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, 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

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, 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