Rates Portfolio Manager

1 day ago

London, Greater London, United Kingdom RBS Full time £80,000 - £120,000 per year

Join us as a Rates Portfolio Manager

  • This is your opportunity to make a significant impact with your work, managing economic risk arising from balance-guaranteed swap portfolios and playing an active role in the development of non-traded interest rate risk management in NatWest
  • You'll be working with Treasury Markets on execution, and with the Commercial & Institutional franchise to support the origination of their cancellable fixed rate loans. In addition, we expect you to support the franchises by using your knowledge of interest rate derivatives to better inform their customer product design
  • This role offers you significant scope to build on your technical and commercial skills in a setting where your decisions impact the financial results of the bank
What you'll do

As a Rates Portfolio Manager, you'll be using interest rate swaps and swaptions to manage the balance-guaranteed swap portfolios in Treasury. In addition, you'll need to have a good understanding of databases, Python and Structured Query Language to calculate the position and dynamically recalibrate back book and pipeline hedging assumptions as customer behaviour evolves..

In addition to this, you'll be:

  • Inputting into the management of NatWest's structural hedge and providing subject matter expert input into franchise products, risks and risk management
  • Working with the Hedge Accounting team to minimise accounting P&L volatility associated with risk management activity
  • Manage the balance-guaranteed swap model review cycle and develop further insights into customer behaviour
  • Producing papers on relevant issues for our committees and senior audiences
The skills you'll need

To join us in this role, you'll need excellent product knowledge of retail and commercial products and non-linear interest rate derivatives, together with experience in managing risk in a mark-to-market setting. You'll have great communication and interpersonal skills, with the ability to collaborate with stakeholders across the business at different levels.   

You'll also need:

  • A comprehensive understanding of market risk frameworks

  • Demonstrable experience of applying data science techniques to analyse big data
  • Frequent and comprehensive use of Python, Bloomberg and typical bank cloud data systems, derivative systems and risk systems
  • The ability to work well under pressure and prioritise to meet deadlines
  • To be self-starting and a desire to innovate and improve your work

Hours

35

Job Posting Closing Date:

31/10/2025Ways of Working:Hybrid

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