Structured Credit Analyst
3 days ago
Job Responsibilities
- Lead research coverage of the Agency MBS portfolio, which consists of $17bn across MBS pass-thrus, agency CMBS, mortgage CMOs and derivatives. Coordinate and implement an investment-driven research agenda with the four-person team of agency MBS portfolio managers and traders.
- Leading role in the continued enhancement of the proprietary agency MBS prepayment model and other quantitative valuation tools used in security selection and sector allocation recommendations.
- Leading role in further developing a loan level proprietary database covering the full MBS & RMBS markets.
- Oversee the prepayments of the Agency MBS portfolio by monitoring actual versus expected prepayments and recommending and implementing model adjustments
- Independent lead coverage of the $2.5bn Non-Agency RMBS portfolio, generate investment ideas and monitor the performance of the investment results.
- Perform broad surveillance, commentary, and outlook for the performance of the U.S. Housing market. Maintain updated view on the regulatory landscape that governs U.S. Housing finance.
- Perform independent credit analysis of transactions in the new issue and secondary markets. Deliver depth of credit analysis appropriate to invest across all parts of the capital structure. This requires extensive due diligence of sponsors, originators, servicers, and data providers.
- Perform cash flow and structural analysis, validating accuracy of third-party models. Independently apply and help refine internal credit rating methodology for each asset class.
- Monitor existing transactions. Set up surveillance models and monitor deal performance vs. expectations.
- Ensure each step of the investment process for both asset classes is followed and properly communicated: credit monitoring, updating forward looking excess return expectation, monitoring of analytics.
- Develop and maintain presentations and reports for internal meetings, client interactions and the portfolio management of securitized credit products.
- Contribute as an active member of the team to help identify relative value opportunities across the securitized markets and implement the best trade ideas across all clients' portfolios.
- BS degree in related field with exceptional academic achievement required
- Graduate degree focused in Finance/Economics or CFA designation strongly preferred
- 10 plus years of financial services experience
- 7+ years of experience in the investment management arena with direct responsibilities in securitized assets.
- Investment experience in Agency MBS and Non-Agency RMBS markets with a demonstrated history of investing across the capital structure in a variety of collateral types and structures.
- Deep knowledge of RMBS structures, both cash flows and legal. Proficient in Intex and proven ability to independently create cash flow models for complex RMBS transactions. Technical proficiency in Python, SQL, and Intex API is preferred.
- Strong understanding of optionality inherent in mortgage assets and ability to consistently evaluate relative value across various structures and collateral types. Demonstrated proficiency in relative valuation between the Agency MBS and Non-Agency MBS markets.
- Self-directed with a strong attention to detail and no tolerance for errors.
- A personality that thrives in a working environment that is demanding, informal and team oriented
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