Agency MBS Desk Strategist

Discover your future at Citi

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Job Overview

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.

Qualifications:

• 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

Education:

• Bachelor’s degree/University degree or equivalent experience
• Master’s or PhD (finance, economics, engineering, or related quantitative field) preferred

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Job Family Group:

Institutional Trading

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Job Family:

Trading

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Full Time Salary Range:

$200,000.00 - $300,000.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

Jul 16, 2026

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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.

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