Portfolio Risk Analyst

The Portfolio Risk Analyst analyzes and negotiates all derivative confirmations and amendments, and resolves discrepancies with trading counterparties; reviews and assists in negotiating master agreements, including ISDA (International Swap and Derivatives Association) Master Agreement, and BMA (Bond Market Association) Repurchase Master Agreement, and tri-party custodial agreements to ensure that all capital markets trades, and derivatives transactions comply with internal risk management policies and external regulations; serves as back-up derivatives’ collateral manager. The Portfolio Risk Analyst is also responsible for the collateral management of the Bank’s derivatives portfolio.  This involves obtaining daily valuation of all derivatives transactions and collateral positions, determining collateral requirements, and making collateral calls.  Further, the Portfolio Risk Analyst supports the Senior Portfolio Risk Analyst in monitoring and analyzing existent and pro forma portfolio market, valuation, and accounting risk.

 RESPONSIBILITIES

 

Derivatives Trade Confirmations:  Analyze, Negotiate, Amend, and Draft All Derivatives Trade ConfirmationsResponsible for analyzing, negotiating, and amending, all derivative trade confirmations for all derivative transactions  Resolve derivatives trade confirmation disputes/differences with trading counterparties  Derivatives trading counterparties consist of money center and universal banks and major securities firmsReview all derivatives trades to ensure that all are accurately and completely booked into internal derivatives systems.  Assess all derivative transactions for compliance with internal Bank risk management policies, approved ALCO-approved strategies and external regulation. Responsible for preparing and updating procedures for compliance with departmental policy, Sarbanes Oxley, and best practices.

 

Analysis and Negotiation of ISDA and Other Master Trade AgreementsReview various master agreements including ISDA Master Agreements and Credit Support Annexes (“CSA’s”), Bond Market Association (“BMA”) Master Repurchase Agreements, and Tri-party Custodial Agreements.  Collaborate with Legal and front office staff to negotiate and execute these master agreements and all amendments with counterparties.Coordinate and work with Legal and front office staffs to evaluate ISDA initiatives, e.g. ISDA-sponsored multilateral amendments and updates to the published ISDA Definitions, for the purpose of making recommendations to Treasury Department, Legal, and Credit Committee. 

 

Collateral Management of the Bank’s Derivatives PortfolioEnsure that the Bank’s derivatives’ exposure is adequately collateralized in accordance with ISDA contractual terms.Generate daily mark-to-market valuations for all derivatives’ transactions and all associated collateral positions.  Determine needed collateral movements and communicate such with counterparties; respond to margin call demands and substitution requests from derivatives’ counterparties.Resolve all derivatives or collateral valuation disputes with trading counterparties.

 

Management and Regulatory ReportingDevelop database queries to facilitate and improve data presentation and reporting to Senior Management and Credit Committee.Extract and assemble periodic derivative credit exposure, potential future exposure valuations, and other information from different databases to report and make recommendations to Credit Committee. Verify accuracy of monthly reports on the Bank’s unsecured credit exposures provided to the external regulators and external auditors. 

 

REQUIREMENTS:

 Minimum 0-3 years work experience in a trading support function, preferably in a middle office settingUndergraduate degree required, with preference towards concentration in finance, accounting, or quantitative area

·  Understanding of fixed income financial instruments and valuation methods, including MBS, swaps, swaptions, and callable bonds, is desirable

·  Experience in using trading platforms, such as the Principia Analytic System (PAS), or Summit, is desirable

·  Proficiency with database access and management tools, such as MS Access, MS query, or Crystal ReportsKnowledge of and experience with legal documentation, including ISDA Master Agreement and ISDA Collateral Support Annex is preferredStrong analytical and problem solving skills

An Equal Opportunity Employer

 

 

Please send or fax a resume with salary requirements to:

Employment Manager

Federal Home Loan Bank of Boston

111 Huntington Avenue, 24th Floor

Boston, MA  02199

Fax: 617.375.2241

Email:  careers@FHLBBoston.com

No telephone calls please.