Senior Director, Mortgage Forecasting & Analytics

Playing an essential role in the U.S. economy, Fannie Mae is foundational to housing finance. Here, your expertise can help fuel purpose-driven innovation that expands access to homeownership and affordable rental housing across the country. Join Fannie Mae to grow your career and help people find a place to call home.

Job Description

In this Senior Director position, you will lead the development of Finance’s forecasts and analytical assessments for mortgage related trading and portfolio strategies. The role will evaluate expected performance across agency MBS, structured mortgage products, and performing and non performing mortgage loans; assess how results may change under different market and macroeconomic environments; and provide an informed Finance perspective on the assumptions and expected outcomes of existing and proposed strategies.

The position will report to the Vice President and Capital Markets CFO and will lead a dedicated mortgage forecasting and analytics team. The role will work closely with the Capital Markets CFO teams responsible for corporate liquidity forecasting and analysis, hedge accounting, and broader GAAP profit and loss reporting, as well as with the trading desk, portfolio management, risk, modeling, accounting, and other Finance partners.

THE IMPACT YOU WILL MAKE

The Senior Director, Mortgage Forecasting & Analytics role will offer you the flexibility to make each day your own, while working alongside people who care so that you can deliver on the following responsibilities:

Develop Mortgage Strategy Forecasts and Scenario Analyses

• Lead the preparation and ongoing enhancement of forecasts for the expected financial and economic performance of mortgage trading and portfolio strategies.
• Forecast income, returns, cash flows, market value changes, financing costs, credit performance, and other relevant performance measures for existing mortgage positions and strategies.
• Analyze how expected performance changes under different interest rate, yield curve, spread, volatility, housing, liquidity, prepayment, delinquency, default, and loss severity assumptions.
• Evaluate the expected behavior of agency MBS, TBAs, specified pools, structured mortgage securities, credit risk transfer instruments, and whole mortgage loans.
• Produce base case and alternative scenario views that highlight key assumptions, sensitivities, risks, and potential ranges of outcomes.
• Perform forecast to actual and period over period analyses and identify the primary reasons actual performance differed from expectations.

Provide Finance Analysis and Challenge of Mortgage Assumptions

• Develop Finance’s perspective on the assumptions used to forecast and evaluate mortgage strategies.
• Review and challenge assumptions used by the trading desk and other business partners, including prepayment speeds, refinancing behavior, turnover, buyouts, defaults, recoveries, loss severity, spreads, volatility, financing costs, and hedge performance.
• Compare outputs and assumptions across Finance, trading, risk, valuation, accounting, and modeling teams and identify the primary drivers of differences.
• Facilitate discussions with the trading desk and other stakeholders to evaluate alternative assumptions and determine the most appropriate inputs for Finance forecasting.
• Document key assumptions, judgments, uncertainties, and changes in outlook for use in management reporting and forecast governance.

Assess New and Evolving Mortgage Portfolio Strategies

• Evaluate the expected financial contribution and portfolio implications of proposed trades, investments, structures, and strategy changes.
• Assess the expected return, earnings profile, cash flow characteristics, funding requirements, market sensitivity, credit exposure, and downside risk of proposed strategies.
• Evaluate how new strategies may complement or detract from the existing mortgage portfolio, including their effects on diversification, concentration, optionality, convexity, basis risk, liquidity, and tail exposure.
• Analyze complex transactions at the collateral, security, tranche, strategy, and portfolio levels.
• Prepare clear Finance assessments that compare proposed strategies with existing positions and alternative uses of balance sheet, liquidity, or risk capacity.

Partner with P&L Teams to Evaluate and Explain Mortgage Performance

• Partner with P&L teams across both Finance and Capital Markets to evaluate and explain mortgage performance and its key economic drivers.
• Assist in measuring mortgage strategy performance using relevant economic and financial metrics, such as income, total return, carry, spread performance, realized and unrealized gains or losses, financing costs, and risk adjusted return, while challenging the underlying analysis and assumptions.
• Perform forecast-to-actual and period-over-period analyses and identify the primary reasons actual performance differed from expectations.
• Partner with both the Capital Markets CFO organization and Capital Markets desk P&L teams to distinguish economic performance drivers from accounting classification, timing, and presentation effects and to ensure appropriate Finance and business interpretations of results.

Lead the Mortgage Forecasting and Analytics Team and Operating Framework

• Build and manage the team, processes, tools, data, and controls required to support mortgage forecasting and strategy analysis.
• Lead, develop, and prioritize the work of a team of mortgage analytics and Finance professionals.
• Establish repeatable forecasting, scenario analysis, performance measurement, review, documentation, and reporting processes.
• Partner with data, technology, modeling, risk, and Finance teams to improve analytical tools, data quality, automation, controls, and reporting efficiency.
• Coordinate with the corporate liquidity forecasting, hedge accounting, and Capital Markets P&L teams to ensure mortgage assumptions and analyses are appropriately reflected across related Finance processes.

THE EXPERIENCE YOU BRING TO THE TEAM

Minimum Required Experiences:

• 8 or more years of experience in mortgage finance, fixed income or mortgage analytics, capital markets Finance, portfolio analysis, risk management, valuation, financial planning and analysis, trading support, or a related field.
• Strong knowledge of agency mortgage backed securities, including TBAs, specified pools, passthrough securities, CMOs, embedded prepayment optionality, and structured mortgage products.
• Experience developing financial forecasts, scenario analyses, cash flow projections, performance attribution, and sensitivity analyses for mortgage or other complex fixed income portfolios.
• Working knowledge of mortgage cash flow modeling, duration, convexity, spread and basis risk, option adjusted analysis, financing economics, and hedge performance.
• Experience leading or supervising analytical professionals and the ability to work effectively with trading, portfolio management, risk, modeling, accounting, liquidity, and senior Finance stakeholders.
• Strong ability to evaluate and challenge assumptions, synthesize complex or conflicting analyses, exercise sound judgment, and communicate conclusions clearly to both technical and senior management audiences.
• Bachelor’s degree in Finance, Economics, Mathematics, Statistics, Engineering, Computer Science, or a related field required.
• Shows curiosity and adaptability in learning and responsibly applying new technologies, including artificial intelligence, to reimagine how we work.

Desired Experiences:

• Understanding of performing and non performing residential mortgage loans, including prepayments, delinquencies, defaults, modifications, cures, liquidations, recoveries, and loss severity.
• Experience with mortgage analytics platforms, large datasets, SQL, Python, or other quantitative analytical tools.
• CFA designation, FRM certification, or advanced degree in Finance, Economics, Mathematics, Statistics, Engineering, Computer Science, or a related discipline.
• Experience with credit risk transfer securities, non agency RMBS, mortgage derivatives, or other structured credit products.

Finance - Financial Engineering - Senior Director

Target Pay Range: $200,000 - $269,000 a year

#LI-Hybrid #LI-ME1

Qualifications

Education:

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For most roles, employees are expected to work onsite on a regular basis at their designated office location. In-office work cadence is determined by your manager. Proximity within a reasonable commute to your designated office location is preferred unless the job is noted as open to remote.

Fannie Mae is an equal opportunity employer and considers qualified applicants for employment without regard to race, color, religion, sex, national origin, disability, age, sexual orientation, gender identity/gender expression, marital or parental status, or any other protected factor. Fannie Mae is committed to providing reasonable accommodations to qualified individuals with disabilities who are employees or applicants for employment, unless to do so would cause undue hardship to the company. If you need assistance using our online system and/or you need a reasonable accommodation related to the hiring/application process, please complete this form.

The hiring range for this role is set forth below. Final salaries will generally vary within that range based on factors that include but are not limited to, skill set, depth of experience, certifications, and other relevant qualifications. This position is eligible to participate in a Fannie Mae incentive program (subject to the terms of the program). As part of our comprehensive benefits package, Fannie Mae offers a broad range of Health, Life, Voluntary Lifestyle, and other benefits and perks that enhance an employee's physical, mental, emotional, and financial well-being. See more here.

Requisition compensation:

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