Mortgage Capital Markets Portfolio & Pricing Manager

FHLBank Chicago•Chicago, IL

11d•Hybrid

About The Position

This role is a hybrid portfolio manager and quantitative pricing specialist embedded within the Mortgage Capital Markets (MCM) desk. The position combines hands-on pricing and trading for MPF mortgage products and the MBS/CMO investment portfolio with robust financial modeling and analytics. The role applies quantitative insight directly to pricing, securitization, and portfolio investment decisions, working closely with other traders, Sales, Balance Sheet Management, Risk, Accounting, and Middle Office teams.

Requirements

BA or BS degree in finance, mathematics or other related quantitative field
Minimum 7+ years of mortgage capital markets, MBS/structured products, GSE or bank-related experience
Solid understanding of financial modeling and statistical analysis
Ability to work in a trading desk hours and environment
Excellent interpersonal communication skills (written, oral, and listening) are required.
Displays a high degree of professionalism judgement, collaboration skills and work ethic
Planning, delegating, problem solving and decision making skills.
Highly analytical and strategic thinker
Extraordinary attention to detail

Nice To Haves

MS, MBA and/or CFA preferred
Bloomberg, LSEG Workspace, TradeWeb and Tableau experience is preferred
Programming ability in advanced Excel, SQL, VB, R, C# .Net, PowerShell is desired

Responsibilities

Participate directly in daily pricing for MPF products, on‑balance‑sheet purchases, hedging strategies, and securitization execution decisions.
Develop and maintain pricing analytics to evaluate loan economics, credit enhancement, profitability and member value implications of various execution alternatives.
Support Sales and Product teams by clearly explaining pricing drivers, execution differences, and market conditions.
Active management and acquisition of the MBS and CMO investment portfolio, including relative value analysis across pass-throughs and structured products.
Assist with trade idea generation, investment analytics, and execution.
Monitor ongoing portfolio performance and risk characteristics, including prepayment behavior, convexity, and benchmark comparisons.
Prepare analysis and materials for ALCO and other internal committees
Build and maintain financial models supporting MPF pricing, pipeline hedging applications, securitization economics, and models supporting investment portfolio decisions.
Perform scenario, sensitivity, and attribution analysis to explain pricing and portfolio outcomes.
Monitor internal and third-party models and escalate limitations or concerns to appropriate risk partners.
Recommend model and analytical enhancements based on observed performance and desk needs.
Partner closely with Balance Sheet Management, Market Risk, Model Risk Management, Accounting Policy, Information Technology and Middle Office teams.
Support audit, regulatory, and exam requests related to pricing methodology, MPF economics, and investment portfolio analysis.
Translate quantitative analysis into clear, decision-ready insights for senior management and stakeholders.