Fixed Income Analyst II
Fixed Income Analyst II
New York City
Hybrid
The Team
Investment Portfolio Management and Strategy team manages the (C)MBS, Housing Finance and Acquired Member Assets portfolio. The team leads the analysis, pricing, and acquisition of these assets by maintaining a strategy and framework in accordance with regulation, Asset Liability Management Committee (ALMC) directives and bank risk appetite. The team overseas the Acquired Member Assets (AMA) offering prices and collaborates with the ALM Analysis and Strategy team to determine/ execute optimal hedging and funding strategies
The Position
The Fixed Income Analyst II position provides support to the Investment Portfolio Management Strategy team in the performance tracking, risk reporting, and fair value assessment of the Bank's Acquired Member Assets, (C)MBS, and Municipal Housing Finance Bonds. The position will partner extensively with the Investments team and collaborate with AMA Sales & Marketing, Financial Accounting, and IT Delivery Teams to contribute to the transparency and reporting on all aspects of the portfolio under management.
Primary Responsibilities
Execution
• Participate in the preparation of fixed income investments relative value and market trends analysis to assist the team in the assessment of investment opportunities.
• Assist in the oversight of the Bank's AMA loan portfolio to include need for on-demand repricing, daily activity monitoring and portfolio performance.
• Leverage fixed income investments knowledge in conjunction with advanced Excel and programming skills to streamline / enhance workflow processes to facilitate timely value add reporting / surveillance for Fixed Income Traders.
• Assist Fixed Income Traders in the trade processing of MBS investments and other mortgage related products as authorized by the ALMC and as specified by the Director.
• Utilize the team's fixed income analytical software, Polypaths, Intex, Bloomberg, to generate analysis and supporting data to satisfy Fair Value and Risk reporting as part of the Investment & Portfolio Management's portfolio requirements.
Analysis
• Participate in the preparation of fixed income investments market valuation, performance, risk, and compliance reporting to ALMC / ALMC working groups, risk management, and the Board.
• Prepare Fair Value assessment of the Bank's Investments portfolios utilizing the PolyPaths Analytical System to generate supporting analysis. Objective is to determine reasonableness and to be able to identify errors and to attribute their source.
• Participate in the team's mission critical investment and portfolio management models' suitability assessments of software enhancements to comply with Model Risk Management (MRM) model validation process and to meet new and changing regulatory and business requirements.
• Participate in the preparation of fixed income investments performance and compliance reporting to ALMC / ALMC working groups, management, and the Board.
• Participate in the preparation of AMA competitive price survey / trend data to inform management of competitive stance and to support price / spread positioning proposals.
Technology
• Assist in the management / oversight of the Bank's AMA and other securities databases. This includes data entry, data integrity, field information and amending database structure accordingly.
• Perform analyses on assigned projects which will impact and contribute to the overall bank's business. Conclusions and recommendations are expected to contribute to valuation enhancements and / or process / work-flow improvements. Process / work-flow improvements are expected to create greater efficiencies and will require interaction with various bank groups to facilitate and coordinate successful launch. Reporting analyses are expected to contribute to the continued effort to enhance reporting capabilities and departmental processes.
• Actively optimize workflow, processes, and procedures as necessary to stay compliant with all regulations, risk mandates and changing markets.
Required Experience
• 3+ years in Fixed Income Investments experience focusing on Agency MBS, Agency CMBS, whole loan residential mortgages and Housing Finance Agency Municipal Bonds.
• Experience in utilizing financial modeling and analytical tools such as Polypaths, Bloomberg and ICE (Black Knight) residential mortgage and multi-family prepayment and default models.
• Experience in mortgage prepayment and default modeling using ICE (Black Knight) AFT residential mortgage and multi-family prepayment and default models, and INTEXCalc.
• Experience working with cross-functional teams, including Technology, Financial Accounting and Risk Management.
• Knowledge of credit, market, and operational risk measurements to ensure compliance with laws, regulations and internal policies and procedures.
• Experience in database analysis / management and modeling techniques.
Skills
• Knowledge of Fixed Income Investment products, preferably a background in structured finance.
• Familiarity of financial modeling and fixed income analytical tools such as Polypaths, ICE Data Services (f.k.a Black Knight Data & Analytics), Intex and Bloomberg.
• Preferred working knowledge in programming such as Python and VBA.
• Advanced Excel skills preferred, working knowledge of VBA macros and statistical functions necessary.
• Excellent analytical skills and ability to manage large data sets. Preferred working knowledge of database management systems, relational databases, and SQL.
• Strong written and oral communication skills.
• Detail oriented, diligent organizational skills to successfully manage concurrent deliverables, demonstrating flexibility in prioritizing and completing tasks.
• Self-motivated with strong problem-solving skills, team oriented and adaptable to changing requirements and responsibilities.
• Bachelor's degree in Finance, Economics, or related discipline.
Salary range - $95,000 - $115,000
The Federal Home Loan Bank of New York is committed to recruit, hire, develop, motivate, promote, retain, and compensate all applicants and employees in a nondiscriminatory manner without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, age, status as a parent, disability, genetic information, military or veteran status, or any other characteristic protected by applicable law (including title VII of the Civil Rights Act of 1964).
