Mortgage Valuations

Role OverviewThe team is responsible for front-to-back pricing integrity, P&L production, and valuation infrastructure across global fixed income markets including Rates, Credit, Mortgages, and FX (cash and derivatives). This is a highly technical, market-data–driven role operating at the intersection of pricing systems, quantitative analytics, and trading infrastructure, with direct exposure to Portfolio Managers, Risk, Trading Services, and Engineering teams. The role focuses on ensuring accurate, explainable, and production-grade pricing and P&L, while also enhancing the underlying valuation models, market data pipelines, and analytics tooling that support intraday and end-of-day valuation processes.Core ResponsibilitiesPricing Engine Ownership & Market Data CalibrationOwn and support intraday and EOD pricing workflows across Rates, Credit, FX, and related derivativesValidate and challenge prices using market data feeds, curves, comparable instruments, and model outputsMonitor and reconcile pricing differences across internal systems, vendors, and trading platformsSupport curve construction, interpolation, and market data normalization processesEnsure pricing consistency across cash instruments, derivatives, and structured credit productsP&L Production, Attribution & AnalyticsProduce and validate Trade Date and T+1 P&L at position, strategy, and portfolio levelPerform P&L attribution analysis, decomposing moves into:Market move / curve shiftCarry & roll-downSpread / basis movementTrade effects and positioningBuild and maintain diagnostics for unexplained P&L breaks, valuation shifts, and risk sensitivitiesSupport ad-hoc deep dives into performance drivers for Portfolio Managers and senior stakeholdersQuantitative Valuation & Model SupportSupport and enhance pricing models for rates, credit, and FX instrumentsWork with Risk and Quant teams on valuation methodology improvements and model validationApply risk sensitivities (DV01, CR01, FX delta, gamma, vega) to explain valuation changesContribute to refinement of discounting curves, forward curves, and spread modelsAssist in benchmarking internal models against external pricing sources and market conventionsData Engineering, Market Data & ToolingWork with large-scale time-series market data sets for pricing, curves, and trade-level analyticsBuild and maintain Python/SQL-based tooling for pricing validation, P&L analytics, and diagnosticsEnhance automation of EOD pricing workflows and reduce manual reconciliation effortDevelop systematic checks for:Market data qualityCurve movementsPricing outliersModel deviationsPartner with Technology to improve pricing infrastructure, data pipelines, and reporting systemsFront Office Interface & Issue ResolutionAct as a key point of contact for Portfolio Managers on pricing, valuation, and P&L queriesInvestigate and resolve pricing breaks, trade discrepancies, and valuation disputesCoordinate across Risk, Trading Services, Technology, and external vendors to drive issue resolutionProvide clear, structured explanations of valuation changes under tight EOD deadlines