Pine River Capital Management

  • Senior Valuation Analyst, Two Harbors

    Job ID
    2018-1906
    # Positions
    1
    Experience (Years)
    5
    Category
    Two Harbors - Risk
  • Overview

     Two Harbors Investment Corp.

     

    Two Harbors Investment Corp. is a publicly traded mortgage real estate investment trust, or REIT. Our objective is to provide an attractive risk-adjusted total return to our stockholders over the long-term through dividends and capital appreciation. Our mission is to be recognized as the industry-leading mortgage REIT.  We take an opportunistic investment approach to the residential mortgage sector, including residential mortgage-backed securities, mortgage servicing rights and other financial assets.

    Two Harbors today is the largest hybrid mortgage REIT with a market capitalization of over $3 billion. Two Harbors is externally managed and advised by PRCM Advisers LLC, a wholly owned subsidiary of Pine River Capital Management L.P.  Two Harbors trades on the NYSE under the ticker symbol “TWO”.

     

    Pine River Capital Management

    Pine River Capital Management is a global alternative investment firm focused on relative value trading across a wide range of markets, regions and asset classes. Founded in early 2002, the firm provides alternative investment solutions to qualified clients through commingled hedge funds, separate accounts, listed investment vehicles, and committed capital vehicles. Pine River is headquartered in Minnetonka, Minnesota, with offices in New York, and London.

    Position Description:

    Two Harbors is seeking a Senior Valuation Analyst to join our growing team. This position reports to the Chief Risk Officer and is responsible for monthly, weekly, and in some cases daily pricing of the portfolio holdings of both Two Harbors and Pine River.  In addition, the position will participate in other qualitative and/or quantitative analyses as defined either by the Risk function or the company’s various business units.   The primary function of the role is valuation; the nature and scope of these non-valuation projects will depend on the specific background of the individual hired.

     

    Responsibilities

    • Responsible for pricing and valuation of Agency and Non-Agency RMBS and related derivatives, mortgage servicing rights, CDS, CDX, options, futures, bonds, stocks, warrants, etc.
    • Prepare reporting for valuation committee meetings and ad hoc requests.
    • Locate and provide pricing support for administrators and auditors.
    • Work with independent pricing and valuation vendors to establish and maintain relationships.
    • New pricing source setup and testing.
    • Quantitative and analytical assessment of risks associated with Agency and Non-Agency mortgage portfolios, and REITs in general, for example:
      • margin risk
      • estimation of interest rate and mortgage basis risk
      • liquidity assessment.
    • Provide general analytical support for projects as might be defined by the company’s various business units, for example:
      • development of statistical metrics that facilitate monitoring of differences in performance of loans across the varied acquisition channels employed by the firm.

     

     

    Qualifications

     

    • Bachelor's degree in accounting, finance or related field
    • Proven experience 5+ in portfolio valuation
    • Investment industry experience is highly preferred
    • Strong analytical and communication skills
    • Desire to take on additional responsibility
    • Ability to quickly build rapport and effective working relationships across all levels of the organization
    • Cross-training in statistics or other quantitative discipline preferred
    • Advanced Excel skills, VBA knowledge preferred
    • Basic experience with and knowledge of databases and database programming preferred
    • Hands-on experience with Bloomberg

     

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