1. Keith Blackwell
103 Havemeyer St. Apt 5f • Brooklyn, NY 11211 • (646) 342 2322 • keith.blackwell@gmail.com
WORK EXPERIENCE
Vice President, UST RV Trader, RBC Capital Markets, GAT May 2011 to December 2013
• Managed $1-2bn in personal balance sheet, primarily focused on UST off-the-run trading.
• Managed WI rolls as well as off-the-run and Futures RV trading for the group’s overall book.
• Products traded included: US Treasuries, UST Futures, Invoice Spreads, Eurodollars, Libor Swap Spreads, OIS Swaps.
• Risk divided roughly as 60% off-the-runs and Futures, 30% PCA/Regression, 10% Invoice/Swap/OIS Spreads.
• Developed, back-tested, and implemented a daily Off-the-Run VAR methodology that involved creating a daily mapping of the US Treasury
Bond Universe into tenor and age (i.e. old 5s, 12x old 5s, etc) since 2009 and then solving for the historical daily returns of aggregate position
mapped into that space. This methodology allowed for stress testing of positions through various risk events such as the European Financial
Crisis in addition to showing visual histories of returns and finding the worst/second worst days of the positions over the time frame.
• Created risk management and hedging framework for aggregating risk into tenor risk buckets based on both partial duration and regression
methodologies, then used change-based PCA analysis over the entire curve to immunize bucket risk with Swaps, UST Futures, Eurodollars, and
Benchmarks
• Designed, built, and backfilled UST Z-Spreads and Invoice Spreads across the curve back to 2009
• Built a Spline-based bond toolbox programmed in Mathematica using b-spline estimation of discount functions and forward curves over
historical and real time data sets. It allows the user to easily switch between multiple model specifications in real time and includes several
hundred auxiliary functions designed to visualize and analyze inter-issue and inter-sector relative value
• Built a Mathematica toolbox for Regression, Time Series, and PCA based RV analysis. Runs 100,000+ regressions on curves and butterflies
over different time frames and provides an interactive environment to quickly sort results in order to identify RV dislocations and allows for “on
the fly” Regression and PCA of any series of data including off the runs, swaps, futures, etc.
• Built Excel Interfaces for all trading tools.
Associate Rates Strategist, RBC Capital Markets, US Rates Strategy February 2009 to May 2011
• Published relative value and macro trade ideas in US Treasury, Swaps, TIPS spaces
• Created the RBC UST Roll Down, Carry, & Asset Swap Report – QE2 Edition, allowing RBC’s global rates platform significant penetration
with many previously unavailable accounts including several larger central banks and UST funds.
• Informed sales and trading which bonds should be sold to the Fed at each purchase and wrote daily “buyback” commentary
• Regularly spoke with clients and press about rates markets
• Designed and built all of RBC’s UST and TIPS analytics (at the time), including Real rate and inflation forward curve estimation; carry and roll
down for real yields and inflation breakevens, NSA CPI forecasting, UST Future’s Basis model
• From April to July 2010, was the single member of the Rates Strategy Team, solely responsible for RBC’s published market views and trade
ideas, as well as informing sales and trading of daily and overnight events occurring in Europe
Adjunct Lecturer, Zicklin School of Business, Economics Department, Baruch College, New York, NY June 2008 to May 2009
Kaplan Test Preparation Instructor, GMAT & GRE, Kaplan Inc., New York, NY August 2002 to June 2004
Silent Partner, ZRS Wines, Distributor of Handmade Wines, New York, NY June 2008 to Present
EDUCATION
Ph.D. Student, Economics (unfinished), New School for Social Research Sept 2004 to May 2009
• Did Ph.D. Coursework with concentration in Econometrics and Financial Economics
• Teaching Assistant for Econometrics, Financial Economics, Macroeconomics Trading Strategies
• Left due to taking position at RBC in 2009
• Recently began dissertation work on applications of Machine Learning in Financial Econometrics
M.S. Global Finance, New School for Social Research Sept 2007 to June 2008
B.A. Sociology Honors Program w/ Minor in Politics, New York University January 2001 to May 2002
North Carolina State University, Scholars Program with Math Concentration September 1997 to December 2000
TECHNICAL SKILLS
• Python, Mathematica, Matlab, Javascript, R, PostgreSQL, MongoDB, Haver, Bloomberg, VBA, Eviews, Stata, RiskVal, Econometrics,
Macroeconomics, Financial Modeling, Django, Machine Learning, Apache Spark
REFERENCES
• Ira Jersey, Director, Interest Rate Strategy, Credit Suisse, New York, ijersey@comcast.net
• Alla Liberman, Portfolio Manager, Brevan Howard, New York, aliberman98@gmail.com
• Ryan Fennelly, US Treasury Trader, TD Bank Group, New York, rfennelly@optonline.net