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Invested on Behalf of or Consulted to• Insurance Companies (Variable Annuity, Life and P&C)• Banks (Mortgage Banks, Bank Portfolios, Repo)• Pension Funds (Public and Private Sector)• Government Entities (Finance Ministries, Central Banks, GSEs, Regulators)• Other Financial Institutions (Clearinghouses, REITs, CRE, Specialty Finance)Asset Classes• Fixed Income of all types (Sovereign, Corporate, non-Dollar, etc.)• Structured Products• Emerging Markets• Public Equities• Foreign Exchange• Private Debt• Derivatives of all of the aboveMarket Risk Management• Design, implement and operate risk management programs, including measuring, remediating and reporting on investment, market and operational risks• Manage and advise on very large asset liquidations for institutions, clearinghouses, repo counterparties and government entities• Review existing programs for senior management of financial institutions on an advisory basis• Transact hedges to manage interest rate, credit, equity, and FX risks in investment portfolios, as well as arising from financial businesses such as insurance (annuities, VA), banking (loans, securities, repo, mortgage banking, mortgage servicing) and pensionsAdvisory• Prepare and present studies on market risk management, stress testing, market liquidity, portfolio wind-down to senior management, boards and government officials• Teach undergraduate and graduate finance course at a leading institutionPortfolio Solutions• Constrained mean/variance optimization for insurance and LDI investors• Stochastic optimization for LDI investors as well as liability optimization for leveraged investors, including GSEsCorporate Finance• Structured finance, including mortgage, loan and consumer asset securitizations, debt re-packagings, infrastructure and cash-flow securitization• Middle market mezzanine and leveraged lending• Establishment and marketing of illiquid asset investment vehicles, both in the US and abroad
Panoramix Partners, L.L.C.
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Independent ConsultantPanoramix Partners, L.L.C. Dec 2022 - PresentNew York, New York, UsPractice focuses on the market risks arising from insurance liabilities’ actuarial characteristics as well as non-insurance Level-3 exposures for banks (e.g. servicing). It proceeds in a bottoms-up fashion, working ultimately to construct an enterprise risk management solution that meets a firm’s objectives relating to profitability, volatility of results and reserves and/or capital sufficiency.Risk Identification, Characterization and Quantification- Identify and quantify the market risks from the bottom up, including rates, equity, credit and FX embedded in the insurance products. Integrate these with the market risks arising from the firm’s investment activities.- Characterize the net risk to the firm’s profitability and reserves and consider how consistent it is with the company’s overall risk posture as determined by senior management and the board of directors.Develop Risk Mitigation Programs together with Chief Investment and Risk Officers- Consider changes to a firm’s investment guidelines to better match the reserves to the market risk characteristics of the liabilities. This may be an especially effective exercise for firms that have outsourced a significant portion of their investment activities.- Develop hedging programs to mitigate the net market risks born by the firm.- Derive investment return and hedge cost metrics to inform product development.- Assist with the implementation of these programs, including regulatory filings, trading, operations and both financial and management reporting.
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ConsultantNon-Profit Retirement Plan Oct 2023 - Apr 2024Assisted this $9b retirement plan with due diligence relating to a proposed direct investment in a mortgage servicing company.
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Senior ConsultantAmerican Financial Exchange, Llc Jun 2023 - Mar 2024Chicago, Il, UsAFX operates an unsecured, interbank funding platform focused on mid- and small-sized domestic banking institutions, and publishes an index (AMERIBOR) of interbank funding costs. Responsible for charting a path to growing volumes in AMERIBOR-linked derivatives instruments. -
Subject Matter ExpertRiskspan Feb 2021 - Apr 2022Arlington, Va, UsRiskSpan is an institutional mortgage investment consulting and analytics firm that serves banks, REITs, insurance companies and GSEs. Provided advisory support in product development and marketing in areas including mortgage servicing and market risk. -
Md Risk & Interim Chief Investment OfficerArmour Capital Management L Sep 2019 - Jun 2020ARMOUR Capital Management is the external manager of ARMOUR Residential REIT, Inc. (NYSE: ARR), a publicly-listed real estate investment trust. Responsible for identifying, characterizing and quantifying market and portfolio risks and integrating them into the portfolio management process. Areas of focus include interest rate, prepayment and mortgage credit risk, liquidity risk management and hedging. Interim CIO in Q1 2020 during market dislocations while CIO working on special projects; returned to risk management for Q2 2020.
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Adjunct Professor Of FinanceNyu Stern School Of Business 2018 - 2020Adjunct Professor teaching Debt Instrument and Markets to sections of graduate and undergraduate students. This advanced finance-sequence course includes a fixed income market overview, bond math, credit markets, derivatives, structured products, portfolio construction, hedging and risk management.
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Managing Director - Client SolutionsBlackrock 2015 - 2018New York, Ny, Us- Insurance Strategist: Design, implement and manage synthetic investment, hedging, and overlay programs. Provide asset/liability, tax modeling and risk management advisory to insurance companies and pension plans. Executed several market/enterprise risk studies for variable annuity and long-term care insurers.- Portfolio Management: Responsible for managing interest rate, equity and currency hedging programs for US, Japanese and Swiss insurers and banks. Exposures include actuarial liabilities, currency hedges, equity beta reduction, interest rate overlays, cross-border investment programs and variable annuity insurance rider hedging. Execute strategic asset allocation studies for insurance companies using mean-variance and stochastic optimization. -
Managing Director - Financial Markets AdvisoryBlackrock 2008 - 2015New York, Ny, Us- Portfolio Management: Primary initial portfolio manager responsible for very large portfolio of non-agency RMBS purchased from a global banking institution. Responsible for risk management, duration, cash and liquid instruments of several large resolution portfolios. Multiple large auctions/liquidations of a broad range of USD and non-USD assets, including sovereign, corporate, equity and structured securities and derivatives.- Clearinghouse risk management and close-out services: Organized the first major closeout of a failed clearing member executed as agent. Closed out trades-in-flight and collateral from clearing member failures. Provided analytical, risk and close-out services to multiple clearinghouses and repo money providers.- Regulatory reporting and stress testing: Led reviews of banking sector derivatives exposure as part of rescue plans in two countries. Led derivatives model validation effort in support of a European central bank for the ECB's Asset Quality Review program. Responsible for evaluation of non-traditional (leveraged loan, emerging market, structured finance and derivatives) exposure in a variety of US regulatory reporting and stress test engagements.
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Managing Director - Portfolio Management & Client AdvisoryBlackrock 2005 - 2008New York, Ny, Us- Risk Advisory/Management. Provided analytical, advisory and derivatives execution services to financial institutions looking to hedge market exposures arising from core origination business activities. Primary client sectors included mortgage banks, REITs and insurance companies. Market sectors included interest rates, MBS and equities.- BlackRock Solutions Advisory: Provided consulting and advisory services on enterprise, credit and market risk management. Clients included GSEs, banks, savings banks, insurance, REITs.
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Vice PresidentAlliancebernstein Mar 2004 - Mar 2005Nashville, Tn, UsResponsible for all aspects of derivatives usage in fixed income portfolio management, including portfolio management, trading, documentation, and reporting in credit, currency, and rates derivatives. Member of task force which selected the middle- and front-office derivatives system for the firm. -
PartnerAlbion Alliance Llc Jun 1996 - Mar 2004Managing Director, Albion Alliance. Albion Alliance, formerly an affiliate of Alliance Capital Management L.P., primarily invested institutional funds in corporate mezzanine securities through several limited partnerships. The firm also managed a portfolio of approximately 60 fund investments for one of its former shareholders and established two emerging market private equity funds. Responsibilities included leveraged finance, mezzanine investment, product development, and fund establishment, administration and management of offshore funds, and a variety of corporate and technology tasks.- Mezzanine Investing. Originated, structured, negotiated and monitored middle-market mezzanine securities. Member of the firm’s investment committee. Represented Albion Alliance on six corporate boards of directors. Investments were in consumer products, defense, semiconductor fabrication equipment, safety equipment distribution, staffing services, and telecommunications strategy consulting.- Fund Vehicles, Administration. Established a domestic mezzanine fund and emerging market private equity funds in the Czech Republic and Brazil. Established management companies and investment vehicles domiciled in Delaware, Brazil, Czech Republic, Cayman Islands and Cyprus. Responsible for operational management of funds and president of fund vehicles. Member or ex-officio member of all fund investment committees.
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Senior Vice PresidentLehman Brothers Oct 1991 - May 1996- Emerging Markets Debt Options Dealer: Responsible for market making and risk management of dollar and non-dollar options on emerging markets sovereign and corporate debt. Developed EM debt options pricing and hedging software. - Head of structuring and deputy director of Emerging Markets structured trading desk: Structured, negotiated, marketed and executed transactions including debt repackagings, cash flow securitizations, and derivatives structures. Traded secondary positions. Established and managed a rated, $2 billion off-balance-sheet vehicle which financed emerging markets local debt.- Mortgage Trading. Negotiated new issues of private-label, mortgage backed securities with issuers, structured bonds, managed new issue and secondary positions and hedges, and marketed securities to investors. Coordinated development of MBS modeling software for whole loan, fixed-rate CMOs. Completed numerous transactions totaling over $8 billion for mortgage bankers, commercial banks and Lehman's captive shelf issuer, including the first public, nonagency REMIC resecuritization.
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Investment Officer, Securities And Syndications DivisionIfc - International Finance Corporation 1991 - 1991Washington, Dc, UsOriginated and distributed new debt and equity issues of emerging markets corporate issuers as well as closed-end investment funds which invested in such securities. Geographic focus was southeast Asia. Product specializations were structured debt and derivative instruments. -
Vice PresidentFirst Boston Corporation 1986 - 1991- 1989-1991: Mortgage Capital Markets. Negotiated new issues of private-label, mortgage backed securities, structured bonds, managed new issue and secondary positions and hedges, and marketed securities to investors.- 1986 - 1988: Asset Finance. Originated transactions, modeled structures and closed asset backed securities transactions. Structured and executed auto and computer lease backed financings as well as a $4.25 billion securitization for General Motors Acceptance Corp. -
Assisant Vice PresidentJ.P. Morgan 1983 - 1986New York, Ny, Us1984 - 1986: Assistant Vice President, Corporate Finance. Portfolio optimization / defeasance. optimization-based swap portfolio hedging models.1983 - 1984 Algorithmic Currency Trader. Designed, programmed and profitably traded a 24-hour real-time market analysis and technical trading system for cash foreign exchange.
David Sayles Skills
David Sayles Education Details
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Massachusetts Institute Of TechnologyManagement -
Yale UniversityChemistry
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University Of HamburgHistory
Frequently Asked Questions about David Sayles
What company does David Sayles work for?
David Sayles works for Panoramix Partners, L.l.c.
What is David Sayles's role at the current company?
David Sayles's current role is Combining analytics with capital markets and corporate finance expertise to construct solutions for complex challenges.
What is David Sayles's email address?
David Sayles's email address is ds****@****nyu.edu
What is David Sayles's direct phone number?
David Sayles's direct phone number is +121296*****
What schools did David Sayles attend?
David Sayles attended Massachusetts Institute Of Technology, Yale University, University Of Hamburg.
What skills is David Sayles known for?
David Sayles has skills like Fixed Income, Asset Managment, Investments, Capital Markets, Portfolio Management, Derivatives, Investment Management, Consulting, Financial Markets, Risk Management, Structured Finance, Bonds.
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