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
Core Technology
(Data Centers, Networks)
Line of Business
Technology
Business (Front Office,
Middle Office, Finance)
• 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)
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
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
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FAS133 Accounting Standards
Show/document Hedge Effectiveness
Track daily movements, P&L, Book Value adjustments
Leverage existing analytics libraries and valuation models
P&L
• Calculate daily trade level P&L and P&L Explain across all asset classes
• Market movements, Accrual, Paydowns, Cash Flows, Fees
• Tie out to Ledgers
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
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Dodd Frank realtime reporting
Reg W reporting
Analysis required by regulators and auditors
Enterprise Data Management Standards
Enterprise Risk Aggregation
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
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
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• 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, P&L
• 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