Manager Management
Resume:
Hans J. Fless
*** **** **** ******, ***#****
New York, NY 10019
******@*****.***
EXPERIENCE
UBS SECURITIES LLC, Stamford, CT 2010 – 2012
Fixed Income, Currencies & Commodities (FICC)
UBS Delta – Executive Director
UBS Delta is a portfolio analysis and risk platform provided to clients. The UBS Delta team also provides advisory
services to clients including Liability Driven Investment (LDI), risk and hedging solutions.
Worked with UBS trading desks to offer trade ideas in response to client needs. Including portfolio construction
problems, LDI solutions, defeasance trades, optimal curve hedges, tail risk hedging and basket hedges for
illiquid products.
Product manager for US asset coverage in the UBS Delta portfolio risk platform.
Lead the build out of the US office of UBS Delta.
Responsible for client coverage of North America.
BARCLAYS CAPITAL, INC. (Formerly Lehman Brothers), New York, NY 2004 – 2010
Fixed Income Research
Research Analyst, POINT – Director (2009 - 2010)
Part of a group within fixed income research that is responsible for providing portfolio and analytic solutions to
select clients. In this capacity the team serves as risk advisors to portfolio managers of mortgage hedge funds,
servicers, commercial banks and large asset management firms.
POINT Mortgage-backed securities (MBS) & Emerging Market Debt product manager.
Analyzed client portfolios using POINT and educated client portfolio managers on Barclays Capital valuation,
risk and prepayment models.
Advised client portfolio managers on portfolio risk exposure and potential hedging strategies.
Speaker at the Lehman Brothers Mortgage Hedging conference (2006) and the Index Advisory Council (2007).
Worked with Quantitative Portfolio Strategies to develop three new Replicating Mortgage Index (REMIX)
strategies using the POINT Optimizer. The custom indices replicate the Barclays Capital Fixed Rate Mortgage
Index using mortgage TBA’s. The indices are communicated to the Barclays Capital’s sales force and offered to
clients along with existing REMIX indices as a way to gain exposure to the MBS sector while deploying unused
cash to strategies with greater alpha.
In 2007 one of my clients awarded a $1 billion mandate to Lehman Brothers Asset Management in part due to
the strategic relationship I maintained over the prior three years.
Worked with Quantitative Portfolio Strategies on the implementation of Liquidity Cost Scores (LCS) in POINT.
The scores measure the cost of executing a round trip transaction in a security and are estimated using Barclays
Capital trader bid-ask spread data. The scores can be used in portfolio construction strategies using the POINT
Optimizer.
Developed spreadsheet model that analyzes interest income and interest expense, or net interest margin (NIM),
consistent with accrual accounting. The model takes scenario cash flows as an input and then computes scenario
NIM’s.
Worked with equity hedge funds to back-test strategies using POINT Optimizer.
Research Analyst, POINT – Vice President (2004 - 2009)
Worked with Mortgage and Interest Rate Strategies to analyze their cash and levered portfolios in POINT.
Worked with a large commercial bank to create a management process for their mortgage loan portfolio. This
involved creating pools from the loans and pricing the pools with an index pricing matrix.
Worked with modeling group to improve the methodology of POINT’s return attribution model for Mortgage-
backed securities (MBS).
Worked with development group to implement mortgage user defined instruments which allow clients to model
loan portfolios and servicing assets in POINT.
CITIGROUP, INC., New York, NY 2003 – 2004
Consumer Treasury Group
Fixed Income Portfolio Manager – Vice President
Responsible for the management of a $10 billion fixed income available for sale (AFS) portfolio in the Consumer
Treasury Group. The assets under management were predominantly MBS, but also included Agency and Non-
agency CMO’s, Home Equity Asset-backed Securities (ABS), U.S. Treasury, Municipal and Commercial Mortgage-
backed securities (CMBS).
Recommended portfolio strategy given economic environment, market conditions and business constraints.
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Evaluated the impact of proposed trades on corporate net operating income and equity and presented results to
senior management.
Executed trades and evaluated and monitored the portfolio risk position.
Developed and implemented portfolio pricing, risk reporting methodology and monthly return attribution
analysis.
Developed a policy paper outlining guidelines and procedures for managing the AFS portfolio against a custom
index. The paper was part of a proposal requesting the implementation of a FASB 133 hedging program that
would change portfolio accounting from a book value basis to a mark-to-market basis.
ABN-AMRO NORTH AMERICA, INC., Chicago, IL 1999 – 2002
Treasury Risk & Asset Management Division
Senior Portfolio Analyst - Officer (2000 – 2002)
Produced research, analysis and trading strategies associated with generating excess returns on an indexed and delta
hedged MBS portfolio. The $35 billion portfolio primarily consisted of MBS but also included interest rate SWAPS,
Non-agency CMO’s, ABS, MBS derivatives (IO’s & PO’s), CMBS and Agency debentures.
Full ranking member of the six member portfolio strategy group (2000-2002).
Over the period 2001 to 2006 this team produced average annual excess returns of 33.5 (bps) with a volatility of
33.9 (bps) for a Sharpe ratio of .986.
Manager of the Non-agency CMO portion of the portfolio (2001-2002).
Executed trades and monitored portfolio risk position following intra-day movements in interest rates, volatility,
primary mortgage rates and option adjusted spreads (OAS).
Developed paper proposing alternative capital structures for an ABS portfolio (e.g. Conduit, CDO or Synthetic
Securitization) which would reduce regulatory capital and allow balance sheet capital arbitrage.
Developed paper proposing investment and credit policy guidelines for five new asset classes. Amsterdam
(global headquarters) adopted the paper in June 2002.
Analyzed portfolio risk metrics, produced custom risk reports, re-priced portfolio following re-balance of
hedges, developed models for off-the-run securities, attributed monthly returns.
Portfolio Analyst (1999 – 2000)
Produced credit research, cash flow analysis and identified and recommended transactions exhibiting relative value
to the structured product portfolio.
Established guidelines for monitoring the credit risk associated with structured transactions.
Performed period reviews of MBS and ABS issuers and servicers.
DUFF & PHELPS CREDIT RATING CO., Chicago, IL 1996 – 1999
Residential Mortgage-backed Securities Group
Managed multiple MBS issuer accounts providing credit rating analysis on potential MBS transactions including
default modeling, excess cash flow modeling, legal review, structural analysis and due diligence. Co-managed the
credit surveillance group and organized the monthly deal performance process.
Provided credit rating analysis on 16 issued MBS transactions including deals issued by C-BASS, RFC and
IndyMac. In addition, performed due-diligence required to assign servicer ratings for C-BASS/Litton Loan
Servicing, Option One and Countrywide.
HOWE BARNES INVESTMENTS, INC., Chicago, IL 1993 – 1996
Margin Desk/Credit Clerk
EDUCATION
THE UNIVERSITY OF CHICAGO, GRADUATE SCHOOL OF BUSINESS, Chicago, Illinois June 2003
Master of Business Administration, Concentrations in Analytic Finance and Econometrics & Statistics
Self-financed second year of program
Member, GSB Derivatives Club
BOSTON UNIVERSITY, Boston, Massachusetts 1993
Bachelor of Science, Physics
ADDITIONAL INFORMATION
Series 7 & 63 licensed. In-depth knowledge of portfolio systems (Yield Book, POINT, UBS Delta, Intex Desktop).
Asset classes covered: Global Fixed Income. Specialist asset classes: Agency MBS (pass-through, re-performing,
hybrid ARM’s and multi-family), Non-agency RMBS and CMBS, ABS: Home Equity, Manufactured Housing,
Credit Card and Auto, Interest Rate Swaps and Swaptions.
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