Associate, Portfolio Strategy (RMBS & SRT)

Kensington Mortgages; Maidenhead; Hybrid; GBP 52,000 - 78,000; Full time

Job summary

Kensington Mortgages is seeking an Associate to join the Portfolio Strategy, Credit & Analytics team. This hybrid role focuses on analysing and structuring RMBS and SRT transactions, using large loan-level datasets and advanced models to optimise capital efficiency and manage portfolio risk.

The successful candidate will work across Kensington Mortgages and Barclays, delivering detailed analysis, forecasting and governance-ready outputs for major capital markets transactions in a fast-paced

Qualifications

• Previous experience within securitisation, structured finance, credit analytics, capital markets, a rating agency, specialist advisory firm or banking environment. Experience working with loan-level mortgage or asset-backed data.
• Understanding of RMBS and/or SRT structures and transaction mechanics.
• Knowledge of: Cashflow waterfalls, Credit enhancement calculations, Transaction triggers, Hedging mechanics, Closing cashflow computations, Structured credit fundamentals
• Awareness of UK mortgage markets, structured credit products and capital markets.
• Experience delivering high-quality analysis within tight deadlines and live transaction environments.

Responsibilities

• Build, maintain and enhance analytical tools and models used to support RMBS and SRT transactions, including cashflow models, asset calculators, sensitivity testing and data processing tools.
• Perform detailed collateral analysis using loan-level mortgage data, including: Portfolio stratifications, Vintage and cohort analysis, Arrears roll-rate analysis, Default and prepayment analysis, Loss severity assessments.
• Support transaction execution activities including: Collateral analysis and assessment, Rating agency testing and modelling, Internal and external presentation materials, Audit sign-offs and transaction governance, Investor reporting activities.
• Deliver forecasting and cashflow analysis to support transaction economics, hedging considerations and business reporting requirements.
• Provide portfolio performance monitoring and reporting, analysing actual versus forecast performance for closed transactions.
• Support model governance processes, including model testing, validation and maintenance of audit-ready documentation.
• Drive improvements in automation, controls and efficiency through enhanced tooling, scripting and data processing solutions.
• Collaborate with stakeholders across Kensington Mortgages, Barclays, rating agencies, auditors, investors and arranging banks.

Skills

Advanced Excel

VBA

SQL

Python

Data analysis

Modelling

Automation

Production-quality tools

Tools

Excel

VBA

SQL

Python

Automation scripting

Job description

Kensington Mortgages is seeking an Associate to join the Portfolio Strategy, Credit & Analytics team. This hybrid role focuses on analysing and structuring RMBS and SRT transactions, using large loan-level datasets and advanced models to optimise capital efficiency and manage portfolio risk.

The successful candidate will work across Kensington Mortgages and Barclays, delivering detailed analysis, forecasting and governance-ready outputs for major capital markets transactions in a fast-paced