Derivatives Fixed Income Trader

Vanguard•Malvern, PA

1d•Onsite

About The Position

We are seeking an experienced Interest Rate Derivatives Trader to join Vanguard’s Fixed Income Group (FIG). As a Derivatives Trader, you will play an instrumental role in the active taxable fixed income business, helping to determine and implement both hedging and alpha generating trading strategies. This position requires extensive knowledge of interest rate markets, with a focus on modeling and valuing US Treasuries, interest rate swaps, interest rate swaptions, futures and listed options. Through daily market analysis, supporting portfolio managers, or helping develop innovative tools, your contributions will be valued and visible.

Requirements

Extensive knowledge of interest rate markets, with a focus on modeling and valuing US Treasuries, interest rate swaps, interest rate swaptions, futures and listed options.
Experience with options option and interest rate derivatives pricing models, understanding of basis risks and relationships.
Five years related work experience, including four years investment management experience.
Undergraduate degree in quantitative studies, economics or equivalent combination of training and experience required.

Nice To Haves

Derivatives and/or fixed income rates experience preferred.
Mathematics, statistics or financial engineering experience preferred.
CFA preferred.

Responsibilities

Negotiates and executes derivatives trades for fixed income managed portfolios.
Measures the impact of derivatives trades on the relevant portfolios.
Maintains relationships with security dealers.
Acts in investment decision-making function as a back up when the portfolio manager is off the desk.
Authorizes investments of cash flow across markets and acts as portfolio manager with lower level discretion.
Performs derivatives market and risk analysis for senior staff to identify critical data for decision-making.
Tracks sector spreads and identifies sector relationships.
Interprets risk of new events across a broad sector class.
Develops, evaluates, and acquires models for analyzing derivatives investment strategies and cost analysis for executions.
Generates complex performance attribution reports; identifies and resolves issues to produce accurate analyses.
Responds to fixed income desk inquiries pertaining to derivatives trading information and pricing.
Performs necessary analysis and relays relevant information to the appropriate portfolio manager for action.
Acts as a liaison with outside bond vendors; develops and maintains strategic relationship with security dealers.
Identifies, recommends, and develops process and operational improvements.
Develops derivatives strategies to add value through efficient execution and quantitative research.
Helps develop the market and operational knowledge of less tenured traders.
Analyzes data and develops derivatives trading and portfolio strategies with oversight.
Generates ideas and research independently.
Participates in special projects and performs other duties as assigned.