Fixed Income Research, Analysis & Risk Management

JOHN H. JACKSON

**** **** **. **, #***, Washington, DC 20016

Cell: 202-***-**** Email: **********@*****.***

PROFESSIONAL GOAL: Fixed income securities portfolio and risk management, valuation, research and relative value analysis, cash flow modeling, model development

WHAT I HAVE DONE:

●Trade US treasury securities, STRIPs, IR futures, IR options, and repo

● Quickly and accurately model out unique loan/MBS/securities valuations involving non standard product, excess IO, servicing and options

● Price categories of whole loans, servicing, bulk pools and securities

● Extensive experience with bulk SF non performing and REO valuation and trading.

● Develop, tune, maintain, and use static and stochastic OAS interest rate and credit models to price loan attributes and servicing “on-the-fly” for purchase, valuation, and risk attributes

● Understanding of FASB and accounting issues relating to securities, whole loans and GA/GO.

● Experienced VaR, ALM and yield curve analyst and hedger

● Trained to always have a view of treasury and MBS sectors and yield curve relative value

● Scenario analysis of financial ecosystem involving currencies, volatility and macroeconomic analysis

● Extensive knowledge of options theory, swaps, caps, floors and IR futures

● Served as technical analytic liaison to programmers in guiding their programming and testing of models and systems

● Formal, written examinations of the adequacy of controls, accuracy of models, SOX compliance and data sufficiency to support risk taking activities

COMPUTER/DB/INDUSTRY TOOLS SKILLS: Bloomberg, Advent, SQL, OAS models, QRM, ABSNet, Excel, Derivative Solutions and Intex, Loan Performance, S&P Levels, Unix, Matlab and other statistical software, some VB for Excel

EXPERIENCE

Independent Capital Markets Consultant

May 2009 to Present

Clients: Fannie Mae (3 assignments), Ginnie Mae (1), Williams & Williams (1), Reuters (1)

Fannie Mae

● Develop mathematical algorithms using statistical sampling to be applied by programmers in the enhancement to Fannie Mae valuation and risk management models. Prove and test arguments, evaluate downstream effects

● Price monthly 400,000 Reverse Mortgage whole loan portfolio

●Mortgage analytics consulting for pricing servicing and servicer effectiveness in phase1 of a Fannie Mae project to develop industry standard servicer ratings system.

●Developed methodologies for purely numeric rating of servicer performance; standardized loan quality for different servicer books using statistical methods, analysis of flow through of DQ to SDQ, mod effectiveness (lagged), disposition time and relative price (short-sale, DIL, FC, bulk sale), to determine efficiency rating on "standard" loan

Ginnie Mae

● Subject matter expert in a 3-day seminar with key Ginnie Mae personnel to discuss technical issues relating to lenders; servicing multiples, inter coupon multiples, execution of GNMA MBS, effects of the nine-fold increase in GNMA market share since 2005

Williams & Williams Auction

● Expanded the business model by proposing purchase of non performing loans and conversion into REO. Instrumental in contracting with hedge fund to obtain analytics that allow W&W to expand into NP loans for the first time, modeling indifference points in price between REO and NP, the latter which is much more available

Tompson-Reuters

● Price 70,000 Alt-A private label tranches

Full-Time November 2007- May 2009 The Carlton Group , (New York, NY)

Washington, DC

Senior Vice President

Whole Loan Institutional Mortgage Brokerage

● Price and facilitate transfer of performing and non-performing residential and commercial whole loans packages, $100 million minimum and up. Specialist in performing whole loan valuation (high LTV, Alt, sub-prime) and of credit enhancement costs

Full-Time March 2005 to November 2007 Office of Federal Housing Enterprise Oversight Washington, DC

Stochastic Model Analysis Business Analyst, Market Risk

● Primary professional responsible for the analysis of Fannie Mae’s $800 billion plus portfolio

● Developed techniques for the return/risk/valuation analysis of pass-throughs, REMICs, strips, ARMs and whole loans. Served as the Agency's subject matter expert on mortgages and mortgage securities and hedging using swaps and swaptions

● Reviewed the adequacy and accuracy of prepayment and credit models

● Part of the team responsible for applying QRM and independent prepayment models to analyze portfolios, being responsible for stochastic analysis of the asset side

Full-Time September 2004 – March 2005 E*TRADE Bank Arlington, VA

Secondary Marketing Senior Whole Loan Trader

Acting Head, Secondary Marketing

●Purchased bulk and mini bulk packages of Jumbo, Alt-A and conforming whole loans

●Supervised correspondent pipeline risk using QRM

●Managed secondary market operations and pricing for the correspondent channel and developing same for a new wholesale channel. Helped hedge secondary marketing for the Bank’s retail mortgage operation in Irvine, CA.

●Developed credit price adjustments for various risk combinations (e.g., investor, 2-4 unit, condos, and LTV gradations)

Full-Time March 2001 – September 2004 Fannie Mae Washington, DC

Portfolio Management Senior Business Transactions Analyst

●Responsible for determining the price at which the Fannie Mae Portfolio will purchase single-family housing program whole loans based upon loan features (the Cash Window) using cash flow modeling, credit modeling and OAS. General conduit management

●Key member of “rapid response analytical group” that quickly modeled out pricing of lenders non standard bulk loans such as excess IO, buy the servicing fee and pay monthly fixed rate for servicing and option related pricing issues

●Led Fannie Mae Portfolio’s effort to find servicing solutions for unconventional and subprime product

●Responsible for making sure that OAS models are properly “tuned” by using data extracts to look at tactual loan performance

●Detected and investigated changes in collateral performance, taking action to protect collateral value

●Worked with SFB in the development and pricing of products and other major initiatives including increasing servicing values of lower credit products

●Continuously monitored CL g-fee total execution versus Gold’s, Ginnie 1 and II, and non agency

EDUCATION

Columbia University New York, NY

Graduate School of Business, MBA, Finance

Yale University New Haven, CT

The College of Arts and Sciences, B.A., Economics

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