Job Description
Purpose of the role: The role will manage a direct team of 2 others and will have indirect overview of independent pricing and reserving activities in the Poland SCP Finance team- The key responsibilities are for the independent valuation, reserving and structured asset performance analysis within the Structured Credit Portfolios Finance function- Structured Credit Portfolios is a run-off business of approx $65bn asset balance sheet of illiquid, complex debt securities and structures and related credit derivative and other hedges- The business is now part of Non-Core Markets having originally been within GBM, with many structures originating from the former Structured credit and principal investment businesses of RBS and ABN- This area consists of the following: - RBS and ABN structured CDOs
- RBS structured CLOs
- Correlation trades (Tranched ABS)
- Negative Basis trades (ABS,CDS,Loans,TRS,CLNs)
- Revolvers (inc Multi-ccy)
- Failed Warehouse and conduit abs positions
- Monoline exposures and hedges
The size and volatility of the positions ensure the business has a high profile with RBS Executives right up to board level and the valuations and reserves are a major component of the Month Group Executive Valuation committee- The independent valuation team supporting this business is responsible for: - The independent valuation processes and documentation, summaries and briefings
- Analysis of valuation adjustments required for price timing
- Assessments of valuation risks
- R eserving calculations
- Statements of valuation compliance
- M aintenance of technical finance knowledge on asset structures
- M onitoring of key events in abs markets impacting the assessment of the structures
The team will provide assistance with: - Transaction support work covering, novations, commutations, disposals or restructuring initiatives
- D evelopment of P&L and balance sheet explain
- P roducing the relevant disclosures for the Market Turmoil appendices
- R eview of impairment analysis
- C apital initiatives
- L iaison with market and credit risk
- C hange programmes to enhance the infrastructure of the business
The role requires strong technical skills, to understand the structures and the economics, characteristics and market conventions in the under ABS instruments as well as good communication skills in explaining complex issues in an understandable manner to senior executives- The role will have direct management responsibilities of highly technical staff as well the need to influence other areas which related expertise-
Responsibilities
- Monthly IPV memorandum
- Briefings on method changes or other key valuation of reserving events
- Update slides to Executive valuation committees
- Lead role in agreeing monthly IPV adjustments and reserves with the Head of UK and US SCP desks
- Bi-Annual updates and agreement of the Valuation Compliance statement including residual valuation risks
- Progress of "unaccepted" residual valuation risks
- Level 3 valuation data and commentaries
- Providing structuring, market knowledge, deal valuation expertise to the rest of the SCP Finance team and to other interested parties such as regulatory teams, including technical training
- Coaching, development and line management of the other members of the IPV team
- Supervision of the IPV and reserving work in Poland and in the US-
- Managing the team relationship with GPU
- Assisting where needed on Finance asset reviews for provisions committee
- Representing the function with external auditors and regulators as required
- Part of the Leadership team of SCP Finance
Experience
- Strong experience and knowledge in structuring businesses within debt capital markets or of asset-backed markets
- Proven track record in successful operating with business front offices and with risk and control functions
- Technical knowledge on ABS product types
- High awareness of IFRS for financial instruments and on developments in statutory disclosures
- Experience of producing documentation to high compliance standards
- Good management and organisational skills
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