The Head of MBS Portfolio Management is responsible for leading a team of professionals responsible for the US Agency mortgage-backed investment securities portfolio and associated interest rate risk management activities. Key responsibilities include:

• Formulation and implementation of MBS investment strategies in line with the firm’s overall policies and procedures via Citi’s Asset and Liability Committee (ALCO) and other relevant governance committees.
• Leading a team responsible for portfolio construction, trading, MBS modeling and risk management.
• Collaborating with other areas of Citi Treasury Investments to meet the various objectives of the Investment Office.
• Partnering with other areas of Citi, including the balance sheet management, legal vehicle/business treasury, capital, liquidity, risk, and product control groups to support enterprise-wide balance sheet solutions and initiatives in line with the firm’s overall objectives and strategies.
• Supporting the firm’s broader transformation efforts and initiatives as a senior leader within Treasury.

This position reports to the Chief Investment Officer.

Qualifications

• 10+ years of MBS portfolio management experience. Must have proficiency in mortgage-backed securities trading and modeling, fixed income analytics, portfolio construction, and liquid US fixed investment markets. Strong preference for bank-related investment securities portfolio experience.
• Strong understanding of global macro drivers as they relate to the management of interest rate risk positions in a bank portfolio.
• Facility with applicable accounting standards, particularly those relevant to fair value hedging programs.
• Strong leader, a willingness to build partnerships inside and outside of Citi Treasury, must have a constant improvement track record in managing process and controls, unquestionable ethical standards, ability to interact with all levels of management.
• Highly analytical background and capabilities, strong problem-solving skills, excellent communication skills, oral and written, strong leadership qualities, ability to influence others, and a sound decision maker.
• Bachelor's degree in a relevant discipline. MBA, CFA or other advanced degree preferred.

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Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.