Mortgage Pricing & Valuations

Millennium•New York, NY

5d•Remote

About The Position

Own day-to-day pricing and fair value for the firm’s mortgage and structured credit bond and loan portfolios, ensuring clean, explainable marks and P&L. Coverage spans Agency and Non-Agency/Private-Label securitized products (e.g. TBAs, ARMs, CMOs, CMBS, MBS, ABS) and secondary market loans.

Requirements

3–7+ years in mortgages / structured credit in a quantitative or strat role (e.g. desk quant/strat, risk/analytics, or model-driven valuations)
Bachelor’s degree in Finance, Mathematics, Engineering, Economics, or related field
Strong knowledge of RMBS/CMBS, TBAs, CMOs, ABS/CLOs, and secondary market loans.
Hands-on 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.

Nice To Haves

advanced degree a plus

Responsibilities

Maintain accurate end-of-day 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 end-of-day 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.