Structured Finance (ABS/RMBS) - Interview Case study

Hi there, I am interviewing for an Analyst/Associate role at a European Bank. They primarily work on ABS and RMBS products (origination and structuring : both public and private deals). They also invest in their own originations via their primary + sec market desks.

I have a few years of credit analysis experience on RMBS.

They said the process would involve a case study with about one/two modelling tests. Any help on what to expect would be really helpful !! Thanks.

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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

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