Trader

Citigroup Global Markets Inc. seeks a Trader, AVP for its New York, New York location.

Duties: Trade and manage repurchase agreements to finance the broker dealer unit of the firm, and to market-make in Treasury repurchase agreements as a liquidity provider for clients. Develop specialness-driven trading strategies, identify and trade Treasury securities that are priced at a premium around auction cycles, settlement windows, cheapest-to-deliver switches, supply shortages, and settlement failures. Build and maintain proprietary models to forecast specialness events using auction data, open interest, and settlement failure analytics. Track implied repurchase agreement rates across Treasury futures to identify and trade cash-futures mispricing, accounting for delivery optionality and collateral financing. Manage settlement fails across primary and secondary markets, evaluating their effect on repurchase agreement yields and General Collateral rates, and structure trades to capture funding arbitrage from these settlement dynamics. Express relative value views across broader USD Rates markets, adjusting exposure based on macroeconomic factors such as Treasury supply, hedging flows, and fiscal events, while managing duration and spread risk within the book. Conduct quantitative and discretionary research on interest rate markets, developing and backtesting ideas across term structure, repurchase agreement basis, and collateral scarcity, and present findings in formal research memoranda. Publish research on Treasury market structure topics for internal stakeholders and select external clients. Manage repurchase agreement relationships with money market funds, hedge funds, prime brokers, and custodians, and monitor the Secured Overnight Financing Rate and the Effective Federal Funds Rate to track shifts in secured and unsecured funding markets. Build and validate quantitative pricing models for Treasury securities and repurchase agreement rates, stress-test model assumptions, and manage Treasury positions to optimize carry, roll-down, and financing efficiency within defined risk limits. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree, or foreign equivalent in Finance, Economics, Mathematics, or related quantitative field and 2 years of experience as a Trader, Analyst, Quantitative Analysis Program Analyst or related position involving quantitative markets research, generating trading revenue and managing risk particularly for repo products. Alternatively, employer will accept a Bachelor’s degree in the stated fields and 5 years of the specified progressively responsible, post-baccalaureate experience. Full span of experience must include: Coding, including utilizing Python and SQL for monitoring real-time positions, P&L, and funding gaps across counterparties and collateral types; Mathematical optimization algorithms for managing real-time positions, minimizing funding costs, closing funding gaps across counterparties and driving collateral allocation decisions; Bloomberg Terminal to monitor collateral valuations, pulling yield curves, security-level analytics and counterparty credit data; Quantitative portfolio optimization and using quantitative signals to forecast funding stress, adjusting collateral composition and expressing macro views; Financial data analysis & market research to enable the identification of funding trends, seasonal liquidity patterns, and rate dislocations across short-term money markets; and Interest rate derivatives, FX, fixed income markets, and integration of macro themes into short-term funding strategies and sophisticated yield curve positioning. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #261001901. EO Employer.

Wage Range:                $150,000 to $175,000

Job Family Group:         Institutional Trading

Job Family:                   Trading

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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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