Director, TLAP MBS

Job title:

Director, TLAP MBS

Company

Royal Bank of Canada

Job description

Job SummaryJob DescriptionWhat is the Opportunity?The Director – US MBS Portfolio Manager is a key member of the broader Corporate Treasury Markets’ team. The incumbent will be the subject matter expert in US MBS product (i.e., MBS, CMO, CLOs, etc) and lead investment, hedging, and optimisation decisions for our ~$30B portfolio of US mortgage products across multiple jurisdictional entities. The incumber will also support the broader team in managing ~$30Bn of linear US retail liquidity assets. The individual will also play a key role in enhancing the reporting and control environment while developing and implementing appropriate policies and procedures that comply with both the internal risk appetite and external regulatory requirements / expectations.With the solid backing of robust reporting, this role will lean itself to a candidate who love to impart market knowledge into algorithms and iteratively build the ideal portfolio. Residing in Toronto, our new partner will ensure we optimize Capital, Liquidity, Tax, and Enterprise balance sheet value while managing within constraints set forth by Risk, Financial Controls, and Corporate Treasury Enterprise Liquidity Management.What will you do?

• Be lead portfolio manager and subject matter expert on US Mortgage and US MBS Products (i.e., convexity SME);
• Execute trades as an agent while providing positive advice and counsel to our US entities;

• Focus on US MBS Products (MBS, CMOs) alongside other ABS (CLOs, CC Trusts, Floorplan etc); and
• Trade other USD HQLA L1 / L2A securities.
• Work with the Markets’ data analytics and reporting team to tell the story of the portfolio, work on the ideal portfolio given the environmental binding constraints, and build real life limitations into ideal model portfolios;
• Lead, develop and teach other junior team members;
• Play a leading role in the enhancement of the 1st Line approach to portfolio management and non-trading market risk management in our US subsidiaries;
• Work with our Product Control and Performance Management team to have reporting of the portfolio performance relative to the Work with our various Risk Teams to ensure sufficient limits including (but not limited to) Single Name Exposure, Counterparty Credit, Key Rate Duration etc; and
• Work with our Accounting Groups to ensure appropriate Hedge Accounting Structures and Controls are in place to protect the timing recognition of bank earnings.

What do you need to succeed?Must haves:

• 7+ years’ front office experience with a focus on US MBS assets at an institutional level with a focus on relative value (absolute, liquidity, etc);
• Experience with fixed income and cross currency derivatives, including interest rate options and delta hedging;
• Experience making buy or sell recommendation to senior team members or external clients;
• Experience with Hedge Accounting, Bank Capital Management, Liquidity Management, and Management Accounting;
• Ability to communicate clearly and succinctly (verbally and written);
• Ability to partner with the entire stack of internal stakeholders (Risk Management, Financial/Product Control, Performance Management, Corporate Treasury, Debt Capital Markets, and trading)

Nice to haves

• IFRS and US GAAP Accounting knowledge
• Familiarity with Volcker, Reg W, and broader Bank Compliance
• Performance Management and Management Accounting experience
• A passion for training junior staff and building knowledge across disciplines in the world of Corporate Treasury

Job Skills Capital Markets, Corporate Treasury, Derivatives, Investment Consulting, Investment Performance Measurement, Investment Risk Management, Investments, Investments Analysis, Long Term Planning, Management Reporting, Portfolio Management, Product Services, Risk Control, Risk ManagementAdditional Job DetailsAddress: RBC CENTRE, 155 WELLINGTON ST W:TORONTOCity: TORONTOCountry: CanadaWork hours/week: 37.5Employment Type: Full timePlatform: Office of the CFOJob Type: RegularPay Type: SalariedPosted Date: 2024-07-10Application Deadline: 2024-08-31Inclusion and Equal Opportunity EmploymentAt RBC, we embrace diversity and inclusion for innovation and growth. We are committed to building inclusive teams and an equitable workplace for our employees to bring their true selves to work. We are taking actions to tackle issues of inequity and systemic bias to support our diverse talent, clients and communities.We also strive to provide an accessible candidate experience for our prospective employees with different abilities. Please let us know if you need any accommodations during the recruitment process.Join our Talent CommunityStay in-the-know about great career opportunities at RBC. Sign up and get customized info on our latest jobs, career tips and Recruitment events that matter to you.Expand your limits and create a new future together at RBC. Find out how we use our passion and drive to enhance the well-being of our clients and communities at .

Expected salary

Location

Toronto, ON

Job date

Thu, 11 Jul 2024 23:23:54 GMT

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