• Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Citi-US
  • 2018-10-20

Mortgage Analyst

Mortgage Analyst

  • Primary Location: United States,New York,New York
  • Education: Bachelor's Degree
  • Job Function: Finance
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 18054376


About Citi:

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi's Mission and Value Proposition explain what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

Role Description

• Citi Treasury Investments (CTI) manages the capital, funding and liquidity of Citigroup legal vehicles; manages and provides corporate oversight of liquidity risk, interest rate risk and currency translation risk; and supports product, customer and geographic businesses with risk identification, risk management, product innovation and funding strategy. The MBS Quantitative Analyst will be a key member of the Agency MBS portfolio team within the CTI group. The Agency MBS team oversees a $68bn portfolio of Agency MBS securities pursuant to CTI's liquidity and interest rate oversight responsibilities. The analyst will support position management requirements related to the agency MBS securities portfolio by retaining the following responsibilities:

Specific Responsibilities

• Develop analytics and quantitative tools used to support the portfolio allocation and management processes.

• Research and develop tactics/strategies to facilitate asset selection and capital allocation within the agency MBS portfolio. Analytic efforts will focus on portfolio optimization, prepayment analysis, hedging and relative value within the agency MBS sector.

• Develop in partnership with Finance and Risk comprehensive policies that addresses the respective risk and P&L reporting requirements of the Investment group and other related functional areas.

• Engage in Agency MBS trade execution along with corresponding hedges including MBS TBA and interest rate derivative and serve as a primary contact for daily transaction activities with middle- and back-office functions.

• Support inter-function ALM, accounting, and forecasting efforts.


• Undergraduate and/or Master's degree required in quantitative discipline (e.g., Mathematics, Physics, Engineering, or Computer Science).

• Up to 5 years' experience in the financial services industry, with experience in agency mortgage portfolio management preferred.

• Practical and theoretical experience in fixed income quantitative analysis, with term structure, prepayment, and option-adjusted spread modelling desired.

• Familiarity with bank asset-liability management practices and relevant accounting policies.

• Excellent communication skills and ability to work within a team.

• Strong computer programming skills with VBA, Python and R