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Analyst - Collateral Management Team, Risk Management Division

Salary

According to experience, plus excellent benefits

Background  

The Markets Risk Management Division (RMD) analyses the risks faced by the Bank of England in its operations in financial markets.  We monitor and produce management information on credit and market risk and contribute to the formulation of the Bank’s policy on risk management.  

This is an analytical and operational role within the collateral management team, being established in Risk Management Division. Working within a team of 6, the role provides an opportunity to be at the heart of one of the most unique operations in the Bank – the Special Liquidity Scheme.  The jobholder will, from that vantage point, gain an understanding of the Bank's risk management operations and how they fit into central banking policy more broadly.     .        

The collateral management team has been set up to implement the eligibility and credit assessment of the collateral in the Special Liquidity Scheme which the Bank of England is providing to allow banks to swap temporarily their illiquid high quality mortgage backed securities for liquid UK Treasury Bills.  The team will report to the Head of Risk Management Division.

This unit will be in place for 3.5 years.

 

Job Description & Responsibilities

The key responsibilities are:

• Assessing the credit quality of individual collateral – through a detailed review of the offering prospectus (where relevant) and all ratings agency reports;
• Providing credit assessments, in particular for ABS through thorough review of regular investor reports on the performance of the assets in the securitisation vehicle;
• Assessing ratings agency models which underpin their assignment of ratings;
• Reviewing and if necessary updating published eligibility criteria;
• Maintaining and updating pricing models;
• Reviewing the adequacy of the Bank’s haircuts both as/when market conditions change, and at a minimum on a quarterly basis;
• Monitoring developments in margining practice in the market (prime brokerage, repo financing, OTC derivatives); Contributing to SLS policy development work;
• Providing input to the SLS Steering Group and Board; and
• Identifying and managing SLS business process improvements.

Skills/Experience Required
The candidate must have experience of working within the financial sector.
The following skills are also required:

• An understanding of institutions or large company balance sheets;
• An understanding of financial instruments such as asset backed securities and mortgage backed securities in particular; Very strong analytical skills;
• Clear, concise communication skills – both written and oral;
• Ability to work under pressure and to accept and take responsibility – these are big analytical roles, for those seeking and wanting to do a job that will really make a difference;
• Attention to detail; and
• Flexibility.

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