Corporate Investments and Global Funding Technology Line of

Corporate Investments and Global Funding Technology Line of

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 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 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

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

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