1) Build in-depth understanding of complex securitization structures, including tranche hierarchies, waterfall mechanics, credit enhancement mechanisms, and cash flow prioritization rules.
2) Develop and maintain advanced financial models for multi-tranche securitizations that accurately capture:
a) Multiple debt tranches with differing seniorities and coupon structures
b) Multiple maturity profiles and bullet/amortizing payment schedules
c) Multi-currency exposures and FX hedging strategies
d) Interest rate risk management including swaps, caps, floors, and swaptions
e) Credit derivative instruments and basis risk mitigation
3) Model complex securitization accounting under various standards, ensuring accurate treatment of:
a) De-recognition of underlying assets
b) Fair value measurement of retained interests and derivatives
c) Hedge accounting mechanics and effectiveness testing
d) Credit loss provisioning and impairment calculations
4) Build scenario analysis and sensitivity models to evaluate transaction viability under varying:
a) Interest rate environments and curve scenarios
b) Credit stress scenarios and default probability assumptions
c) Liquidity conditions and funding spreads
d) FX volatility and currency shocks
5) Lead complex securitization modeling projects with strict quality standards, including detailed financial statement analysis, transaction documentation review, and accounting treatment analysis.
6) Conduct comprehensive due diligence of securitization structures, underlying asset pools, originator creditworthiness, and servicer capabilities.
7) Review outputs of junior team members for technical accuracy and deliver error-free, client-ready models and documentation under tight deadlines.
8) Present detailed technical findings to clients-including structuring teams, risk officers, and senior management-and address complex questions with clarity and confidence.
9) Maintain robust documentation of model assumptions, calculation methodologies, and audit trails to support regulatory and internal compliance requirements.
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