Collateral Modeling and Analytics, Assoc. Dir.

Federal Home Loan Bank of San Francisco; United States; On-site; USD 125,000 - 155,000; Full time

Job summary

The Federal Home Loan Bank of San Francisco is seeking an Associate Director for Collateral Modeling and Analytics to lead loan valuation, data analytics, and reporting across the mortgage collateral pricing process. You will work with internal risk teams, members, and vendors to improve valuation accuracy and risk insights.

Responsibilities include managing quarterly collateral valuation, integrating third‑party pricing, conducting benchmark studies, supporting model governance, and preparing

Qualifications

• Three to five years progressively responsible experience in mortgage portfolio analysis and risk management.
• Experience in whole-loan and securities valuation and in prepayment/default modeling.
• Strong data quality focus and ability to manage large datasets across multiple data stores.

Responsibilities

• Manage the Bank’s quarterly collateral valuation and risk analysis processes for residential and commercial portfolios, including data prep and identifying valuation trends.
• Integrate valuations from third-party pricing vendors into the mortgage loan valuation process.
• Analyze vendor pricing outputs and assess drivers of valuation changes (rates, spreads, prepayments, collateral characteristics, market conditions).
• Perform data validation and quality checks on loan-level datasets and pricing outputs; reconcile results across cycles and investigate discrepancies.
• Conduct benchmark studies and tolerance testing for third-party models and internal valuations to ensure consistency with current market practice.
• Summarize complex analytical findings into concise executive-level presentations for Senior Management and Credit Committee.

Skills

SQL

Excel

Power BI

Data analytics

Mortgage market knowledge

Education

Bachelor's degree in Finance, Economics, Statistics, Mathematics, Data Analytics, or related quantitative discipline

MBA or Master of Finance or CFA designation preferred

Tools

PolyPaths

AFT

Bloomberg analytics

CapIQ

Job description

Job Description: Purpose:

The Federal Home Loan Bank of San Francisco (“Bank”) is a cooperative, wholesale bank that provides liquidity to its members and helps meet community credit needs by providing credit products and services to member financial institutions through all phases of the economic cycle. The Bank’s members include commercial banks, credit unions, industrial loan companies, savings institutions, insurance companies, and community development financial institutions headquartered in Arizona, California, and Nevada. The Bank is member focused; embraces accountability to meet commitments and uphold our governance, risk, and control standards as a government sponsored enterprise; and values differences to foster an inclusive culture. Collateral Modeling and Analytics team within Collateral Risk Management is responsible for: Producing analytics to determine member borrowing capacity Managing liquidation valuation of pledged collateral Supporting haircut/margin methodologies Operating and maintaining the suite of collateral models used by the Bank The Associate Director, Collateral Modeling and Analytics supports loan valuation, data analytics, and reporting activities across the Bank’s mortgage collateral pricing process, working closely with internal risk teams, members, and third‑party vendors.

Primary Responsibilities:

• Manage the Bank’s quarterly collateral valuation and risk analysis processes for residential and commercial portfolios, including preparing loan data files, supporting vendor submissions, and identifying key valuation trends.
• Integrate valuations from third-party pricing vendors into the mortgage loan valuation process.
• Analyze vendor pricing outputs and independently assess drivers of valuation changes, including interest rates, credit spreads, prepayment assumptions, collateral characteristics, and market conditions.
• Perform data validation and quality checks on loan‑level datasets and pricing outputs, including reconciling results across reporting cycles and investigating discrepancies.
• Perform benchmark studies and tolerance testing for third party behavioral models, vendor price models, internal model generated valuations, and haircut (margin) assignments to assure consistency with current market practice.
• Summarize complex analytical findings and market developments into concise executive-level presentations and reports for Senior Management and/or Credit Committee.
• Provide national and regional economic and real estate market risk research in a concise executive level format with sufficient analytical support for conclusions and/or recommendations to the Bank’s risk and credit committees, including support for the Bank’s CECL and collateral monitoring process.
• Provide analytical support for collateral models, including valuations and margin methodologies.
• Support model governance activities, including model validation reviews, documentation updates, testing, and remediation of findings and recommendations.
• Execute projects independently that enhance and/or streamline department reporting capabilities.
• Assists in preparing monthly reports for Senior Management and the Board of Directors which portray the safety, soundness and mix of associated risks of securities and mortgages pledged to the Bank by its Member institutions.
• Assist Senior Analysts with monthly and quarterly valuation and risk analysis processes for the Bank’s Pledged Collateral and MPF Whole Loan portfolios.
• Support mortgage collateral systems and data processes, including maintaining data mappings and updating fields within the Mortgage Collateral Management system.
• Monitor collateral data submissions and assist members with mortgage data file errors, corrections, and data mapping requirements.
• Provide support for the member portal and related system inquiries.

Skills/Knowledge:

• Bachelor's degree in Finance, Economics, Statistics, Mathematics, Data Analytics, or a related quantitative discipline.
• Advanced degree (MBA or Master of Finance) or CFA designation preferred.
• Three to five years progressively responsible experience in mortgage portfolio analysis and risk management, including expertise in whole loan and securities valuation as well as prepayment and default modeling.
• Detail-oriented and well-organized, with strong data quality focus and sound judgment in applying procedures.
• Excellent interpersonal skills to work in a team environment and to influence and interface with a broad range of stakeholders at all levels, both internal and external.
• Proficiency with mortgage market–related software tools such as PolyPaths, AFT, Bloomberg analytics, and CapIQ.
• Uses data to aid decision making by possessing strong analytical and problem-solving skills while being able to tell the story behind the numbers and analysis.
• Ability to manage large datasets across multiple data stores and technology platforms.
• Strong SQL skills for querying, transforming, and validating large datasets, with proficiency in Microsoft Excel and Power BI.
• Proficiency with mortgage market related tools such as PolyPaths and AFT.

Required Qualifications:

• Minimum of three to five years of progressively responsible experience in mortgage portfolio analysis and risk management, including expertise in whole‑loan and securities valuation.
• Demonstrated ability to manage large datasets across multiple data stores and technology platforms.
• Strong proficiency with Microsoft Excel, Power BI, and SQL.

Salary Range: $125k - $155k

The Federal Home Loan Bank of San Francisco is committed to the principles of equal opportunity in employment (e.g., employees, applicants) and in contracting (e.g., suppliers, vendors) regardless of race, color, religion, sex, national origin, disability status, genetic information, age, sexual orientation, gender identity, status as a parent, or any other characteristic protected by law.

Salary ranges reflect the base salary that the Bank reasonably expects to pay for a given role and is not inclusive of annual incentive award opportunities, retirement benefits or the value of other health and welfare or other ancillary benefits. We consider many factors when determining base salaries such as individual background and experience, the competitive environment, education, particular skill set(s), and industry and institutional knowledge.

The Bank is committed to offering all team members challenging and engaging work with market competitive pay, retirement, and benefit offerings. In support of this commitment, the Bank routinely engages in market competitive benchmarking surveys and analysis to ensure our team members continue to be paid fairly and competitively.

The Federal Home Loan Bank of San Francisco is a cooperative, wholesale bank that helps meet community credit needs by providing readily available, competitively priced credit products and services to member financial institutions through all phases of the economic cycle. Our members include commercial banks, credit unions, industrial loan companies, savings institutions, insurance companies, and community development financial institutions headquartered in Arizona, California, and Nevada.