Corporate Investments and Global Funding Technology

1

• Corporate Investments and Global Funding
  Technology
• Line of Business Technology for Front Office,
  Middle Office, Finance in a full range of Capital
  Markets business processes
• Part of the larger Global Markets Risk
  Technology organization
• My personal experience
• Worked for Mortgage Backed Securities
  Broker/Dealer Technology team (Public side)
• Trading Desk Support
• Software/analytics development
• Database development
• Worked on Integration of Mortgage Business
• Now working in Corporate Investments and Global
  Funding Technology (Private side)

Line of Business Technology
Core Technology (Data Centers, Networks)
Business (Front Office, Middle Office, Finance)
2

• Trade processing and Data Warehousing
• Realtime and overnight feeds of trade data from
  all trading systems globally
• Store trades in a Dimensional Data Warehouse for
  use in a wide variety of reporting
• Interest Rate Derivatives (Fixed/Float Swaps,
  BASIS Swaps, Floating Notional Swaps, CAP, FLOOR,
  Swaption, FRA, Synthetic IO/PO, Total Return
  Swap)
• Synthetic IO, PO, TRS
• FX Forwards, FX Swaps
• FX Futures, FX Options
• Agency and Non-Agency Mortgage Backed Securities,
  CMO, CMBS
• MBS Options
• Treasuries, Corporates
• Money Markets, Time Deposits
• Inter Company Loans
• Straight Through Trade Processing

3

• Valuation and Hedging
• Asset Hedging
• Hedge Mortgage Backed Securities, CMBS, Treasury
  Bonds, with Interest Rate Derivatives or TBA
• Debt Hedging
• Hedge Issued Debt with Interest Rate Derivatives
• FAS133 Accounting Standards
• Show/document Hedge Effectiveness
• Track daily movements, PL, Book Value
  adjustments
• Leverage existing analytics libraries and
  valuation models
• PL
• Calculate daily trade level PL and PL Explain
  across all asset classes
• Market movements, Accrual, Paydowns, Cash Flows,
  Fees
• Tie out to Ledgers

4

• Market and Credit Risk
• Leverage existing analytics libraries, valuation
  models, tools/systems
• IR Delta, Bucketed risk
• DV01, Duration
• VaR
• Credit Ratings model based on underlying
  collateral analysis
• Capital
• BASEL 1,2,3 Capital calculations
• Enterprise Stress Testing
• Regulatory reporting
• Dodd Frank realtime reporting
• Reg W reporting
• Analysis required by regulators and auditors
• Enterprise Data Management Standards
• Enterprise Risk Aggregation

5

• Qz Initiative
• Create an integrated cross-asset front to back
  position management, pricing, risk management and
  sales/trading tool across all lines of business
• One system with all trades, market data,
  analytics, risk measures across all asset groups
• Front to back pricing, risk management, trade
  life cycle, settlements
• Quants/Technology/Front Office/Middle
  Office/Operations developers work on the same
  code base
• Quick turn around for tool enhancements without
  sacrificing maintainability

6

• Skills you need
• The ideal skill set for this space is someone who
  understands the capital markets business,
  products, analytics and can combine that with
  strong software development skills
• Market/Product Knowledge
• Treasury Bond, Mortgage Backed Security, Interest
  Rate Derivatives, Foreign Exchange, Options
• Understand the trade lifecycle (resets, factors,
  etc)
• Valuation knowledge
• Accounting, Book Value, Market Value, PL
• Curves, Shocks, Risk measures (dv01, convexity,
  delta, NII)
• Technology Skills
• Object oriented programming, such as, Python,
  Java, .Net
• Strong SQL skills
• Good communication skills
• Strong work ethic
• Start opportunities
• College Pipeline TAP program, Direct to Full time
  Associate, Contract to hire