John Fioretti Email & Phone Number

Greater Detroit Area

Greater Detroit Area

• Recommend hedging and trading strategies for mortgage pipeline, ensuring profit margins are preserved and hedge costs are minimized using a combination of TBA and Specified MBS pool instruments.• Analyze and forecast pipeline components on a daily basis to ensure mortgage pipeline risk is adequately protected.• Monitor the various components of the mortgage market (Rolls, Swaps, Spreads) to identify potential opportunities to improve trading executions.• Perform analysis and calibration of TBA durations, confirming risk system hedge ratios reflect current market expectations. Duration calibrations are based on Broker/Dealer reports, Bloomberg Models, empirical analysis and internally derived durations using Compass Analytics stochastic valuation model.• Manage relationships with Broker/Dealers to gain additional market intelligence and ensure trades are being executed in an efficient manner.• Monitor and analyze all applicable risk model assumptions (prices, durations and servicing values).• Assist in monthly TBA settlement reconciliation process. Investigating any potential discrepancies in a timely manner so as to avoid any potential fail charges.• Evaluate and recommend the use of alternative hedge instruments to minimize hedge cost and improve hedge effectiveness.

• Managed the valuation of a multi-billion dollar mortgage servicing asset (MSR), deriving initial capitalization values and monthly MTM valuations.• Performed MSR portfolio analysis including researching, validating and maintaining key model and market based assumptions.• Performed sensitivity analysis on all model assumptions to measure the impact of each on the MSR valuation.• Managed the implementation of Compass Analytics for MSR and Whole Loan valuations.• Created loan level MSR valuation to take advantage of potential MSR value opportunities in the context of a retained/released decision given the generic nature of servicing value pricing in the Co-Issue/Bulk Servicing market.• Created reports to monitor and evaluate the MSR portfolio performance relative to forecast. Specific metrics included CPR rates, CDR rates and delinquency rates.• Developed peer co-hort benchmark performance reports utilizing CoreLogic’s TrueStandings mortgage servicing performance platform.• Worked with third-party servicing valuation providers to ensure model assumptions and sensitivities were consistent with current market expectations.

Responsible for trading Agency, Reverse and Distressed Mortgages. Previously responsible for trading Home Equity and Non-Agency Mortgages.

Financial Analyst for Mortgage Servicing Division.

Bba, Finance Management

Msf, Finance