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Chief Investment Office (CIO) Portfolio Manager

New York, New York;

Job Description:

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

Required Skills:

  • 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

Desired Skills:

  • 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

  • LaTeX

  • UNIX scripting

This role may be filled as a Corporate Investment Portfolio Manager or a Corporate Investment Portfolio Analyst based on skills and experience.

Job Band:

H4

Shift: 

1st shift (United States of America)

Hours Per Week:

40

Weekly Schedule:

Referral Bonus Amount:

0

Job Description:

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

Required Skills:

  • 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

Desired Skills:

  • 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

  • LaTeX

  • UNIX scripting

This role may be filled as a Corporate Investment Portfolio Manager or a Corporate Investment Portfolio Analyst based on skills and experience.

Shift:

1st shift (United States of America)

Hours Per Week: 

40

Learn more about this role

Full time

JR-21032028

Band: H4

Manages People: No

Travel: No

Manager:

Talent Acquisition Contact:

Joanna Blake

Referral Bonus:

0