Principal Responsibilities
The Portfolio Manager will be responsible for managing and optimizing investment books focused on Australian and New Zealand short-term interest rates and FX markets. The role involves active portfolio management, and the development of analytics and models to support investment decisions across both local and offshore securities, leveraging direct experience in Australian and New Zealand Treasury, ALM, and liquidity management books.
Key Responsibilities:
- Manage and optimize portfolios of AUD and NZD short-term rates (including IRS, XCCY, and basis swaps) and FX exposures.
- Execute and manage positions in AUD and NZD securities (as well as G4 countries: USD, JPY, EUR, GBP) as part of cross-market and relative value strategies.
- Develop and implement models for fixed income relative value, asset swap pricing, carry/roll analysis, Z-Score rich/cheap analysis, and principal component analysis for portfolio signals.
- Monitor liquidity and market funding activities, including commercial paper issuance, repo, and FX swaps, ensuring full understanding of the market.
- Provide market commentary, research, and investment insights to support team awareness and inform strategy.
Qualifications/Skills Required
- At least 5 years of relevant experience managing AUD/NZD rates and FX portfolios, with a strong background in New Zealand and Australian financial markets.
- Direct experience in asset-liability management, liquidity portfolios, and Treasury functions at a major bank or financial institution.
- Bachelor's degree in Finance, Economics, Mathematics, Computer Science, or related fields.
- Advanced financial modeling and automation skills, with expertise in developing and applying analytical tools for rates and FX markets.
- Deep understanding of AUD and NZD interest rate derivatives, fixed income, and FX instruments.
- Strong communication skills, with experience providing market commentary and research.
- Proven ability to work independently and lead strategic projects in a dynamic trading environment.
