AVP/VP - Portfolio Risk Management & Treasury - Mortgage Securities

Description:

Job Description (Primary Responsibilities):

- 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.

- 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.

Preference:

- middle office risk position

- Preferably CA/MBA + CFA + FRM or B tech + CFA + FRM.

- Required Strong Risk mgmt with liquidity mgmt experience.

Skills:

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.