- Responsible for Interest Rate Risk Management, Liquidity Risk Management, Funding & Cash Management, and Investment Operations of the firm's Mortgage-Backed Securities portfolio and strategy.
- Strong knowledge on OTC products (preferred MBS/RMBS/CMBS, mortgage derivatives, OTC derivatives (IRS, Swaptions, CDX)
- Collaborate with MBS Portfolio managers in the US to ensure regulatory compliance and appropriateness of risk appetite, across Agency MBS, securitized products, corporate credit and government bonds. Work with Portfolio Management in supporting investment strategy execution, tracking P&L, and cash management. Perform automated portfolio reporting, risk analytics & performance attribution. Support the firm's hedging program, including the strategy, effectiveness and mandate compliance.
- Oversee the Middle/back-office team - Trade lifecycle processes with the firm's OMS (Bloomberg AIM), including trade processing, corrections, post-trade and settlement. Reconciliation of client/fund accounts and assist third-party service provider to research cash and security discrepancies for both custody and external custody accounts.
- Developing and maintaining cash forecasts that incorporate daily funding needs to support operating and investing activities, and ensuring accurate and timely processing of payments and settlement of portfolio trades.
- Responsible for security setups, maintenance, pricing and review back-office service provider data for accuracy.
- Oversee pricing process with daily pricing for internal and external reporting.
- Engage with trading counterparties to provide required KYC/AML documentation and manage onboarding lifecycle for new counterparties, including liaising with outside counsel and compliance to negotiate trading documentation.
- Coordinate & develop relationships with counterparties, exchange and Clearing Corporation.
- Participate in the annual SOC 1 Type 2 and GIPS verification review processes.
Qualifications & Experience
- Bachelor's degree in mathematics, Economics, Computer Science, Engineering.
- CFA and FRM is preferred.
- Relevant experience in the US middle or back-office OTC products operations of at least 7+ years is essential preferably in Mortgage-backed securities trading.
- Knowledge of fixed income securities and related metrics.
- Strong knowledge on OTC products (preferred MBS/RMBS/CMBS, mortgage derivatives, OTC derivatives (IRS, Swaptions, CDX)).
- Experience with Geneva/Simcorp and Bloomberg AIM is preferred but not essential.
- Strong communication skills, with an ability to express relevant, technical concepts in a clear and concise manner. Ability to be flexible and work in a fast-paced environment while meeting timelines.
- Self-starter with a strong initiative and ability to work independently.
- Analytical mindset and passion for gleaning actionable insights from raw data.
- Able to organize/manage multiple priorities and projects coupled with the flexibility to quickly adapt to ever changing business needs and requirements.
- Understanding of SQL, Python knowledge will be plus.
