Portfolio Manager, Structured Credit / ABS recruitment

Responsibilities:

• Manage a portfolio of legacy structured credit transactions with specific focus on fundamental credit valuation and monitoring of CMBS / RMBS and ABS transactions.

• Identify and implement portfolio optimisation and workout strategies.

• Work as part of an effective global team to support the surveillance, analysis and reporting of the transactions.

• Selectively execute portfolio measures to reduce risk and/or size.

Pricing and Valuation

• Active participation in developing, enhancing and documenting current credit / fundamental valuation methods.

• Responsible for the creation, documentation and justification of modelling assumptions and input parameters for valuation. Perform at least quarterly valuations in line with agreed valuation methodology and document results

Surveillance and Reporting

• Continuously monitor the development of individual portfolio transactions and the CMBS / RMBS, and ABS market in general

• Actively contribute to regular and ad hoc reporting on the entire structured credit portfolio and specific deals.

Asset Management

• Utilise ongoing surveillance to determine and analyse active portfolio measures to reduce risk and enhance final recovery

• Summarise active measures in concise briefing notes and submit for approval

• Efficiently implement active measures in line with the mandate and report effects accordingly

• Execute asset sales where economically sensible and within the defined framework

The successful candidate will have demonstrable experience in European CMBS / RMBS transactions.

• CMBS: Good understanding of European CMBS transactions and the driving risk factors. A solid background in and knowledge of commercial property loans gained either through the credit side of the CMBS markets or working directly in the property market. Knowledge and experience of the servicer universe will be an advantage.

• RMBS: Good understanding of European RMBS transactions and the driving risk factors. Ideally, the candidate has a background in and knowledge of the individual European RMBS markets including legislation, RMBS structures and servicers. Experience, interest and understanding of the market from a credit perspective.

• ABS: Good understanding of ABS transactions in general and consumer related deals in particular and the driving risk factors. A solid background in the knowledge of consumer loans gained either through the credit side of the ABS markets or working directly in the consumer lending business. Knowledge of and experience with the relevant market participants will be an advantage.

• Excellent understanding of credit risk drivers and credit valuation methodologies applicable to Structured Credit assets and their underlying collateral.

• Strong product knowledge with an established track record of dealing with complex structures with focus on Commercial Real Estate / Residential Mortgages and all underlying risks

• Experience with Securitisations and structured credit derivative products in general

• Practical experience of deal analysis including pricing, risk and documentation using market standard tools like Bloomberg or Intex as well as self-made spreadsheet solutions

• Strong communication skills with ability to explain modeling concepts and implementation techniques to technical practitioners, non-quantitative personnel and to senior management.

• Good organisational skills, a hands-on approach and attention to detail are necessary