Rates Strategy Research Analyst Interview Help

Hi,

I have an interview tomorrow in a Rates Strategy desk. I have a few years experience in FP&A at a Fortune 500 company, but not directly in fixed income, although I do have a BSc in Financial Economics and an MSc in Corporate Finance (quite aware that this is not enough).

I've seen on the job description posted below that they're looking for someone who can write macros in VBA, SQL queries and Access. While I consider myself to have 'very good' Excel knowledge (enjoy having print-outs of shortcuts around my desk), I cannot write macros or SQL queries and in case that's all this bank is looking for (an automation/data analyst with market knowledge). I may be a good bet if they are willing to wait while I pick up on this on the go. I am rather interested in the fundamental analysis learning experience that this position may offer and would certainly like to learn how to write macros.

I've been reading about:

• Types of bonds, duration, yield change effect on prices, risk, credit analysis,
• 'Understanding the Yield Curve' by Salomon Brothers / Antti IImanen (but only the first part about Forward Rate Analysis),
• CFA L1 section on fixed income (which is pretty general), and now CFA L2 on fixed income but only the first two chapters (sports, forwards, pricing, yield curve theory, Z-spread, Ted spread, etc) as I don't have enough time by tomorrow.

The thing is I work tomorrow and I don't have enough time to continue through before the interview. I was hoping anyone out there could give me some pointers on what to focus on. I plan on refreshing a little bit on the learning I had done before about VBA and SQL (back when I attempted at writing a macro, instead of asking our IT analyst).

I emailed the firm and asked questions about what kind of duties this position has, but I have the impression that the responses were rather vague, and of course, my lack of industry experience does not help much.

HR QUESTIONS

• Is this a portfolio credit analysis role in traditional fixed income with duties like analysis, modeling, managing portfolio strategies, metrics and risk; and producing investment reports based on company valuations and credit analysis? **HR Answer: It is a fixed income role with focus on rates strategy. The market coverage is based on European government bonds. **

• Or is the role more macro-based and includes developing and maintaining econometrics models for macroeconomic factors forecasting, and conducting statistical analysis and time series analysis? **HR Answer: As it is not a macro-role, the forecasting of macroeconomic variables is not in place. However, statistical and time-series analysis will be applied here.
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• Is the fund's strategy Investment Grade (government bonds, treasuries, IG corporates, or municipals) or High Yield? **HR Answer: It is sell-side role with focus on European government bonds **

• Or are the products more like interest rate derivatives? is it vanilla (swaps, options, futures, swaptions, etc), quasi-vanilla (CTS, CMS, IRS, arrears swap, etc) or exotic interest rate derivates (CMO strips, cross-currency swaptions, etc)? And about finding mispricings through analytics of macro factors and rates forecasting? What would be some examples of data mining for these products (characteristics)? **HR Answer: Government bonds are mostly analyzed to come up with strategic insights or trade ideas. **

JOB DESCRIPTION

Updating periodic team reports (preparing associated charts and tables, sections of reports) Data mining using Bloomberg Maintenance and regular update of client's databases Analysing large bond datasets to identify patterns and trends and arrive at meaningful conclusions that can be used to generate trading ideas Files automation using VBA and MS Access Responding to various types of client queries

Requirements Fluent English Excellent analytical and quanttative skills Ability to draft research reports Solid understanding of bond market Good grasp of: capital markets macroeconomic concepts currency markets commodity markets Strong Excel, VBA and SQL skills Proficiency in Thomson Reuters Datastream, FactSet or EPFR

My concerns are that I am not too sure about Euro bond data mining examples, and cannot write VBA and SQL.

I would be grateful if anyone could tell me more concrete examples of the job duties for this position? For example, could it be something like explaining why some countries with worse credit ratings have different yields and what type of analytics could be used to find trading ideas?

or does it look like more of a reporting, raw-data preparing role in which they'll basically interview me about my coding skills and try to see if they would like working with me?

Thanks