ALM Associate Director - Portfolio Management (IC) - SWAP

Job ProfilePosition Overview At PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. We are all united in delivering the best experience for our customers. As a(an) ALM Investments Portfolio Management, Associate Director within PNC, you will be based in New York City - Madison Ave.Position ResponsibilitiesThe successful candidate will be a key contributor to a team which manages a broad portfolio of fixed income assets and derivative products.This is a front-office, buy-side position within the investment management arm of PNC's bank portfolio (ALM Investments). The successful candidate will have the opportunity to work directly with senior portfolio managers and PNC's CIO.The ideal candidate will have in-depth knowledge and experience trading in various fixed income investment products, preferably rates and/or liquid trading products such as swaps, basis swaps, swaptions, futures and futures options, Treasuries, STRIPS, TIPS, and mortgage-backed securities.ALM Investments - Portfolio Management - Associate DirectorAt PNC, our people are our greatest differentiator and competitive advantage in the markets we serve. As an Associate Director in ALM Investments - Portfolio Management, you will be based in New York, NY.Position ResponsibilitiesThe successful candidate will be a key contributor to a team which manages a broad portfolio of fixed income assets and derivative products.This is a front-office, buy-side position within the investment management arm of PNC's bank portfolio (ALM Investments). The successful candidate will have the opportunity to work directly with senior portfolio managers and PNC's CIO.The ideal candidate will have in-depth knowledge and experience trading in various fixed income investment products, preferably rates and/or liquid trading products such as swaps, basis swaps, swaptions, futures and futures options, Treasuries, STRIPS, TIPS, and mortgage-backed securities.Additionally, the candidate will have a well-rounded skill-set that includes programming/statistical capabilities (preferably with market research and trading applications), experience with valuation and risk modelling for fixed income products, finance and accounting knowledge, interpersonal skills for working within a team atmosphere, project management experience, and the ability to provide practical solutions for improving investment performance and risk management.This role will require the candidate to be a highly proactive self-starter that is also capable of spurring production from other members of the team or across teams within PNC. Strong communication and interpersonal skills are necessary for working in this highly collaborative environment.Potential areas of focus may include:1) Rates Trading and Researcha. Rates portfolio trading (e.g. swaps, UST, STRIPS, TIPS), derivatives hedging (debt issuance, asset swaps, cash flow hedges), mortgage servicing rights hedgingb. Bank securities and derivatives portfolio: risk, returns, and attribution trackingc. Trade idea generation and construction2) Fixed Income modelling, risk/analytics, returns performance, and trading strategies3) OTC and Futures clearing4) LIBOR fallback and SOFR transition; primarily for derivatives but coordinated throughout all banking products and asset classes5) Hedge accounting strategies for derivatives (latest FASB rule updates, regression testing, ineffectiveness accounting)Requirements:Roles at this level typically require a university / college degree, with 2-5 years of relevant professional experience. In lieu of a degree, a comparable combination of education and experience may be considered.

Experience in trading interest rate derivatives is highly preferred. Bank investment portfolio and balance sheet management experience is also preferred.

A quantitatively focused graduate degree (e.g. engineering, math, statistics, physics, etc) is preferred.

CFA is also preferred.

The candidate should be comfortable coding in VBA. Other highly preferred languages include SQL, Python, C, R/Shiny.

The candidate should have experience in a variety of valuation and risk applications:

o Bloombergo Aladdin preferredo Murex and QRM are both highly preferredo Derivatives pricing libraries (internal or open source such as QuantLib)

Background in statistics or data science (regression analysis, time series modeling, and probability with a firm grasp on benefits and limitations of various techniques).

Background in financial mathematics: differential equations, calculus, linear algebra, bond math, options pricing.

Strong communication and interpersonal skills are necessary for working in this highly collaborative environment.

.Job Description

Using independent judgment and discretion, performs or may lead transaction and portfolio level analysis, conducts research and prepares reports. Performs due diligence and statistical analysis related to portfolio management.

Utilizes a working knowledge of financial instruments for the bank's investment portfolio, including research and collection of relevant information to contribute to investment decision making process and development of investment/trading strategies.

Develops, maintains, and utilizes management reports and new projects for management that help the Group meet their goals and directives and help establish the risk position of the organization. Using discretion, identifies problems in analytics and develops solutions. Interacts with internal/external service partners, including broker dealers and/or analytics providers, and leverages their knowledge.

Develops, administers and performs defined processes and procedures.

Maintains knowledge of markets and macroeconomics and may make associated recommendations. 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.

Competencies Asset and Liability Management (ALM) - Knowledge of asset and liability tools, techniques and business practices; ability to manage, measure, and monitor risks associated with assets and liabilities.Business Acumen - Knowledge, insight, and understanding of business concepts, tools, and processes that are needed for making sound decisions in the context of the company's business; ability to apply this knowledge appropriately to diverse situations.Derivatives - Knowledge of the structure, attributes, uses, terminology and processing of basic derivatives, and ability to use them appropriately.Financial Analysis - Knowledge of and ability to read, interpret and draw accurate conclusions from financial and numerical material.Industry Knowledge - Knowledge of the organization's industry group, trends, directions, major issues, regulatory considerations, and trendsetters; ability to apply this knowledge appropriately to diverse situations.Investment Performance Measurement - Knowledge of and ability to utilize a variety of methods to measure the investment performance on a particular portfolio against industry benchmarks and related parameters.Investments - Knowledge of the investments business and ability to analyze and evaluate asset types, market and industry trends, major issues, and regulatory considerations.Portfolio Management - Knowledge of and ability to utilize the tools, techniques, and acceptable business practices associated with managing a client's securities investments.Pricing Models and Analytics - Knowledge of pricing tools, techniques and methods; ability to assess analytical and pricing models through the use of statistical principles.Regulatory Environment - Financial Services - Knowledge of and ability to help an organization adapt to applicable federal, state, local, and company-specific regulations, policies, and guidelines affecting business practices. Work Experience Roles at this level typically require a university / college degree, with 5+ years of industry-relevant experience. Specific certifications are often required. In lieu of a degree, a comparable combination of education and experience (including military service) may be considered. Education BachelorsDisability Accommodations Statement:The PNC workplace is inclusive and supportive of individual needs. If you have a physical or other impairment that might require an accommodation, including technical assistance with the PNC Careers website or submission process, please call 877-968-7762 and select Option 4: Recruiting or contact us via email at pathfinder@pnc.com.The Human Resources Service Center hours of operation are Monday - Friday 9:00 AM to 5:00 PM ET.Equal Employment Opportunity (EEO):PNC provides equal employment opportunity to qualified persons regardless of race, color, sex, religion, national origin, age, sexual orientation, gender identity, disability, veteran status, or other categories protected by law.California ResidentsRefer to the California Consumer Privacy Act Privacy Notice to gain understanding of how PNC may use or disclose your personal information in our hiring practices.