Z-2496 | AVP/VP Portfolio Risk Management and Treasury - Mortgage-backed securities

middle office risk position

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

Required Strong Risk mgmt with liquidity mgmt experience.

CTC IS NEGOTIABLE FOR GOOD CANDIDATE

We need strong Portfolio/Treasury/Market/Interest rate risk management (Interest Rate Risk mgmt to hedge interest rate risk, credit risk mgmt to hedge credit exposure, Liquidity Risk Management).

Products : Mortgage-Backed Securities (MBS/CMBS) including Bonds, IR Swaps, Swaptions, repo.

Experience Min 6-8 years in fixed income derivatives risk mgmt and operations. In-depth understanding of bond analytics/bond fundamentals is must. Agency and non-agency bonds, bonds duration, convexity, IR yield curves. Ensuring timely booking of risk.

Key Stakeholders : Dealing with Portfolio mgmt and trading desks, Middle office – Regulators, compliance (ISDA/MRA) and counterparty dealing and oversight of back-office operations.  

Designation : At least VP with team handling experience.

Preferably CFA+FRM combination along with B tech or CA.

TIMING 1.30 TO 10.30 P.M

4 DAYS WFO AND 1 DAY WFH

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.