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Mortgage Servicing Rights Portfolio Risk Analytics Manager, Managing Director
Union Bank
San Diego, CA, United States
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Description
Job Summary: Reporting to the Residential Lending Capital Markets Manager, the Mortgage Servicing Rights (MSR) Portfolio Risk Analytics Manager will be responsible for supporting the day-to-day risk analytics, risk reporting and performance monitoring of the MSR interest rate risk management process. Initially, the incumbent will support the organization in the development of the MSR interest rate risk management framework, the calibration of the MSR fair market valuation into the QRM Asset/Liability module and the implementation of the requisite risk analytics, risk reporting and profit/loss attribution. Additional responsibilities include the validation of critical model assumptions, calibration of prepayment models, the development of interest rate sensitivity, hedge effectiveness and correlation analysis of the MSR fair market valuation. Cross functional support of the MSR acquisition program will include development of an effective OMSR/PMSR valuation, recommendation of MSR portfolio bid levels and coordination of MSR Broker relationships and the independent third party fair market valuation process.
Major Responsibilities:
15% Market Analysis Analysis and development of MSR market overview to include review of new origination trends, quarterly review of MSR transfers and related best execution pricing of co-issue, bulk/mini-bulk and GSE/Cash Servicing Released execution to support optimal portfolio acquisition and portfolio performance. Coordination of MSR broker meetings, analysis of GSE disclosures and related research to evaluate market sellers versus buyers, bank versus non-bank participants and impact of regulatory capital constraints on market participants. Review and analysis of market rates, related primary market rates versus secondary market rates and prepayment environment on MSR market liquidity.
30% Risk Analytics and Risk Reporting Development and implementation of effective risk controls, risk analytics framework and implementation of risk reporting to support all MSR portfolio management activities. The effective transition from a monthly to daily generation of QRM Asset/Liability model valuation of MSR asset and hedge instruments, interest rate sensitivities and scenario analysis to support the dynamic re-balancing of interest rates hedging strategies. The evaluation of behavioral modeling, term structure/mortgage pricing model updates, mortgage servicing enhancements and other operational best practices into an advanced MSR valuation process.
20% Performance Monitoring and Hedge Effectiveness Review of market rates, yield curve and market volatility impact on related recommendation of optimal interest rate hedge strategies, rates versus mortgage interest rate hedges and review of positive duration and carry versus cost of convexity hedging. The review and development of an effective hedge correlation, model calibration and valuation process to support effective MSR risk management. The review and recommendation of an HFS origination model, portfolio retention and outbound borrower solicitation to support the MSR portfolio performance.
25% MSR Acquisition Review and analysis of bulk/mini-bulk data tape submission, portfolio concentration versus new portfolio stratification and coordination of portfolio valuation and recommendation of bid levels to MSR Brokers for portfolio acquisition. Coordination of the overall transaction management process from trade execution thru due diligence to settlement/post settlement with all financial controls, data submission and customer transfer administered in compliance with bank and regulatory requirements. Coordination of all external and internal functional support to complete onboarding activities, post settlement process and deal reconciliation with Controllers/Financial Reporting.
10% Policies, Procedures and Control Environment Review, recommendation and documentation of all related policies and procedures in RADAR with development of best in class critical assumption review, model calibration and back-testing process.
Qualifications
Additional Information 15+ years of experience in Consumer Finance, Residential Lending and Mortgage Banking. 12+ years of experience in Capital Markets, Secondary Marketing and Investor Relations. 12+ years of experience in MSR acquisition, MSR valuation/hedging and servicing operations. Experience in data mining, data analysis, with mortgage underwriting and GSE’s rep/warrant experience. Knowledge of BKFS Mortgage Servicing Platform (MSP), Empower and QRM A/L, QRM MB. Knowledge of Third Party/Vendor Management, GSE repurchase process and contracts. Knowledge and experience with MSR accounting, hedging and tax/accounting benefits of MSR execution. The above statements are intended to describe the general nature and level of the work being performed. They are not intended to be construed as an exhaustive list of all responsibilities, duties, and skills required of personnel so classified. We are proud to be an Equal Opportunity/Affirmative Action Employer and committed to leveraging the diverse backgrounds, perspective, and experience of our workforce to create opportunities for our colleagues and our business.We do not discriminate in employment decisions on the basis of any protected category