Summary
The Manager, Investments - Derivatives primary responsibilities are to support and monitor the company’s interest rate derivatives (e.g. Treasury bond forwards, interest rate swaps, swaptions) and currency hedges to enhance yield, and overall improve the Asset-Liability Management (ALM)/duration profile.
Organization
This role reports to VP, Investments, and will have significant interaction with other members of the Investments department, other functional areas within F&G, and key members of external asset management
serving the company.
Duties and Responsibilities
- Develop interest rate derivative strategies targeting insurance company assets and liabilities, and understand the market-to-market impacts on an insurance company balance sheet (e.g. IMR).
- Assist in the management of interest rate derivatives portfolio with a focus on analyzing, selecting and executing hedging strategies to support overall balance sheet positioning needs and achieve risk/profitability objectives.
- Analyze financial markets and collaborate with other teams, including the CIO office, Treasury, risk, and accounting stakeholders to evaluate structural interest rate risk exposures
- Develop and recommend hedge strategies using derivatives instruments including bond forwards, interest rate swaps, caps, floors, swaptions, etc.
- Monitor current hedge strategies and derivatives instruments to optimize risk/profitability objectives, ensuring compliance with Replication Synthetic Asset Transaction (RSAT) requirements.
- Develop analytics required to manage an interest rate derivatives portfolio with a focus on automation for improved efficiency.
Experience and Education Requirements
- Bachelor’s degree in mathematics, statistics, finance, actuarial science or related field.
- Successful attainment of CFA or ASA/FSA is preferred.
- 7+ years of investments hedging experience.
- 5+ years of experience related to interest rate derivatives (bond forwards, interest rate swaps, and futures),addressing unique needs of insurance.
- Actuarial background is a plus.
- Insurance product knowledge (e.g., FIA, MYGA, IUL, etc.) is preferred.
Knowledge, Skills and Abilities
- Strong technical, analytical, organizational, and communication skills.
- Strong capabilities in Microsoft Excel (VBA) and SQL. Working knowledge of Tableau is helpful.
- Demonstrated strong technical and financial modeling skills with the ability to automate/streamline current processes.
- Strong project management skills.
- Strong problem-solving skills that include advanced analytical and reasoning abilities.
- Self-starter who demonstrates strong initiative and displays a high energy level.
- Team player who has the ability to function as a key member of a small group.
- High degree of ownership for their areas of responsibility.
Other Requirements
- Perform other functions, duties and projects, as assigned.
- Regular and punctual attendance.
- Some travel required (less than 10%).
