This position is for a candidate to be an integral part of the Trading & Strategy team. The primary role is to Price and Execute Structured and Non-Structured Advances and Execute derivative hedges, with autonomy in accordance with Bank procedures and procedures. The candidate will contribute to Balance Sheet optimization through use of analyzing and valuing Funding and Derivatives activity.
Essential Job Function:
Price member advances ranging from vanilla bullets to complex structured transactions.
Build and execute rate hedges in order to maintain planned risk profile
Manage Open Market Positions, providing timely reports to management
Co-ordinate with the Investments desk in modelling and execution of hedging transactions.
Execute consolidated obligations issuance in accordance with all ALM and Bank processes and procedures.
Provide complex and sophisticated analysis and recommendations concerning the management of the Bank's assets and liabilities. This includes:
Assist in determining optimal or target funding mix. Conduct relative value analysis on debt issuance using vendor analytical systems/models and execute as required.
Perform valuations of both simple and complex structured derivatives used in debt issuance and Advance products as execute as required.
Participate in the development of financial strategies, hedging strategies, and funding strategies and execute as required.
Support analysis, and reporting of financial activities and risk positions, as necessary.
Manage and Mitigate risks thru the coordination and execution OTC derivatives
Determine and provide prepayment/unwind fee calculations for advance and derivative transactions
Monitor, analyze, recommend, report and execute the efficient option exercise on existing advances Monitor markets for trade opportunities and develop value-added funding strategies from member banks
Coordinate and integrate advance activities into the Bank's funding plan. Perform other analysis and research as required
Ensure all activities comply with all risk limits, standards, processes, procedures and regulations.
Manage ALM development projects involving coordinated activity among Capital Markets team members, with responsibility for collective performance.
Contribute to the ALM/Risk group initiatives, preparing for discussions and providing analysis as an Capital Markets representative
Provide oversight on ALM activities as a core member of the Capital Markets team
Provide support in initiatives like Strategic Planning, Member Failure Planning, Business Planning, Income Simulation and such related projects as an SME for Capital Markets
Education:
Bachelor's degree in Business Administration
Finance, Economics, or related discipline
MBA in Finance, CFA preferred.
Skills:
Skilled fixed income derivatives trader, preferably with sell side experience.
The ability to model, structure and execute fixed income derivative transactions.
An in-depth understanding of fixed income mathematics and derivatives pricing models is required
Knowledge and understanding of Yield Curve construction and Option Pricing is required
Knowledge of GSE debt issuance.
A familiarity with MBS is a plus
Understanding of accounting rules, specifically SFAS 133 and the requirements for hedge designation is a plus
Expertise in Bloomberg, and Trading Analytics software such as PolyPaths
Familiarity with financial models, able to perform valuation techniques on various portions of the Balance Sheet and possess facility with financial models and valuation techniques; probability and statistics; basic sales and marketing.
Knowledge of Python, including visualization packages such as Plotly. Proficiency in SQL and VBA.
Proficient in addressing the optimization of processes and workflow of a financial operation
Expertise in spreadsheet development and the ability to develop and maintain trader tools and reports
Must demonstrate solid communications skills, with the ability to write and speak persuasively.
Ability to discuss and present financial concepts both at a highly technical level and in terms understood by persons who are less familiar with markets.
Ability to work independently and in a team environment to support the Bank's general funding, hedging, and liquidity management activities.
Detailed oriented.
Experience:
Minimum of 5 years of modelling, valuing, hedging and managing complex fixed income. In depth knowledge of accrual portfolios and ability to present relevant ideas and market research.
Salary:
$180,000 - $200,000
Skills: