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 Director within PNC, you will be based in New York City - Madison Ave.
The 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, balance sheet and deposit modelling, 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 (and will be highly visible within the firm):
1) Bank balance sheet modelling (DoE and interest rate basis risk), risk/analytics, returns performance, and trading/hedging strategies
2) LIBOR fallback and SOFR transition; primarily for derivatives but coordinated throughout all banking products and asset classes
3) Hedge accounting strategies for derivatives (latest FASB rule updates, regression testing, ineffectiveness accounting)
4) Rates Trading and Research
a. Rates portfolio trading (e.g. swaps, UST, STRIPS, TIPS), derivatives hedging (debt issuance, asset swaps, cash flow hedges), mortgage servicing rights hedging
b. Bank securities and derivatives portfolio: risk, returns, and attribution tracking
c. Trade idea generation and construction
5) Deposits modelling
6) Funds Transfer Pricing
7) OTC and Futures clearing
Roles at this level typically require a university / college degree, with 5-10 years of relevant professional experience. In lieu of a degree, a comparable combination of education and experience may be considered.
• Bank investment portfolio and balance sheet experience highly preferred. Interest rate derivative trading experience is also highly preferred.
• A quantitatively focused graduate degree (e.g. engineering, math, statistics, physics, etc) is preferred.
• CFA is also preferred.
• The candidate should be comfortable instructing junior developers as well as have experience directly programming in a variety of languages which might include SQL, Python, VBA, C++, R/Shiny.
• The candidate should have experience in a variety of valuation and risk applications:
o Aladdin preferred
o Murex and QRM are both highly preferred
o 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.
• Demonstrated experience in project management (establishing objectives, tracking progress, creating presentations for communicating updates/results to senior executives, and managing tight deadlines).
• Strong communication and interpersonal skills are necessary for working in this highly collaborative environment.
- Leads 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.
- Oversees new 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.
- Develops, administers and performs defined processes and procedures.
- Makes recommendations 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.
CompetenciesAsset 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.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.Investments – Knowledge of the investments business and ability to analyze and evaluate asset types, market and industry trends, major issues, and regulatory considerations.Market Risk – Knowledge of processes, tools, and techniques used for analyzing market risk; ability to assess and manage investment exposures to market risk.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 ExperienceRoles at this level typically require a university / college degree. Higher level education such as a Masters degree, PhD, or certifications is desirable. Industry relevant experience is typically 8+ years. Specific certifications are often required. In lieu of a degree, a comparable combination of education and experience (including military service) may be considered.
Disability 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 firstname.lastname@example.org.
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.