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Investor on the agency mortgage alpha team with primary responsibility for fundamental prepayment and policy research. This is an investment role where the candidate should expect to have direct influence on the team's positioning/portfolio management through developed expertise.
Identify persistent trends in prepayment behavior of both borrowers and originators to develop prepayment themes in coming months
Forecast short-term agency prepayments across vintage-coupon cohorts and assemble peer forecasts, producing monthly commentary with implications for future behavior
Analyze secondary market valuations and recommend trades based on prepayment themes
Assist with ad hoc investigations of collateral affecting existing or potential holdings, including TBA deliverable analysis
Maintain active knowledge of rules, regulations and policy initiatives of FHFA, FHA, Federal Reserve, and other relevant entities
Track new or potential policy developments affecting the agency mortgage market, including implications for mortgage valuations
o Research the primary mortgage market:
Understand origination business processes and anticipate how changes in them alter prepayment behavior
Forecast application and sales volumes, compare and contrast housing indicators and prepayments
Keep diary of industry activity, reviewing industry newsletters and other sources
Comfort working with urgency, being decisive without complete information, and providing best-effort solutions to emerging issue
Minimum three years of experience in mortgage market as trader/portfolio manager, prepayment emphasis preferred, or minimum five years of experience in fixed-income analytics with demonstrated knowledge of prepayment modeling or empirical finance methods
Strong written and verbal communication skills with ability to present persuasively to both expert and lay audiences
Formal education in quantitative field and programming experience preferred
Proficiency with data sets and data studies in R, Python, or other programming language
BlackRock's purpose is to help more and more people experience financial well-being. As a fiduciary to investors and a leading provider of financial technology, our clients turn to us for the solutions they need when planning for their most important goals. As of June 30, 2020, the firm managed approximately $7.32 trillion in assets on behalf of investors worldwide.
For additional information on BlackRock, please visit www.blackrock.com/corporate | Twitter: @blackrock | Blog: www.blackrockblog.com | LinkedIn: www.linkedin.com/company/blackrock
BlackRock is proud to be an Equal Opportunity and Affirmative Action Employer. We evaluate qualified applicants without regard to race, color, national origin, religion, sex, sexual orientation, gender identity, disability, protected veteran status, and other statuses protected by law.
BlackRock will consider for employment qualified applicants with arrest or conviction records in a manner consistent with the requirements of the law, including any applicable fair chance law.