Eric Smallwood, CFA

Experience

• 

  Fannie Mae

  Nov 2004 - now

  • Directing the redesign of the Derivatives Rebalancing Fair Value Gain/Loss forecast to simplify the process and address risk issues.• Lead modeler for the Capital Markets net interest income forecasting model during a challenging and dynamic period for the company’s Asset-Liability Management group as it navigated regulatory portfolio reduction mandates to downsize the retained mortgage portfolio from over $700 billion to under $150 billion.• Aligned the efforts of subject matter experts across the economic research and enterprise modeling departments by specifying Fannie Mae’s stress testing scenario rates production process. This framework is being used as a platform to guide operational timelines and identify enhancement opportunities.• Provided leadership and guidance in the rebuilding of the Capital Markets forecasting platform and established validation prototypes for new modeling capabilities.• Managed all aspects of SOFR adoption to transition the Capital Markets income/liquidity/balance forecasting platforms from LIBOR to SOFR.• Led initiatives to establish an alternative debt and derivatives valuation engine and a key rate duration calculation and reporting framework.• Streamlined the application of the Regime-Shift Term Structure Model used in the income\liquidity forecasting engine to simplify model maintenance and allow the model implementation to dynamically adjust to be more reflective of current market conditions.• Primary resource responding to model risk oversight and audit inquiries. Show less • Improved quality of income and balance sheet forecast by incorporating a more robust approach to modeling prepayments for Agency SF Securities, both single-family and multi-family Private Label Securities as well as reverse mortgage products.• Led Capital Markets net interest income forecast process automations that not only reduced forecast prep time by over 80% (50+ min to less than 10 mins) but also significantly improved the governance and process control structure.• Transformed the FHFA mandated Enterprise Portfolio Snapshot data gathering exercise from a manually intensive process requiring three highly specialized resources to a streamlined workflow that could be managed by a single rotational resource. Show less • Created an excel tool to identify loans for potential sales transactions. The tool provided greater insight into the Distressed Loan portfolio, allowing portfolio management to dissect the data in many ways based on the available attributes and focus on populations with perceived pricing anomalies. The utility was used extensively to assist Fannie Mae’s ability to meet FHFA’s mandated portfolio reduction targets.• Implemented an Excel-based model that replicated the Historical VaR methodology used by the CME Group derivatives clearinghouse to calculate the initial margin required for new transactions.• Summarized differences between the CME Group and LCH Group initial margin models providing Fannie Mae’s Treasury desk better insight into the margin requirements for Fannie Mae’s clearinghouse options. • Leveraging my CME initial margin prototype and an LCH prototype, the Fannie Mae Treasury Desk was able to assess the behavior of margin requirements over various scenarios, allowing them to draw general conclusions about the impact of incremental trades on margin requirements and determine the most capital-efficient clearinghouse. Show less • Part of team driving innovation with Fannie Mae’s short- and long-term debt auction and transaction analysis platforms.• Restructured derivatives month-end valuation workflow by incorporating value-enhancing steps earlier and throughout the process, eliminating delays caused by waiting for irrelevant inputs. The refined process enabled immediate decision making upon the arrival of relevant data, departing from the conventional end-of-process big-bang approach.• Dramatically improved performances of Derivatives daily mark-to-market reporting process by introducing office automation routines reducing processing time from 1+ hours to < 1 minute. Show less

  • Advisor - Financial Engineering- Capital Markets Treasury

    Jan 2019 - now

  • Financial Modeler III - Capital Markets Financial Planning & Analysis

    Jan 2016 - Jan 2019

  • Financial Modeler II - Capital Markets Financial Planning & Analysis

    Jan 2011 - Jan 2016

  • Various

    Nov 2004 - Jan 2011