Delivery Project Lead

RISK Securitisation, within RISK Corporates is a transversal team, comprising of two sub teams:

RISK Corporate Securitisation (RCS), and RISK SRT Securitisation (RSS):

• RCS has the mandate to holistically assess and analyse (as 2LOD) securitisation financing and hedging proposals for third party clients, onboarded primarily but not exclusively, by the CIB Capital Markets business line; exercise credit committee delegation or other relevant committee decision mandates, as well as carry out defined ongoing risk management roles.
• RSS has the mandate to assess and analyse (as 2LOD) Significant Risk Transfer securitisations originated by Global Securitised Products for CIB Perimeter, exercise its mandates at TAC NACs and other forums, assist other RISK teams in any Métier across the client, where new SRT securitisations are originated, to deploy the RISK process framework around SRTs, as well as carry out defined ongoing risk management roles.

A third and transversal team called Securitisation – Portfolio Management Oversight (S-PMO) team has been conceived (target area for this hire), in order to operate as a global and transversal team covering both the area of activities covered by RCS and RSS.

1. Portfolio Intelligence & Stewardship

• Develop a holistic understanding of portfolio evolution across different Securitisation asset verticals, regions and product types within the current portfolio.
• Produce forward-looking portfolio intelligence, identifying emerging portfolio trends, vulnerabilities and opportunities.
• Assess portfolio resilience under changing macroeconomic, regulatory and market environments.
• Provide independent challenge to portfolio strategy and portfolio construction decisions.
• Identify emerging structural risks affecting securitisation markets.
• Monitor industry trends, regulatory developments and investor behaviour.
• Assess implications of innovation including AI, private credit, digital assets and market structure changes.
• Produce strategic portfolio intelligence, insights and recommendations that support strategic decision making by senior management.

2. Portfolio Strategy & Optimisation

• Work collaboratively with 1LOD PM team (Credit & Asset Mgmt. Team) to evaluate strategic portfolio actions.
• Independently assess proposed portfolio optimization, hedging and de-risking initiatives.
• Analyse portfolio construction and diversification across products, asset verticals, geographies, industrial sectors and counterparties.
• Identify/complement 1LOD to detect opportunities to improve portfolio resilience, capital efficiency and risk adjusted returns.
• Evaluate portfolio implications of new products, market developments and strategic initiatives.

3. Portfolio Surveillance and Risk Analytics:

• Portfolio Risk Measurement Architecture – Development & Ownership in collaboration with 1LOD PM team
• Conduct structured portfolio deep-dives by asset class (ABS, RMBS, CLO, SPF etc.).
• Surveillance and reporting of portfolio migration trends (ratings, delinquencies, collateral performance, covenant metrics, leverage trends, RWA utilization, structural and counterparty trends…).
• Assess early warning signals (EWS) and trigger governance escalation where required – transaction level as well as asset vertical, industrial sector, securitization product, country, and regional level.
• Undertake Quarterly Portfolio Review of third-party financing book (deck preparation, analytical inputs in liaison with 1LOD and 2LOD, SCOs, presentation to QPR Committee, minutes preparation).
• Quarterly production of Securitisation Credit Dashboard and presentation to Global Head of RISK Corporate.
• Quarterly production and presentation of SRT Portfolio Management Committee deck

4. Stress Testing & Scenario Analysis

• Design portfolio-wide stress testing frameworks in collaboration with 1LOD CAM team (covering range of risk factors, including risk of credit loss as well as intrinsic market value loss, exit/refinancing risk, funding and liquidity risk).
• Develop forward looking scenarios covering macro, market, regulatory, ESG, and geopolitical developments.
• Assess second order effects, wrong-way risk, and interconnected portfolio vulnerabilities.
• Evaluate resilience under severe but plausible scenarios.
• Inform strategic portfolio actions based on stress testing outcomes.

5. Non-Financial Risk & Structural Risk Oversight

• Monitor portfolio NFR profile and trends
• Monitor NFR framework implementation KPIs.
• Contribute NFR related stats to QPR and other relevant management forums

6. ESG & Regulatory Developments Oversight

• Monitor exposure to ESG-sensitive collateral.
• Ensure portfolio data capture supports regulatory and internal policy requirements.
• Contribute ESG related stats to QPR and other relevant management forums

7. Governance, Escalation & Committees

• Translate high-level risk appetite into granular portfolio risk measurement metrics, and monitor utilizations/exposures versus limits.
• Monitor utilization versus limits, RWA, COR.
• Anticipate limit and resource consumption trends (versus activity pipelines, strategic initiatives) and trigger 1LOD discussions and remediation plans.
• Contribution to Risk & Development Policy Committees, Financial Markets Risk Committees, High Yield Transversal Exposure Analysis Forum. Contribution includes:
• Data and analysis
• Insights and opinions (individual exposure through to portfolio themes) to Senior Credit Officers to eventually form part of RISK Opinions to such forums.
• KPI & KRI trends (portfolio, activity, framework implementation)
• Under the oversight of Securitisation RISK Officer, timely update and maintenance of all applicable policies and procedures within the responsibility of RISK Securitisation: Securitisation Credit policy, Thematic Credit Policy, Credit Process Procedures, WL& DD Procedures, Stress testing methodologies – complementary to 1LOD, RCSAs, Operating Guidelines.

General Responsibilities include active contributions:

• Propose development/procurement specifications ad work collaboratively with development specialists, to design, develop, test and implement appropriate monitoring tools and dashboards to undertake the mission.
• Propose and drive operational process improvements including streamlining, challenging status quo, by own initiative, developing them further with guidance from management.
• Contribute towards the RISK Corporate permanent control framework and to Corporate Clients continuum initiatives
• To data quality and to the monitoring of operational risk:
  • communicating to RISK ORM CIB any operational risk incidents (potential fraud, breach of security package, documentation errors…)

Technical experience and skills (Level: Expert):

• Portfolio construction and portfolio management concepts.
• Strategic thinking and systems-level analysis.
• Scenario analysis and macroeconomic interpretation
• Portfolio analysis, hedging and risk transfer experience
• Strong analytical storytelling and executive communication
• Ability to synthetise complex portfolio information into strategic recommendations
• Deep understanding of Securitisation structures and relevant risks across range of products and asset classes.
• Quantitative skills: Cash flow modelling and stress testing expertise.
• Familiarity/knowledge of SRT trades and structures.
• Knowledge of Regulatory Capital Methodology for Securitisation (SEC-IRBA, SEC-SA, SEC-ERBA.)
• Understanding of operational risks, fraud typologies.
• Familiarity with investment management, asset allocation or portfolio optimization concepts would be advantageous.

Experience Profile

• 10-12 years and 12-15 years
• Global investment bank or major asset manager.
• Senior committee presentation experience.
• Exceptionally strong quantitative backgrounds (credit quant team background)
• Surveillance background
• CFA or equivalent qualified.

Soft Skills & Leadership Expectations

• Clear senior-level communication.
• Structured analytical mindset.
• Ability to work effectively in a team environment
• Working under high pressure and to tight deadlines; prioritisation skills.
• Strong negotiation skills.
• Good interpersonal and relationship building skills at multi stakeholder level
• Critical thinking and sound judgement.
• High degree of ethical standards
• Self-starter with an innovative spirit and technological-solutions based mind-set.
• Ownership and accountability of the activities under the specified asset class scope.