David Frederickson, Cfa Email & Phone Number

Kirkland, Wa, Us

Kirkland, Wa, Us

Seattle, Washington, United States

• Manage Capital Markets Activities: MSR Hedging, Single Family mortgage pipeline hedging, bulk whole loan sales• ALM / Balance sheet interest rate risk management• Level 3 asset valuation: Mortgage Servicing Rights (Single Family, DUS, SBA) and Scratch and Dent Loans

Greater Seattle Area

• Develop and execute hedging strategy for a $20 billion notional Mortgage Servicing Rights (MSR) asset• Efficiently execute TBA, swap, Eurodollar future and swaption transactions• Develop and execute hedging strategies for other mortgage products• Manage broker / dealer relationships, ISDA and MSFTA agreements• Assist quant team in testing and implementation of MSR asset and hedge model updates in QRM risk system

Greater Seattle Area

• Hedge $300mm - $800 million monthly mortgage pipeline mainly through TBA market• Execute swap, TBA and swaption trades to hedge mortgage servicing rights (MSR) portfolio• Analyze best execution for loans in mortgage pipeline• Manage broker / dealer relationships, ISDA and MSFTA agreements• Prepare analysis for model updates in QRM risk system

Greater New York City Area

• Provide analysis and support to Front Office traders responsible for hedging the Mortgage Servicing Rights asset• Substantiate daily Mortgage Servicing Rights portfolio (asset +hedge) p&l. Hedge products include interest rate Swaps, Swaptions, FRAs, TBAs, Eurodollar Futures, Treasuries, Fed Fund Futures, Treasury Futures, TBA Options, CMM FRAs• Draft quarterly review for management that summarizes p&l drivers, model changes and economic events related to the Mortgage Servicing Rights asset• Collaborate with other departments to trade new hedging products for the Mortgage Servicing Rights asset. Document trade flows and receive sign-off from all stakeholders• Provide analysis and forecasting for Agency MBS investment portfolio

Greater New York City Area

• Established valuation control policies and procedures for approx investment securities portfolio which included Agency MBS, Non-Agency MBS, Student Loan ABS, Credit Card ABS, Municipal Bonds, and Whole Loans (residential mortgages)• Calculated monthly valuation for less-liquid products such as Non-Agency MBS and Whole Loans using discounted cash flows• Developed variance tolerance thresholds and established priority ranking of third party pricing sources

Greater Seattle Area

• Mark to market a fixed income portfolio valued at approx. $17 billion.• Prepare various ad hoc analysis for portfolio managers.• Work with portfolio managers and Risk Management to establish the best pricing methods for new products.• Present proposed changes in pricing methodology to the Valuation Committee.February 2003- April 2005:• Provided reporting to portfolio managers and Risk Management. • Ensured the correct securities are delivered / received with the correct payment.• Verified and delivered any additional fees or interest payments. • Performed margin calls, resolved any disputes with the counterparties.