PnL Attribution Analytics - Fixed Income

PnL Attribution Analytics - Fixed Income

Millennium is a global, diversified alternative investment firm, founded in 1989, which manages $77 billion in assets. Defined by evolution, innovation and focus, Millennium's mission is to deliver high-quality returns for our investors. Millennium seeks to empower talented professionals with the sophisticated expertise, resources and technology to pursue a diverse range of investment strategies across industry sectors, asset classes and geographies.
Responsibilities -
 

PnL Attribution

• Review, adjust, and sign off daily firmwide PnL attribution reports, ensuring completeness, accuracy, and consistency across portfolios.

  
  

• Prepare performance attribution reports for senior management and portfolio managers, highlighting primary PnL drivers and providing ad-hoc deep-dive analysis as required.

  
  

• Investigate and explain material PnL moves on a Trade Date and T+1 basis, acting as a key point of contact for traders, risk, and finance on all PnL-related queries.

  
  

• Develop systematic controls to validate and enhance PnL attribution processes, including automated reconciliations, threshold-based alerts, and exception reporting.
   

  
  

Valuations & Pricing

• Monitor and validate both real-time and end-of-day pricing for all fixed income instruments across Rates, Credit, and FX, including derivatives and structured products.

  
  

• Ensure accurate end-of-day marks are aligned with market data, internal valuation policies, and observable datasets (e.g., yield curves, credit spreads, volatility surfaces, correlations).

  
  

• Monitor portfolio valuations versus counterparty marks, investigate and reconcile material differences, and support fair value and dispute resolution processes.
   

  
  

Risk & Greeks

• Maintain a strong working knowledge of Greeks-based risk sensitivities (DV01, CS01, Vega, Theta, Rho, Gamma, and higher-order sensitivities) and their application to PnL attribution across fixed income derivatives.

  
  

• Collaborate with quants and risk teams to ensure risk factor decompositions used in PnL attribution are accurate and aligned with the firm's pricing and risk models.

  
  

• Support the testing and validation of new pricing models and their impact on PnL and risk reporting.
   

  
  

Process Improvement & Collaboration

• Work closely with technology and quant teams to support, improve, and automate processes related to PnL attribution, pricing, and risk.

  
  

• Drive process enhancements and contribute to project work aimed at improving valuation methodologies, data quality, and reporting infrastructure.

  
  

• Serve as a key point of contact between portfolio managers, traders, risk, finance, and technology for resolving PnL attribution issues.

  
  

Qualifications

• An advanced degree (Master's or equivalent) in a quantitative discipline such as Engineering, Mathematics, Physics, Financial Engineering, or a related field.

  
  

• Experience in PnL attribution, derivatives pricing/valuations, quantitative risk, or a closely related function within a front-office, risk, or portfolio analytics environment.

  
  

• Knowledge of fixed income products and their risk profiles across Rates, Credit, and FX, including derivatives, structured products, and asset-backed securities, with a strong understanding of relevant valuation methodologies.

  
  

• Solid understanding of Greeks-based risk and their role in PnL decomposition.

  
  

• Coding skills in Python (experience in similar languages is a plus), with the ability to work efficiently with large datasets, build automation, and develop analytical tools.

  
  

• Highly detail-oriented, with a strong sense of ownership, rigour, accountability, and urgency in all aspects of pricing, PnL, and controls.

  
  

• Excellent communication skills, with the ability to interact effectively with portfolio managers, quants, risk, and technology teams across the firm.

  
  

• Collaborative team player with a strong willingness to support others, adapt quickly, and thrive in a fast-moving, high-pressure environment.