Senior Mortgage Analyst - New York, NY

Senior Mortgage Analyst

Location: New York, NY

Position Type: Contract – 6 Months

Rate: Market/DOE (Only W2 / 1099)

Description:

Structured Products Data and Research group (SPDG) provides data, tools, and ad-hoc mortgage surveillance to the trading & research desks. Individuals in this group are subject matter experts supporting multiple product lines including Agency MBS, Non-Agency ABS/MBS, CMBS, and CDO. We are looking for a Structured Products data expert who can manage the Agency factors monthly production cycles, crack tapes, verify monthly surveillance reports, provide ad-hoc MBS/ABS surveillance and can speak researchers and traders language. Ideal candidate is a hand-on senior software developer and a data junkie with tape cracking skills who is a subject matter expert on Agency factors and Non-Agency data from eMBS, Intex, CPRCDR.COM, and Corelogic. Deliverables include:

• Manage the Agency factors production cycle which includes Freddie, Fannie, and Fed data boarding, quality control, Auto-sys batch jobs monitoring, and report distribution. Long hours are required on the 4th and 25th business days of the month.
• Work closely with Research and trading desks to capture requirements and provide ad-hoc mortgage analysis. This includes the construction of SQL queries, calculating prepayment speeds, generating cash-flows, providing loan performance and stratifications.
• Construct complex SQL queries to pull data from Sybase and SQL Server database repositories containing over 7 terabytes of data.
• Investigate data quality issues and provide remedy expeditiously
• Support price/cashflow calculators based on Intex API
• Build data tools, OLAP cubes, middle-ware components to facilitate and simplify access to SPDG data.

Required Skills:

• Must have worked with Agency (Freddie, Fannie, Ginnie) Pass-through, CMO, and loan level data. Vendors who provide this data include SIAC, eMBS, CPRCDR.COM, and CoreLogic. Candidate must be a Subject Matter Expert in this area.
• Deep knowledge of CMOs, ReRemics, Pass-throughs, MEGAs, Giants, Platinums
• Expert at calculating CPRs, CDR, Loss Severities, Pricing, Cashflows, and loan level stratifications.
• Understands the demands of monthly production cycles
• Expertise in in Perl, C#, C++, Autosys, and scripting is a must.
• Expertise in Sybase & MS SQL Server inner workings is a must
• Unix and Windows expertise is required
• Expertise in Intex desktop/Intexcalc and CMOSUBs is a must
• Expertise in Autosys scheduling is a must
• Database optimization experience is necessary
• Experience with heavy data