Trader
Core
Trade and manage repurchase agreements to finance the broker dealer unit, market-make in Treasury repos, and develop specialness-driven trading strategies.
Role type
Senior IC fixed income trader (Treasury/Repo)
Builds
Proprietary models to forecast specialness events, quantitative pricing models for Treasury securities and repo rates, and research memoranda on Treasury market structure.
Domain
Fixed income, Treasury markets, repurchase agreements, macroeconomics
Deliverable
production ML models
Required skills
Python, SQL, mathematical optimization algorithms, Bloomberg Terminal, quantitative portfolio optimization, interest rate derivatives, FX, fixed income markets
Preferred skills
Coding, financial data analysis, market research, macroeconomic analysis
Technologies
Python, SQL, Bloomberg Terminal
Responsibilities
Trade and manage repurchase agreements to finance the broker dealer unit; Develop specialness-driven trading strategies; Build and maintain proprietary models to forecast specialness events; Track implied repurchase agreement rates to identify cash-futures mispricing; Manage settlement fails across primary and secondary markets; Express relative value views across USD Rates markets; Conduct quantitative and discretionary research on interest rate markets; Manage repurchase agreement relationships with money market funds and hedge funds; Build and validate quantitative pricing models for Treasury securities.
Seniority
Senior, hands-on IC
