PYRAMYD
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  1. Personas
  2. Global Markets
  3. Fixed Income Trading
  4. Securitized Products
  5. RMBS

Persona

RMBS.

Configures residential mortgage-backed securities, including pass-throughs, ARMs, whole loans, and CMOs

SeniorSoftware spend $85,000 / seat / yr

What this role actually does

Responsibilities and pain points, sourced from the production graph.

Key responsibilities

  • Price ABS and RMBS bonds using collateral cash flows, prepayment assumptions, default vectors, recovery assumptions, and current market spreads.
  • Monitor servicer, trustee, remittance, and rating-agency updates for changes that alter WAL, credit enhancement, delinquency, or loss expectations.
  • Respond to client axes with executable or indicative levels, risk sensitivities, scenario commentary, and comparable bonds.
  • Reconcile positions, hedges, marks, and trade captures with risk, operations, and finance teams before end-of-day close.
  • Maintain controlled assumptions for CPR, CDR, severity, curves, and recovery timing so model changes are explainable and auditable.
  • Review new issues, offering documents, collateral stratifications, and deal waterfalls to identify relative value and structural weaknesses.

Software pain points

  • Trustee and servicer reports arrive as inconsistent PDFs, spreadsheets, and portal downloads
  • Cash-flow assumptions are scattered across Excel files, emails, and trader notes
  • Scenario runs take too long during client inquiry windows
  • Desk marks are hard to reconcile to independent pricing and model outputs
  • TRACE and trade-capture breaks require manual evidence collection
  • Market-data licenses restrict how analytics outputs can be stored or redistributed

Workflow

A day in the workflow.

Starts before the U.S. market open by checking Bloomberg Terminal, dealer runs, rating actions, servicer and trustee updates, and overnight macro moves. The morning is spent cleaning collateral tapes, refreshing Intex or Yield Book cash flows, updating Excel or Python scenario packs, and answering client or sales inquiries with price, spread, WAL, duration, and credit-loss sensitivity. Midday work shifts to live quotes, hedges, inventory review, and exception handling with risk, operations, and compliance. The afternoon is typically used for new-issue review, model-override documentation, TRACE or trade-capture break checks, and client color for sales before the desk marks positions and closes risk.

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