitization with regard to the banking efficiency enhancement could be released by regulatory measures aimed at improving its mechanism.