Nathan Lee

Chief Strategy Officer (CSO)

2023

Senior Portfolio Manager

2021 - 2023

Vice President (Trader, Fixed Income ETF & Multi-Asset Portfolio)

2017 - 2021

- Participated in a business initiation of a special unit team that is designed to tactically develop & deploy next-generation trading enviornment for global clients as a starting member - Accelerated target goal deliveries at least 2 years by directly participating in prototype coding & UI designing, structuring micro execution strategies, striking deals with platinum clients (iShares, SSGA, Vanguard, Janus Handerson, BNY, etc) - Managed North America FI ETF book as a primary liquidity provider and covered broader FI Beta mandates, including client facing execution, marketing, creation and redemption of shares - Priced and traded FI portfolio by assessing and quantifying metrics including risk reducer, portfolio exhaust & shortfall, liquidity, mark variance, forward financing, and ETF eligibility - Established protocols to in-kind create MBS ETFs, and designed optimization logics to facilitate arbitrage and transition-oriented client flows, delivered $50BN+ MV worth of MBS to major funds – recognized as a top AP of the sector by various fund sponsors, driving client referrals - Collaborated with quant analysts to design FI ETF fair value model in several metrics, including observable 3rd party NAV, interpolated 3rd party NAV, and executable dealer mark NAV - Facilitated creation and redemption trades for all FI spread products for arbitrage monetization - Developed fully visualized cross-asset portfolio pricer to generate aggregate/decomposed risk summary report using python and Qlikview, enhanced and expedited portfolio pricing - Scripted fully functioning visualized prototypes including but not limited to, delta-based ETF NAV predictor, decomposed ETF risk management system, correlation-based market risk viewer, ETF technical analysis & cross-asset relative value dashboard, and Creation and Redemption execution platform

Trader (Associate, Agency CMBS Trading)

2016 - 2017

- Traded ACMBS products including DUS fixed rate/SARM TBA, Pools, Freddie K’s and Fannie GeMS/Aces both in the origination and secondary market to provide liquidity to institutional clients - Conducted price-talk on BWIC lists and pipeline supply to assess appropriate spread over benchmark curves to be printed and decided bidding level based on inventory, clients demand, and market view - Created real-time risk blotter, which can reflect the inventory, detailed risk breakdown per product type and curve tenor, intraday PnL attribution and position performance using VBA/BBG/Yieldbook - Constructed daily chart pack to track relative value performances of various product types to optimize inventory holdings, and generate trade idea using linear regression and spread ratio analysis - Drafted EOD commentary to share daily recap and market color to salespeople

Sales & Trading Analyst (Credit Correlation Trading)

2015 - 2016

- Calibrated base-correlation skews of several on/off-the run credit indices to compute risk based correlation P&L and overnight risk - Assessed the DWAS change of bespoke portfolio based on its single name constituents move in the market to help live bespoke tranche trades pricing - Followed changes in corporate credit valuation and respective market reaction reflecting macro catalysts, earning releases, and credit events of the most distressed and topical names - Predicted FX/IR and credit P&L based on basis level and decomposed risk exposures, providing detailed recap of trading activities and commentary about the daily market move

Sales & Trading Summer Analyst

2014 - 2014

- Actively shadowed salespeople to learn about deals and execution process with institutional clients, developing understandings about the firm’s market business - Followed the financial market and its broad-spectrum sub-segments, including the Mortgage, Rates, FX, Credit, and Equity markets in both of Emerging Markets and Developed Markets - Structured a portfolio that maximizes risk-adjusted return to pitch for the final project - Conducted several correlation researches to examine the U.S. labor market and an inflation outlook, estimating a likely timing of the first rate hike by FOMC - Acquired technical skill sets to conduct analysis on Bloomberg, Yield book, and Citivelocity