PNC Chief Investment Office - ALM Portfolio Management 

United States, New York, New York 

798288576

ALM Investments – Portfolio Management – (Managing Director)Job Responsibilities:Portfolio Management
• Manage the Agency Mortgage-Backed Securities portfolio to meet performance goals and support ALM objectives.
• Monitor portfolio performance (excess returns and valuations) and risk metrics, including duration, convexity, and prepayment risk.
• Analyze market trends, interest rate movements, and macroeconomic factors to guide portfolio decisions.
• Stay informed on policy changes, regulatory developments, and market innovations affecting mortgage-backed securities investments.Risk Management and Reporting
• Assess and manage risks associated with the Mortgage-Backed Securities portfolio. Maintain prepayment models specific to ALM portfolio.
• Ensure compliance with bank policies, regulatory requirements, and ALM limits.
• Work closely with ALM, Technology and Risk teams to align portfolio strategies with the bank’s overall balance sheet objectives.
• Automate work sets around markets, risk, and attribution.Preferred experience/qualifications• Minimum 5 years of experience in fixed-income portfolio management, with a focus on agency Mortgage-Backed Securities.
• Strong knowledge of ALM practices in a banking environment.
• Expertise in agency Mortgage-Backed Securities valuation, risk analysis, and portfolio optimization.
• Proficiency in Bloomberg, pricing/risk management software (Aladdin/YB), and advanced Excel modeling.
• Excellent analytical, communication, and decision-making skills.
• Ability to interpret market trends and translate them into actionable strategies.
• Understanding of regulatory frameworks and interest rate risk management.
• Programming in python/sql/vba
• Bachelor’s degree in finance, engineering, economics, accounting, or related field. MBA or CFA designation preferred.Job Description

• Oversees moderately complex transaction and portfolio level analysis, research and report preparation. Performs and/or oversees due diligence and statistical analysis related to portfolio management.
• Frequently utilizes an understanding of financial instruments and overall investment portfolio to contribute to investment decision making process and development of investment/trading strategies.
• Manages various projects and analytics which may include creation, maintenance and utilization of management reports to help the group meet their goals and directives. Interacts with internal/external service partners, including broker dealers and/or analytics providers, and leverages their knowledge.
• Provides input on the administration and performance of select processes and procedures.
• Makes and presents recommendations to ALM and non-ALM stakeholders based on knowledge of markets and macroeconomics, banking and regulatory requirements; assesses the potential impact of these on ALM and the assigned business unit.

PNC Employees take pride in our reputation and to continue building upon that we expect our employees to be:

• Customer Focused - Knowledgeable of the values and practices that align customer needs and satisfaction as primary considerations in all business decisions and able to leverage that information in creating customized customer solutions.
• Managing Risk - Assessing and effectively managing all of the risks associated with their business objectives and activities to ensure they adhere to and support PNC's Enterprise Risk Management Framework.

Qualifications

Successful candidates must demonstrate appropriate knowledge, skills, and abilities for a role. Listed below are skills, competencies, work experience, education, and requiredneeded to be successful in this position.

Asset and Liability Management (ALM), Industry Knowledge, Investments, Market Risk, Portfolio Management, Pricing Models and Analytics, Regulatory Environment - Financial ServicesRoles at this level typically require a university / college degree. Higher level education such as a Masters degree, or PhD is desirable. Industry experience is typically 8 + years. Specific certifications are often required. In lieu of a degree, a comparable combination of education, job specific certification(s), and experience (including military service) may be considered.No Required Certification(s)No Required License(s)

This position is subject to the requirements of Section 19 of the Federal Deposit Insurance Act (FDIA) and, for any registered role, the Secure and Fair Enforcement for Mortgage Licensing Act of 2008 (SAFE Act) and/or the Financial Industry Regulatory Authority (FINRA), which prohibit the hiring of individuals with certain criminal history.

California Residents

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