Agency MBS Desk Strategist

Citi • New York, NY

3d • $200,000 - $300,000 • Onsite

About The Position

Lead prepayment analytics and strategy for the Agency MBS desk, influencing positioning, risk-taking, and revenue generation. Work closely with MQA (Market Quantitative Analysis) to identify limitations in existing prepayment models, enhance and recalibrate current frameworks, and drive the development of next-generation models to improve forecasting accuracy and trading outcomes. Partner closely with traders to drive relative value views, trade ideas, and portfolio construction decisions based on borrower behavior, collateral dynamics, and market dislocations. Coordinate with Sales, Research, Capital Markets and other organizations across the firm to support client engagement and franchise growth. Support the desk on broader quantitative initiatives, including development of analytics, tooling, and models to enhance decision-making, and optimize hedging strategies across Agency MBS, with a focus on mortgage derivatives.

Requirements

• 5+ years of experience in Agency MBS strategy, modeling, trading, or portfolio management
• Deep expertise in mortgage prepayment and prepayment modeling
• Strong knowledge of Agency MBS products (TBA, specified pools, CMOs) and relative value frameworks
• Demonstrated ability to translate analytics into actionable trade ideas and portfolio positioning
• Solid understanding of interest rate markets, OAS, convexity, option theory and mortgage risk in a trading or portfolio context
• Understanding of volatility models and the rates volatility market is a strong plus, particularly for MOATs and hedging.
• Advanced analytical and numerical competency; experience working with large datasets and AI/ML-driven analytics frameworks.
• Consistently demonstrates clear and concise written and verbal communication
• Strong interpersonal skills with the ability to collaborate across trading, sales, and risk
• Ability to assess market conditions, identify opportunities, and frame trades effectively

Nice To Haves

• Understanding of volatility models and the rates volatility market is a strong plus, particularly for MOATs and hedging.

Responsibilities

• Lead prepayment analytics and strategy for the Agency MBS desk, influencing positioning, risk-taking, and revenue generation.
• Work closely with MQA (Market Quantitative Analysis) to identify limitations in existing prepayment models, enhance and recalibrate current frameworks, and drive the development of next-generation models to improve forecasting accuracy and trading outcomes.
• Partner closely with traders to drive relative value views, trade ideas, and portfolio construction decisions based on borrower behavior, collateral dynamics, and market dislocations.
• Coordinate with Sales, Research, Capital Markets and other organizations across the firm to support client engagement and franchise growth.
• Support the desk on broader quantitative initiatives, including development of analytics, tooling, and models to enhance decision-making, and optimize hedging strategies across Agency MBS, with a focus on mortgage derivatives.

Benefits

• medical, dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

What This Job Offers

• Job Type: Full-time
• Career Level: Senior