Structured Finance (ABS/RMBS) - Interview Case study

For a role focused on ABS (Asset-Backed Securities) and RMBS (Residential Mortgage-Backed Securities), here's what you can expect based on the most helpful WSO content:

1. Case Study Structure

• Timed Case Study: You might encounter a timed at-home assignment or an in-person case study lasting 3-4 hours.
• Focus Areas:
  • Building a projection model.
  • Completing a DCF (Discounted Cash Flow) analysis.
  • Running comps (comparable company analysis).
  • Evaluating purchase price and structuring deals.
• Key Deliverables:
  • Clear articulation of assumptions.
  • Strategic rationale for decisions (e.g., "Should we acquire this portfolio? Why or why not?").
  • Identification of risks and mitigants.

2. Modeling Tests

• Modeling Expectations:
  • You may need to build a 5-year operating model projecting revenues, EBITDA, FCF, and key balance sheet metrics.
  • For acquisition financing scenarios, you might work with pro forma financials and stress-test scenarios (e.g., downside modeling for key risks).
  • A short-form LBO-type model could also be part of the test, especially if the role involves private deals.
• Speed and Accuracy:
  • Be prepared to model quickly and accurately under time constraints.
  • Focus on creating a model that balances and provides sufficient detail without overcomplicating it.

3. Qualitative Analysis

• Beyond the numbers, you’ll likely need to:
  • Analyze industry trends and company-specific risks.
  • Discuss credit metrics relevant to RMBS (e.g., debt-to-assets, loan-to-value ratios).
  • Provide insights into the business model and assumptions.

4. Presentation

• After completing the case study, you may need to present your findings to a panel. Be ready to:
  • Defend your assumptions and methodology.
  • Answer questions on strategic rationale, risks, and financial outcomes.

5. Preparation Tips

• Practice Modeling:
  • Use recent S-1 filings or similar documents to practice building models and writing investment memos.
  • Focus on RMBS-specific metrics and scenarios.
• Understand ABS/RMBS Products:
  • Study the structuring and origination process for ABS and RMBS.
  • Familiarize yourself with credit analysis techniques specific to these products.
• Review Past Case Studies:
  • If you have access to old case studies or modeling exams, review them to understand the format and expectations.

By focusing on these areas, you’ll be well-prepared to tackle the case study and modeling tests effectively. Good luck!

Sources: Credit Analyst Q&A, My Path - MBA Banking Associate to PE, Real Estate Modelling Test Practice, Credit Analyst Q&A, Q&A: Corporate Banking to FAANG CD