Job Type
Job Details
Operations and Middle Office is one of the largest departments at Millennium. The Middle Office group consists of three inter-connected functions in the post-trade lifecycle: trade support, valuations, and business unit control. Middle Office supports all products traded within firm – ranging from simple listed equities to complex derivative products.
We are looking for a driven and detail-oriented candidate to fill a Hybrid Valuations and Business Unit Control role that will be focused on supporting a European Rates driven Portfolio Manager and performing the daily firm wide Independent Price Verification for certain Rates and Structured Credit products.
Responsibilities
Primary interface for one specific portfolio manager
Co-ordinate with the various departments to resolve all issues for this specific portfolio manager as the single place that the portfolio manager can go to resolve pricing, P&L, position, technology, risk and security setup related issues
Responsible for maintaining, monitoring and establishing new procedures and controls to support the intra-day and end of day pricing for Portfolio Manager.
Performing daily independent price verification processes for Rates and Structured Credit (Agency/Non-Agency MBS, CMBS & CLOs) products when the candidate is not supporting the Portfolio Manager
Qualifications
5+ years proven experience
Detailed Knowledge of Rates Derivative Products: payoff/cashflow, pricing and quoting convention. Products include but not limited to FRAs. IRS, Single Currency Basis Swaps, Cross Currency swaps, Capfloors, Swaptions: Europeans and Midcurves, CMS Products: swaps and options. (Preferably with exposure to European Rates).
Knowledge of Rates Derivative Market Data, Curves and Volatility surface construction practice. This includes curve instrument selection and their rolls like Futures, FRAs and meeting dates, interpolation/extrapolation methods and variables, Volatility construction methods such as capfloor stripping and SABR cube construction.
Knowledge of Derivatives pricing models and sensitivity/greeks calculations
Understanding of derivatives greeks based p&l attribution with experience in analyzing and explaining P&L
Knowledge of FX Derivative Products: payoff/cashflow, pricing and quoting conventions. Products include FX Forwards, FX Options, FX Digitals. Preferred experience with Currency exposure and sweep.
Knowledge of Structured Products (Agency/Non-Agency MBS, CMBS & CLOs)
Experience working with trading desks
Knowledge of Bloomberg and Reuters
Detail oriented; Demonstrates thoroughness and strong ownership of work
Standout colleague with a strong willingness to participate and help others
Strong sense of urgency with ability to prioritize in a fast moving, high pressure environment
Strong communication skills; Quick learner
Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.
About Millennium is a global alternative investment management firm, founded in 1989, which manages more than $56 billion in assets. Technology... Read more