Tell me everything about Central Funding Desk - should I take this opportunity or not?

ZFL

Active Member
Hello fellow quants

There is an opportunity for me to join a big bank as an "Associate, Quantitative Analyst" in their Central Funding Desk. During the interviews, I have come to know that the Central Funding Group is heavy on trading repos, securitized products and various fixed income products. The Quantitative Analytics Team is charged with fixed income models for pricing and risk management. The required technologies include Python, C++ and VBA. The bigger picture here is retooling models against the backdrop of SOFR transition.

A bit about myself. Two and a half years of combined work experience in model validation (mkt risk and derivative pricing at a bank) and portfolio risk analytics (at an investment firm, current job). Compensation is not much higher (i.e. slightly higher bonus because this is trading floor) but benefits are worse.

I don't know Central Funding business at all. Can you educate me? What I can do five years out? I make VP in 2 - 3 years, then what? Can I take my skills to other areas?

Thanks
 
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throll

Active Member
CFD Desk may vary between banks but mostly they issue structured notes to clients who are confortable with the bank's credit. The notes will have derivatives embedded to them to make the return attractive to clients, and they could be on different asset classes like equity, commodity, fx etc. This could be interesting to you if you are keen to learn about notes business. The desk also runs large multi dimensional risk that involves xgamma risk and could be interesting if the quants get involved.
CFD desk within treasury could be way different and more basic so make sure to know which one you are joining.
 

KillingField

Active Member
I don't think this sounds like a desk handling structured note issuance (as suggested by throll), but rather I think the role is more about "financing" (as it's often called) given the description is about repos and bonds. Now I don't know who is right here (throll, or myself), but the roles we're talking about are almost at the opposite ends of the spectrum of sell side quant work (when it comes to the fixed income part of it, at any rate).

Assuming this is more "financing", then, as throll summarized the "funding" well already, in the role I would expect you to become familiar with curve builds, bond conventions, and bank specific infrastructure, but I doubt there'll be much math involved. For the listed languages: VBA of course implies you'd be working on traders' spreadsheets, and is often more akin to dev than quant work. Python could be almost anything, and depends on the bank really, and of the three languages, C++ I'd expect you to touch the least (SOFR transition would likely demand small changes here, too, though I'd argue it's largely more of an operational thing than it is a modeling issue).
 

ZFL

Active Member
Thanks @throll and @KillingField for your responses. I don't think this CFD is within Treasury department as the JD indicates Treasury is one of many external partners. It is "financing" rather than "issuance" as far as I can see from the JD. The Director/MD interviewing me specifically said they are very heavy on repos and span on questions of curve builds. I appreciate the insights on listed languages too :)

Hope you all are enjoying the weekend. I appreciate any of your thoughts.
 
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