Senior Treasury Derivatives Analyst recruitment
The Seattle Bank makes our communities better places to work and live by providing funding products to its nearly 350 financial institution members -- and by contributing 10% of its annual net profits to affordable housing and community economic development.
A $40 billion institution, the Seattle Bank is one of 12 Federal Home Loan Banks located across the US.
Senior Treasury Derivatives Analyst
This position enhances the Bank’s profitability and risk management by providing technical expertise and analytic support by:
- Supporting traders by evaluating trade opportunities and identifying potential risks and benefits. Makes recommendations on transaction structures to maximize economic benefits while minimizing related risks. Assists with the development of presentations and proposals for the Treasury Strategy Group and ALCO committees.
- Supporting the Director of Finance and the CFO in evaluating Bank wide interest rate risk and structuring responses. Synthesizes various model results and overlays transaction strategy analytics to generate actionable trade ideas for balance sheet management and income enhancement.
- Supporting the acquisition of low cost structured funding by performing economic and FAS 133 related analytics for the Treasury Department.
- Developing and validates the selection of parameters and methodologies used for trade and portfolio modeling, including Term structure models; Mortgage Prepayment Models; OAS; Portfolio Attribution; and Option Pricing.
- Performing market research and provides written recommendations to support portfolio management decisions including the development of pricing tools and derivative analytics.
- Developing and validates risk / return management models and the specific inputs related to trades under consideration. Develops and recommends stress scenarios and appropriate risk measures.
- Assisting in the quantification of credit and operational risk for the trading desk. Assists in the development of appropriate guidelines, policies and procedures for the Treasury department.
- Assisting with the development of new products/enhancements with embedded derivatives.
- Providing support to Asset/Liability, Treasury and Credit to achieve strategic objectives of the Bank.
Desired Qualifications
- Bachelor’s Degree with an emphasis in finance, mathematics, statistics or a similar quantitative discipline. Advanced degree in a related field (MBA, CFA) strongly preferred or an equivalent combination of education and experience from which comparable knowledge and skills may be acquired.
- Five plus of experience in financial services modeling complex financial transactions and making trade recommendations.
- Experience with fixed income securities and interest rate derivatives. In-depth understanding of fixed income mathematics (derivatives models, probability theory, Monte Carlo Simulations, OAS, income simulation) with a proven track record of creating accurate models and results.
- Knowledge and understanding of Yield Curve models; mortgage prepayment models; OAS; Portfolio Attribution and/or Option Pricing is required. Direct experience with PolyPaths, Derivative Solutions, and/or QRM is highly desirable.
- Technical expertise modeling derivatives and the related economic and FAS 133 implications
- Superior analytical and communication skills are required. Position requires direct interaction with traders, strategists, senior managers and risk managers.
- Strong organizational and time management skills with the ability to work independently with minimal supervision. Ability to function effectively under tight time deadlines.
- Highly proficient with Excel, Access, Bloomberg, and Trading Analytics software such as PolyPaths, Derivative Solutions, or QRM. Programming skills in C++, Java, VBA is a plus.
We offer a rich compensation package, including competitive wages and health benefits for employee, three weeks’ vacation, 401K, and a business casual environment as well as other benefits. Qualified candidates should direct resume and cover letter to:
Recruiter1, Federal Home Loan Bank of Seattle
1501 Fourth Avenue Suite 1800
Seattle, WA, 98101-1693.
Or Email: recruiter1@fhlbsea.com.
No phone calls, please. The Federal Home Loan Bank values diversity in the workforce and is an equal opportunity employer. Women and Minorities are encouraged to apply.