Bank of America Corporate Investment Portfolio Manager in New York, New York

Job Description:

Bank of America is seeking an Agency MBS 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 $400 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.

Responsibilities and requirements include:

  • Trade execution across various fixed income markets, including US Agency TBA, specified pools, Agency CMO, Agency CMBS, Treasuries, and other interest-rate products.

  • Analysis of Agency MBS securities, including pool characteristics, prepayment trends, and CMO structure.

  • Portfolio construction and risk analysis consistent with modern asset pricing theory.

  • Understanding the factors that drive fixed income markets and keeping up to date with current events, regulatory changes, and other developments that may impact the portfolio.

  • Designing and maintaining quantitative models, including the ability to synthesize and implement ideas from scholarly articles in quantitative fields, communicating complex mathematical concepts and making incremental improvements to accommodate changing business needs.

Enterprise Role Overview

Assist in the day-to-day risk management and market monitoring of the Chief Investment Office portfolio and executing transactions in accordance with the established policies and risk parameters. Have a thorough knowledge of the product area including market liquidity and volatility, pricing, and trading/hedging strategies. May provide technical, analytical and product support to more junior associates.

Required Skills and Experience:

  • Master’s degree with quantitative emphasis such as physics, math, engineering, computer science, or equivalent.

  • Python/R programming or equivalent.

  • Convex optimization, statistical analysis, machine learning, time series analysis.

  • Strong interpersonal communication skills (ability to discuss market activities over the phone with multiple dealers).

  • Strong understanding of asset pricing, optimal trade execution, risk management and portfolio construction.

  • Strong attention to detail and self-starter.

Desired Skills and Experience:

  • Strong product knowledge including: Agency RMBS TBA and pools, Agency CMO, Agency CMBS, constant maturity mortgage forward rate agreements, mortgage options, US Treasuries and interest rate derivatives, and non-agency residential and commercial mortgage-backed securities

  • LaTeX

  • UNIX scripting

  • Version Control

This role can be filled as a Corp Inv Portfolio Mgr or a Corp Inv Portfolio Analyst.

Posting Date : 04/16/2018

Location :


  • United States

Travel : Yes, 5% of the time

Full / Part-time : Full time

Hours Per Week : 40

Shift : 1st shift

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