Agency MBS Desk Strategist

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 organisations 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 optimise hedging strategies across Agency MBS, with a focus on mortgage derivatives. Qualifications 5+ years of experience in Agency MBS strategy, modelling, trading, or portfolio management. Deep expertise in mortgage prepayment and prepayment modelling. 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. Education Bachelor’s degree, university degree or equivalent experience. Master’s or PhD in finance, economics, engineering or a related quantitative field (preferred). Location New York, New York, United States Salary $200,000.00 – $300,000.00 per year. In addition to salary, Citi offers discretionary and formulaic incentive and retention awards. Benefits Medical, dental and vision coverage. 401(k) plan. Life, accident and disability insurance. Wellness programs. Paid time off: vacation, sick leave and paid holidays. Additional benefits may vary by jurisdiction, job level and date of hire. For additional information regarding Citi employee benefits, see citibenefits.com. Job Family Institutional Trading – Trading Job Family Group Institutional Trading Employment Type Full time EEO Statement Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity, review our Accessibility at Citi. View Citi’s EEO Policy Statement and the Know Your Rights poster. #J-18808-Ljbffr Citi