Yield Book Summit on fixed income analytics

Speakers

Anastasia Andrianova-Ushakova
Senior Manager, Analytics Product Lead
London Stock Exchange Group

Rebecca Burkey
Head of Product Analytics Technology
London Stock Exchange Group

Derek Chen
Senior Portfolio Manager
Voya Investment Management

Biography

Having joined Yield Book in 2018, Anastasia leads a number of product initiatives in Securitized Analytics space. Anastasia is currently working on extending Yield Book platform’s cabalities to include CLO cash flows, analytics and an in-house credit model.

Prior to joining Yield Book, Anastasia spent 3 years at HSBC Asset Management in Portfolio Analytics & Design team working with an in-house fixed income analytics system and providing key analytics tools and solutions to fixed income portfolio managers across the globe. Previously to this, Anastasia spent over four years working as a Portfolio Construction & Risk specialist on a fund of funds side.

Anastasia has a Masters in Finance and Investment from Durham University.

Biography

Rebecca is Head of Analytics Products Technology at London Stock Exchange Group (LSEG). Rebecca was a founding member of The Yield Book in 1989, joining Salomon Brothers as a developer responsible for developing core components of the distributed computing architecture as well as the “Book” pages navigation.

Rebecca left Yield Book in 1994 for Greenwich Capital Markets, developing an analytics framework for their Sales and Trading platform. From 1998 to 2002, Rebecca held various senior roles at software start-ups including Blue Lobster Software, headquartered in Silicon Valley, which specialized in web-enabling mainframe applications, and, Xelus, Inc., a Logistics and Supply Chain software company, where she led a product re-engineering effort.

Rebecca rejoined Citi Yield Book as Director in 2002, leading software infrastructure development in addition to the Engineering team. She was promoted to Managing Director in 2010 and became Global Development Co-Head for Analytics and Fixed Income Indices in 2012. Rebecca spent a total of 20 years with Citi before the acquisition by LSEG.

Rebecca has a BS degree in Mathematics from St. John Fisher College, and completed her Master’s studies in Computer Science at Rochester Institute of Technology.

Biography

Derek is a Senior Portfolio Manager at Voya Investment Management, specializing in Mortgage Backed Securities. Before joining Voya in 2012, he was a Director in Securitized Products Research at Barclays Capital and was named to the All-America Fixed Income Research Team for three years in a row by the Institutional Investor magazine.

He started his career in 2003 as an analyst at Bank of America after receiving undergraduate degrees from China’s Xi’an Jiaotong University and a Ph.D. from the University of Florida.

Hui Ding
Head of Agency RMBS Research
London Stock Exchange Group

Paul Edelen
RMBS Product Manager
London Stock Exchange Group

Aysegul Erdem
Head of Analytics Product Management
London Stock Exchange Group

Biography

Hui joined London Stock Exchange Group in September 2018, as the Senior Agency RMBS Prepayment Modeler in Yield Book Mortgage Research. Prior to joining LSEG, Hui spent 12 years in the securitized products industry, holding research and modeling positions at Barclays Capital, Radian Group, and UBS Investment Bank.

Hui received his undergraduate dual degree in Civil Engineering and Computer Science from Tsinghua University in China, and his Ph.D. degree in Computer Science from University of Illinois at Urbana-Champaign.

Biography

Paul is the RMBS Product Manager on the Analytics Product Team at LSEG. He is responsible for leading various strategic initiatives and end-to-end development for non-agency and agency RMBS products. Paul is also responsible for Mortgage Servicing Rights and Whole Loans software enhancements.

Paul has over a decade of experience in financial services with the majority of his time spent in Securitized Products. Prior to joining LSEG, Paul spent three years as a Product Manager at Guggenheim Investments across multiple Fixed Income investment strategies. Prior to this, Paul worked in Securitized Product Sales at Guggenheim Securities and StormHarbour Securities.

Paul holds a Master of Business Administration from Columbia Business School and Bachelor of Science in Business Administration with dual concentrations in Finance and Marketing from the University of Vermont.

Biography

Aysegul is globally responsible for Analytics Product Management for Fixed Income Analytics. Aysegul has over 17 years of experience in Fixed Income, with a deep specialism in Securitized Products. During her tenure she focused on building cash flow modelling and data teams and has since engaged in various collaborations with the Mortgage Analytics and Research Teams to broaden and deepen Yield Book’s capabilities in the RMBS and ABS space.

Driven by client needs and constantly changing market conditions, Aysegul and her team focus on product strategy and roadmap within Analytics. The team works closely with Technology, Research and Data teams on development and execution, and with Client Facing and Marketing teams on client engagement, commercial policy and go to market strategy.

Shujaat Islam
Senior Portfolio Manager
Citadel

Jake Katz
Director, Head of Non-Agency RMBS Research and Data Science
London Stock Exchange Group

Yair Lenga
Director, Quantitative Analyst
London Stock Exchange Group

Biography

Shujaat Islam is Senior Portfolio Manager at Citadel, leading a team investing across mortgage and securitized products, including Agency/Non-Agency CMBS, Agency Passthroughs, Derivs, Non-Agency RMBS, and ABS. 

Before joining Citadel he was in similar roles as head of mortgage investments for the hedge fund manager FieldStreet, as a partner at C12 (spin-off from Barclays Prop) and as a Managing Director at Citi’s alternative investments arm (now Napier Park). Shujaat began his career trading various non-agency and agency mortgage products at Morgan Stanley.

Biography

Jake is a residential mortgage performance modeling expert with 15 years of experience. He leads the Non-Agency RMBS research and modeling effort for Yield Book. Jake’s responsibilities include collateral performance models covering Subprime, Alt-A, Legacy Jumbo, Re-performing, CRT, MI-CRT, Jumbo near Prime, and Non-QM sectors. In addition, Jake leads data science research for securitized products.

Prior to joining Yield Book, he was the Head of Analytics at Laurel Road where he directed collateral performance modeling for ABS loans and quantitative investment strategy for the firm. Jake has worked modeling and trading roles in Non-Agency RMBS and other fixed income products at AIG, Brevan Howard US Asset Management, and Lehman Brothers.

Jake holds a Master’s degree in Statistics from Yale University and a BS (Hons) in Statistics from the University of Chicago.

Biography

Biography coming soon.

Luke An Lu
Head of CMBS/CLO Research and Quantitative Modeling
London Stock Exchange Group

Hiten Motipara
Director, Agency Mortgage-Backed Securities
Citigroup

Tadvana Narayanan
Senior Product Manager, CMBS and ABS
London Stock Exchange Group

Biography

Luke joined the Yield Book Analytics Research team at the London Stock Exchange Group (LSEG) in 2019. Luke and his team support Yield Book products with a focus on Yield Book research and modeling effort in CMBS (both agency CMBS and private label CMBS) and CLO.

Prior to joining Yield Book, Luke spent over 20 years in mortgage and securitized products research/strategy, analytics, modeling, and portfolio management with various firms including Barclays, Deutsche Bank, JPMorgan, Credit Suisse, and Countrywide.

Luke has a Master of Science in Nuclear Engineering from the Massachusetts Institute of Technology (MIT) in 1996, and a Bachelor of Engineering degree from Zhejiang University (China) in 1994.

Biography

Hiten is a director on the Agency Mortgage-Backed Securities (MBS) desk who has served as a structurer and senior trader of MBS, both residential and commercial.

Hiten started at Citi in 2014 after four years in securitization at Deloitte and five years on the CMO desk at Jefferies. In his tenure at CITI, he’s broadened his scope across asset classes as he has played an integral role in the success of the CMO desk, built the Ginnie Mae Reverse (HECM) business, and in his latest venture, applied his structuring and collateral expertise to the Ginnie Project Loan (GNPL) desk which he has built it into a market leading franchise. 

Biography

Tadvana is a senior CMBS and ABS product manager at Yield Book. She joined LSEG in January, 2021 and has been involved in many initiatives including the addition of Freddie K cash flow and prepayment/default models into the analytics platform. She has worked closely with the Research team for the delivery and adoption of the Non-Agency CMBS model. She has been instrumental in the enhancement of existing deal coverage for ABS deals as well as the integration of REPs pricing and Yield Book’s cashflow engine as part of establishing LSEG as the ‘Golden Source’ for Securitized Valuation.

Tadvana has over 15 years of experience in capital markets, fixed income and structured products with a deep knowledge of commercial real estate and CMBS. Prior to joining LSEG, she worked at Wells Fargo in the Commercial Mortgage Loan and Securities Finance division, where she was responsible for underwriting, pricing and hedging of the CMBS loan portfolio to support their conduit and SASB origination and securitization. At Bloomberg, she designed and was critical in the implementation of a structuring tool (CMBS STRU) for agency and non-agency CMBS in addition to her responsibilities on new issue US/CAD and Euro CMBS. Prior to Bloomberg, she worked at Merrill Lynch CMBS Origination desk where she structured and priced fixed and floating CMBS non-agency securitizations in the US and Canadian markets.

Tadvana received her Bachelor of Science in Industrial Engineering from Columbia University and a Bachelor of Arts in Physics from Illinois Wesleyan University. Additionally, she also has a Master of Science in Financial Engineering from Columbia University.

Barry Pavel
Head of North America Client Relationships for Analytics and Index
London Stock Exchange Group

Hugo Pereira
Director of Market Analysis
London Stock Exchange Group

Katie Prideaux
Fixed Income Analytics Specialist, Sustainable Investment Lead
London Stock Exchange Group

Biography

Barry oversees the North American team that manages Buy Side and Sell Side account relationships for Yield Book’s fixed income analytics platform as well as FTSE Russell’s equity and fixed income indexes. Barry’s expertise includes portfolio management techniques with a sub-focus on residential mortgage products including agency, non-agency and CRT. He also oversees product management of the Yield Book Add-In and the Structuring Tool.

Prior to LSEG, Barry spent 18 years as director of relationship management for analytics and indexes with Citi.

Barry received his degree in Mathematics from The City University of New York.

Biography

Hugo Pereira is a Director of Analysis at Refinitiv, with a focus on the leveraged loan and CLO markets. He is a frequent contributor to Refinitiv LPC publications. Over his 16 year tenure, Hugo has covered the syndicated loan market the broader credit markets. He manages and drives analysis and strategy for LPC Collateral, Refinitiv’s CLO analytic product.

Biography

Katie leads the Sustainable Investment initiatives in the Fixed Income Analytics space, having joined Yield Book in 2019. She has launched various collaborations between Yield Book to integrate best-in-asset-class ESG data within the analytics platform, including Beyond Ratings and Refinitiv, and in 2020 won the Savvy Investor Fixed Income Paper of the Year award for the development of an ESG framework for the securitized space, utilizing the latest techniques in data science.

Prior to joining Yield Book, Katie spent 6 years at LSEG, most recently in M&A & Strategy where she led various acquisitions and strategic initiatives. Previously to this she was a Risk Analyst at LCH, overseeing default and liquidity margin management for over 100 clients in the interest rate swap clearing service.

Katie has a Masters in Mathematics from Warwick University and is currently studying for a second Masters in Data Science at Imperial College Business School in London.

Emily Prince
CEO of Yield Book
London Stock Exchange Group

Adam Rilander
Galton Managing Partner, CIO, PM, & Head of Agency MBS Strategies
Mariner Investment Group

Shekhar Shah
Head of the Residential Securitization & Advisory
Citigroup

Biography

Emily is the CEO of Yield Book, and is Group Director of Fixed Income Analytics. In these roles Emily is responsible for driving the strategic direction, delivery and maintenance of all analytics solutions.

Emily joined LSEG in 2016 from BlackRock’s Financial Markets Advisory business. Prior to this, Emily spent a number of years at Barclays Capital within the Barclays Risk Analytics and Index Solutions (BRAIS) business, as UK head of POINT. In this position, Emily oversaw a rapid expansion of the adoption of Barclays’ fixed income index and analytics solutions. Prior to Barclays, Emily held a number of roles at Lehman Brothers, RBS and UniCredit.

Biography

Mr. Rilander joined Mariner Investment Group in 2016, and is the Managing Partner and Chief Investment Officer for Galton Team. In his capacity as CIO, Mr. Rilander governs the overall strategic direction of the team and its related vehicles and chairs the Galton Team Investment Committee. Additionally, Mr. Rilander is the Head of Agency MBS Strategies and serves as a Portfolio Manager for the team’s commingled vehicles and managed accounts. Mr. Rilander has dedicated the entirety of his career to investing, trading and researching Agency Mortgage Backed Securities.

Prior to joining the Galton Team at Mariner, Mr. Rilander spent eight months at Premium Point overseeing Agency derivative and mortgage option trading. Before that, Mr. Rilander spent nearly 10 years at JPMorgan, trading Agency MBS and ultimately becoming a Managing Director and the senior secondary trader on the Agency MBS desk from 2006 to 2015. Prior to joining JPMorgan, Mr. Rilander began his career in 2003 at Bear Stearns as a research analyst focused on Agency MBS.

Mr. Rilander co-authored a chapter in Fabozzi’s “The Handbook of Mortgage Backed Securities, Sixth Edition” titled “Uncovering the Risk-Adjusted Carry in MBS.” Mr. Rilander graduated with an A.B. in Economics from Princeton University in 2003.

Biography

Shekhar Shah is a Head of the Residential Securitization & Advisory team and has worked within the securitization industry for over 20 years. In his current capacity, he oversees banking, structuring and syndicate for all RMBS securitizations at Citigroup.

In his time at Citigroup, he has helped issuers with their capital markets execution in multiple non-agency products: subprime, jumbo, non-performing, small-balance commercial, Re-REMICs, SFRs, RPLs, Non-QM, Fix and Flip and GSE CRTs.

He graduated with a BA in Economics from Grinnell College in Grinnell, Iowa.

Mikhail Shefter
Head of Fixed Income Analytics Research
London Stock Exchange Group

Roman Shimonov
Managing Director
Annaly Capital Management, Inc.

Paul Sinkevics
Managing Director
Citigroup

Biography

Mikhail (Misha) Shefter is responsible for Analytics Research within the Data and Analytics Division. He joined the London Stock Exchange Group (LSEG) in 2018 from MSCI, where he served as Head of Portfolio Analytics. Mikhail and his team maintain and develop quantitative and data-driven models, predominantly in the space of Securitized Products that support the flagship Yield Book product line. In addition, they are engaged in active research program that includes client outreach and extensive publication schedule.

Over the last 20 years Mikhail has worked in several sell- and buy-side firms, most notably Lehman Brothers Inc., Citadel Investment Group, and GETCO/KCG in various quantitative development, modeling, research, and management capacities, with the emphasis on Fixed Income.

Mikhail holds a Ph.D. in Applied Mathematics from the Massachusetts Institute of Technology (MIT) and an MS in Applied Mathematics and Mechanics from Moscow State University, Russia.

Biography

Roman Shimonov is a Managing Director at Annaly Capital Management and is responsible for managing Annaly’s CRT portfolio.

Roman joined Annaly in 2014 from the Federal Reserve Bank of New York where he was involved in managing some of the Fed’s Financial Crisis emergency lending facilities and subsequently managed a team responsible for the analysis of mortgage markets and execution of large-scale asset purchases in Agency MBS.

Prior to joining the NY Fed, Roman was a Vice President in Goldman Sachs’ Structured Products Trading team.

Roman holds a Bachelor’s degree in Finance and Accounting from NYU’s Stern School of Business and is a CFA Charterholder.

Biography

Paul has spent 10+ years on the agency MBS trading desk at Citigroup where he currently heads the agency derivatives book.

Prior to that, he graduated with a BBA from the University of Michigan.

Christian Valencia
Vice President of Credit Risk Transfer Capital Markets
Freddie Mac

Biography

Christian Valencia is the Vice President of Credit Risk Transfer Capital Markets in Freddie Mac’s Single-Family division. He manages the core transaction team that issues the Structured Agency Credit Risk debt notes (STACR), Freddie Mac’s flagship CRT program. This includes managing the day to day aspects of the program as well as relationships with different dealers that underwrite the STACR transactions. In addition, he helps to further enhance the programs and/or structures that transfer single family credit risk to private investors. During his tenure with Freddie Mac he has led some of the enhancements in STACR program including moving the program to actual losses, issuance STACR under Trust Structure and taking the STACR program to REMIC. He reports to the head of SF Credit Risk Transfer.

An industry veteran with over 20 years of experience in capital markets, Mr. Valencia has worked in structured finance in both the U.S. and abroad, most recently as CFO leading the treasury and structuring departments of a securitization company in Ecuador.

He holds an MBA in finance from the University of Maryland and a B.S. in business and finance from the University of West Florida. He is part of the leadership team of the Hispanic Organization for Leadership and Advancement (HOLA) at Freddie Mac, most recently as the Chair.