Excel Modeller (UK Mortgage ROTE Analysis) Contract
Posted 1 week ago by MQube
Negotiable
Undetermined
Undetermined
England, United Kingdom
Summary: The role of Excel Modeller focuses on developing a comprehensive Excel model to calculate Return on Tangible Equity (ROTE) for newly-originated UK residential mortgages. The consultant will create a flexible model that accommodates various regulatory capital regimes and incorporates all relevant financial inputs over the life of the loans. Candidates with expertise in UK mortgage modelling and advanced Excel skills are preferred for this consultancy engagement.
Key Responsibilities:
- Build a flexible Excel model to calculate ROTE at pool level.
- Support both Standardised and Internal Ratings-Based (IRB) regulatory capital regimes.
- Incorporate all relevant revenues and costs over the life of the loans.
- Factor in servicing costs, origination fees, expected credit losses, liquidity transfer pricing, and interest rate swap costs.
- Flex CET1 capital allocation input and assess loan-to-value (LTV) ratios.
- Evaluate different fixed-rate terms separately.
- Include assumptions for customer retention and incorporate Constant Prepayment Rate (CPR) variables.
Key Skills:
- Experience in UK mortgage modelling.
- Knowledge of regulatory capital frameworks.
- Advanced Excel modelling skills.
Salary (Rate): undetermined
City: undetermined
Country: United Kingdom
Working Arrangements: undetermined
IR35 Status: undetermined
Seniority Level: undetermined
Industry: Other
Excel Modeller (UK Mortgage ROTE Analysis) - Contract
We are seeking a consultant to develop a comprehensive Excel model that calculates Return on Tangible Equity (ROTE) for pools of newly-originated UK residential mortgages.
Key Requirements:
- Build a flexible Excel model to calculate ROTE at pool level.
- The model must support both Standardised and Internal Ratings-Based (IRB) regulatory capital regimes.
- It must incorporate all relevant revenues and costs over the life of the loans, including:
- Servicing costs
- Origination fees
- Expected credit losses (ECL) / impairment
- Liquidity transfer pricing
- Interest rate swap costs
- Any other material inputs
- The model must:
- Have the ability to flex CET1 capital allocation input
- Factor in loan-to-value (LTV) ratios
- Assess different fixed-rate terms separately (e.g. 2-year vs. 5-year)
- Include assumptions for customer retention
- Incorporate Constant Prepayment Rate (CPR) variables
Engagement Terms:
This is a consultancy engagement. The individual will not be an employee or director of the company. All intellectual property (IP) in the final model and outputs will be retained by the company. Candidates with experience in UK mortgage modelling, regulatory capital frameworks, and advanced Excel modelling will be prioritised.