Bank of America is seeking a Portfolio Manager for the Chief Investment Office (CIO). CIO is responsible for the bank's asset liability management through the Held-To-Maturity, Available-For-Sale and Mark-To-Market investment portfolios, debt hedging, risk management of the bank's Mortgage Servicing Rights (MSR) and management of the bank's mortgage pipeline hedging and loan delivery activities. CIO manages approximately $800 billion in assets, concentrated in G7 fixed income securities including: sovereigns and supranationals, agency and non-agency residential and commercial mortgage-backed securities and collateralized mortgage obligations. CIO also makes extensive use of derivatives including: interest rate swaps, swaptions, US Treasury and Eurodollar futures and options, TBAs, constant maturity mortgage forward rate agreements and mortgage options.
Portfolio Managers (PM) perform key functions within the CIO team, including proposing investments and hedges for the CIO managed portfolios, as well as executing trades necessary to implement those investments. This requires incorporation of economic information, market views, and enterprise objectives and constraints. Models and tools are used to synthesize data into actionable trade ideas.
Responsibilities of CIO PMs include:
Optimize portfolios to meet risk appetite, management objectives, regulatory constraints, balance sheet, and earnings goals
Interact with market participants through trade execution and meetings with external strategists and traders
Estimate risk premia and return distributions; conduct scenario analysis of portfolio and prospective investments
Generate proposals for portfolio rebalancing
Understand the impact of various investment strategies on Global Risk Management measures and limits
Partner with Quantitative Finance ("QF") and Balance Sheet Management and Treasury Finance ("BSMTM") to enable best-practice interest rate, NII and OCI modeling techniques
Maintain horizontal relationships with BSMTM and additional internal business partners such as Enterprise Capital Management ("ECM"), Global Liquidity Management ("GLM"), Strategic Asset Liability Management ("SALM"), and Compliance
Recognize impacts of different products on various hedge accounting strategies
Comply with and complete enterprise, Treasury, and regulatory oversight routines
Demonstrated ability in areas of data and econometric analysis
Participate in steering committees, as appropriate, to establish operational readiness of new products
Engender operational excellence as a key consideration of both tactical and strategic work streams
Bachelor's degree in a technical field - or related work experience
Python programming or equivalent experience
Experience with convex optimization, statistical analysis, time series analysis
Strong attention to detail and self starter
Strong interpersonal communication skills (ability to discuss market activities with multiple dealers over phone, etc.)
Strong understanding of asset pricing, optimal trade execution, risk management, and portfolio construction
Masters degree with quantitative emphasis (physics, math, engineering, computer science or equivalent) preferred
Strong product knowledge including: interest rate swaps, swaptions, US Treasury and Eurodollar futures and options, TBAs, constant maturity mortgage forward rate agreements and mortgage options, sovereigns and supranationals, agency and non-agency residential and commercial mortgage-backed securities and collateralized mortgage obligations
Previous experience with trade execution platforms: TradeWeb, Pioneer, X_Trader, Bloomberg
General understanding and experience utilizing Market data vendors such as Bloomberg, Reuters
This role may be filled as a Corporate Investment Portfolio Manager or a Corporate Investment Portfolio Analyst based on skills and experience.
1st shift (United States of America)
Hours Per Week:
Internal Number: 21032028
About Bank of America
Bank of America is one of the world’s leading financial institutions, serving individual consumers, small and middle-market businesses, and large corporations with a full range of banking, investing, asset management and other financial and risk management products and services. The company offers industry-leading support to approximately 3 million small business households through a suite of innovative, easy-to-use online products and services. Bank of America is a global leader in wealth management, corporate and investment banking and trading across a broad range of asset classes, serving corporations, governments, institutions and individuals around the world.