Valuation analyst - Banking
Description
Experience- 3-10 years, specifically doing valuation and work around data.
- Maintain and update weekly xChange pricing GWAC matrix input.
- Track performance of CHNGE securitization, Credigy and 3rd party CM securitization (e.g., GCAT, MFA) vs internal NQM benchmarks.
- Conduct monthly remittance review, review LoanCare and Shellpoint remittance report/data, Nationstar DGS and servicing advances tracking between Change Lending and AIOS.
- Conduct monthly and quarterly market valuation analysis:
- Gather market color on new issue NQM pricing, IG & HY CDX spreads and pricing, Optimal Blue 30 yr mortgage rates.
- Tracking shelf collateral performance and trade color for the CHNGE shelf.
- Derive implied spreads from dealer marks and perform dealer comparisons.
- Track MoM marks compare.
- Attribute analysis of fair value changes, between spread, rates and amortization effects.
- Back out FV loss scenarios for quarter end and prepare memo for quarter end.
- Gather market color on new issue pricing, spreads, IPT, guidance, pricing, extract collateral information from PPMs, and identify deals with Change originated collateral.
- Update and maintain Change Lending roadshow presentation, quarterly updates.
- Reviewing dv01 data for S&P DQ performance (pending data updates from dv01).
- Maintain repurchase activity log from securitization repurchases.
- Monitor DQ and cum loss triggers across active securitization.
- Review third party securitization disclosures for inclusion of Change production.
- Review vendors BBG, Intex and dv01 ensuring remittance data is accurately reflected.
- Conduct seasoned loan tape review and troubleshooting data discrepancies with CAS and servicing data.
- Maintain and enhance production dashboard, including reporting and feature updates in CAS/Excel.
- Collaborate with TPR to set up Step Payment mortgages framework (in progress).
About RiskSpan
RiskSpan is a SaaS Fintech B2B software and services firm, a leading source of analytics, modeling, data and risk management solutions for the consumer and institutional Finance industries. We solve business problems for clients such as banks, mortgage-backed and asset-backed securities issuers, equity and fixed-income portfolio managers, servicers, and regulators that require our expertise in the market risk, credit risk, operational risk and information technology domains.