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The role:
We are seeking a Market Risk Execution Associate in the Treasury team to support the management of market risk across the company’s balance sheet, with a primary focus on mortgage-related assets and associated hedging activities. This role will help execute Treasury’s risk management strategy by monitoring exposures, supporting hedge implementation, analyzing hedge effectiveness, and assisting with daily risk reporting tied to retained mortgage positions.
The ideal candidate is analytically strong, detail-oriented, and interested in fixed income markets, mortgage products, and balance sheet risk management. This person will work closely with Treasury, Capital Markets, Finance, Accounting, and Risk teams to help manage interest rate, spread, convexity, and pipeline-related risks arising from on-balance sheet mortgages.
What you’ll do:
- Assist in the design, implementation, and rebalancing of hedging strategies using approved instruments, including derivatives and cash market hedges.
- Prepare daily and weekly risk reports covering hedge positions, sensitivities, exposure changes, P&L attribution, and hedge effectiveness.
- Track asset and liability duration, convexity, and key rate exposures across mortgage-related positions.
- Partner with senior Treasury team members to evaluate hedge needs driven by origination flows, retained production, portfolio runoff, prepayment behavior, and market moves.
- Help execute hedge transactions within approved policies, limits, and governance frameworks.
- Support scenario analysis and stress testing for mortgage portfolios under different rate, spread, and prepayment environments.
- Assist in developing and maintaining risk models, dashboards, and reporting tools used to manage mortgage balance sheet exposure.
- Work with Finance and Accounting to support hedge documentation, valuation review, and reporting requirements.
- Maintain awareness of mortgage market trends, rate volatility, Federal Reserve activity, and macro developments relevant to balance sheet hedging.
What you’ll need:
Responsibilities include helping measure the risk profile of retained mortgage assets, supporting hedging activity, and ensuring Treasury maintains appropriate protection against adverse market movements. The associate will play a key role in translating portfolio exposure into actionable hedging strategy under the direction of senior Treasury leadership.
- Bachelor’s degree in Finance, Economics, Mathematics, Accounting, Engineering, or a related quantitative field.
- 1–3 years of experience in Treasury, Capital Markets, market risk, fixed income, mortgage finance, ALM, or a related field; strong internships may be considered.
- Foundational understanding of interest rates, fixed income instruments, and mortgage products.
- Familiarity with concepts such as duration, convexity, DV01, key rate risk, spread risk, and hedge effectiveness.
- Strong analytical and quantitative skills with the ability to interpret market data and portfolio sensitivities.
- Advanced Excel skills; experience with SQL, Python, VBA, or risk/reporting tools is a plus.
- Strong attention to detail and ability to manage recurring processes with a high degree of accuracy.
- Effective communication skills and comfort working cross-functionally in a fast-paced environment.
- Strong organizational skills and ability to prioritize multiple deadlines.
Nice to have:
- Exposure to agency/non-agency mortgages, mortgage servicing rights, pipeline hedging, or mortgage-backed securities.
- Experience supporting hedging activity with swaps, Treasury futures, TBA securities, options, or other interest rate hedging instruments.
- Familiarity with asset-liability management, funds transfer pricing, or Treasury risk governance.
- Understanding of hedge accounting and valuation concepts is a plus.
Top Skills
SoFi New York, New York, USA Office
Our New York office, located in the meat-packing district, provides an open work environment and is a hub for our finance teams. Our large conference, flexible work spaces, huddle rooms, and shared community areas allows our teams to openly collaborate while looking at some spectacular views.
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