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 home ownership 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 MAKEThe 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…