Structured Credit Analyst

Job Responsibilities

• Lead research coverage of the Agency MBS portfolio, which consists of $17bn across MBS pass-thrus, agency CMBS, mortgage CMOs and derivatives. Coordinate and implement an investment-driven research agenda with the four-person team of agency MBS portfolio managers and traders.
• Leading role in the continued enhancement of the proprietary agency MBS prepayment model and other quantitative valuation tools used in security selection and sector allocation recommendations.
• Leading role in further developing a loan level proprietary database covering the full MBS & RMBS markets.
• Oversee the prepayments of the Agency MBS portfolio by monitoring actual versus expected prepayments and recommending and implementing model adjustments
• Independent lead coverage of the $2.5bn Non-Agency RMBS portfolio, generate investment ideas and monitor the performance of the investment results.
• Perform broad surveillance, commentary, and outlook for the performance of the U.S. Housing market. Maintain updated view on the regulatory landscape that governs U.S. Housing finance.
• Perform independent credit analysis of transactions in the new issue and secondary markets. Deliver depth of credit analysis appropriate to invest across all parts of the capital structure. This requires extensive due diligence of sponsors, originators, servicers, and data providers.
• Perform cash flow and structural analysis, validating accuracy of third-party models. Independently apply and help refine internal credit rating methodology for each asset class.
• Monitor existing transactions. Set up surveillance models and monitor deal performance vs. expectations.
• Ensure each step of the investment process for both asset classes is followed and properly communicated : credit monitoring, updating forward looking excess return expectation, monitoring of analytics.
• Develop and maintain presentations and reports for internal meetings, client interactions and the portfolio management of securitized credit products.
• Contribute as an active member of the team to help identify relative value opportunities across the securitized markets and implement the best trade ideas across all clients' portfolios.

Qualifications & Education Requirements