Head of Pricing & Valuations

Company Description

Soros Fund Management LLC (SFM) is a multi-strategy global investment firm and family office that manages approximately $28 billion in net assets. Founded by George Soros in 1970, SFM serves as the principal asset manager for the Open Society Foundations (OSF), one of the world's largest charitable foundations dedicated to promoting justice, human rights, and democracy. SFM leverages its permanent capital base, unconstrained mandate, and 50-plus years of experience to invest nimbly across diverse strategies and asset classes, including public and private equities and credit and macro assets. SFM’s approach is unique in the investment industry. Headquartered in New York City with offices in London and Dublin, SFM employs about 200 professionals.

 

Position Overview

The Reference Data Group, within SFM’s Operations Team is responsible for critical functions, such as production and reconciliation of daily p&l, security master setup, OTC model setup and maintenance, and month-end pricing. We are seeking a high caliber candidate with 10-15 years of industry experience, and specific expertise in pricing of OTC derivatives and fixed income products including convertible bonds and structured products (MBS/ABS/CLO). This role involves managing the RDG team while maintaining a hand on approach and liaison with various SFM teams including front-office portfolio management, trade execution teams, trade support and technology, as well as a 3^rd party middle-office service provider/administrator. The ideal candidate will excel at building strong relationships, collaborating effectively and task prioritization, to support key priorities and strategic initiatives.

                                    

Responsibilities

• Responsible for daily pricing and PNL production and infrastructure, including assurance of current process, questioning the status-quo, and redesigning to enhance accuracy and efficiency as needed
• Developing and updating valuation methodologies/procedures for all product categories, including verifying models for new instruments, and modifying existing models to improve valuation methodology and align with industry standards
• Addressing complex pricing/valuation issues, including reviewing curve construction, methods of interpolation, market data quality and implementing necessary solutions to bring valuation in line with market prices
• Managing month-end price testing of all products, including Structured Products and OTC derivative instruments, validating prices against independent source values, and documenting in line with the firm’s valuation policy. This includes working closely with the Fund Administrator on their monthly price verification procedures
• Participate at Quarterly Valuation Committee meetings and present valuation reconciliation findings alongside the Fund Administrator
• Work closely with investment teams, fund accountants, external audit and coordinating with third-party valuation vendors

 

Requirements

• Bachelor’s Degree in Finance, Mathematics or Accounting
• 10+ years of relevant experience
• MBA, CFA, CPA a plus
• Broad product knowledge in fixed income and both listed and OTC instruments emphasis on the following asset classes:
  • Structured Products, including MBS and ABS
  • OTC options for equities and macro products
  • Credit Derivatives (CDS,CDS, Tranches, IRS)
  • All aspects of equity derivatives
  • Bank Debt
• Strong knowledge of Excel (pivot tables and macros, etc).
• Accounting background with understanding of what drives P/L desirable.
• Excellent communication skills with ability to collaborate with other teams and engage effectively with stakeholders
• Excellent organizational skills including attention to detail, prioritization and multi-tasking skills
• Comfortable in a high pressure, fast-paced environment

 

We anticipate the base salary of this role to be between $150,000 - $175,000. In addition to a base salary, the successful candidate will be eligible to receive a discretionary year-end bonus, as well as other benefits

 

In all respects, candidates need to reflect the following SFM core values:

Integrity   //   Teamwork   //   Smart risk-taking   //   Owner’s Mindset   //   Humility