at Millennium
Hedge FundsPosted 8 days ago
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**Mortgage Pricing & Valuations Professional** Drive daily pricing and fair value for mortgage and structured credit bonds/loans, ensuring accurate marks and P&L. Cover Agency and Non-Agency/Private-Label securitized products. Key responsibilities: Maintain end-of-day prices, use sources to determine fair value, analyze data using Yield Book and Intex, support P&L explanations, collaborate with cross-functional teams. Ideal candidate: 3-7 years in quantitative or structuring roles within mortgages/structured credit, expertise in RMBS/CMBS, TBA, ARM, CMO, ABS, strong Excel, Python skills, excellent communication skills.
- Compensation
- $160,000 – $250,000 USD
- City
- New York City
- Country
- United States
Currency: $ (USD)
Full Job Description
Role Summary
Own daytoday pricing and fair value for the firms mortgage and structured credit bond and loan portfolios, ensuring clean, explainable marks and P&L. Coverage spans Agency and NonAgency/PrivateLabel securitized products (e.g. TBAs, ARMs, CMOs, CMBS, MBS, ABS) and secondary market loans.
Key Responsibilities
- Maintain accurate endofday and intraday prices and valuations for covered mortgage and structured credit products.
- Use trade levels, benchmark spreads, broker quotes, vendor prices, and models to determine fair value and resolve price breaks.
- Run and interpret analytics in Yield Book and Intex (OAS, risk, scenarios) to support pricing and P&L explanations.
- Support intraday and endofday P&L for mortgages, including financing costs and basis moves in derivatives.
- Partner with Front Office, Risk, Finance, and Technology to improve data, pricing feeds, and P&L processes.
Skills & Experience
- 37+ years in mortgages / structured credit in a quantitative or strat role (e.g. desk quant/strat, risk/analytics, or modeldriven valuations)
- Education: Bachelors degree in Finance, Mathematics, Engineering, Economics, or related field; advanced degree a plus.
- Strong knowledge of RMBS/CMBS, TBAs, CMOs, ABS/CLOs, and secondary market loans.
- Handson experience with Yield Book and Intex for pricing, risk, and scenario analysis.
- Solid Excel and python skills; comfort working with position, trade, and curve data.
- Clear, concise communicator able to explain price moves and P&L drivers to trading and senior stakeholders.
The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individuals experience level and the qualifications they bring to the role to formulate a competitive total compensation package.
