Job Description

Application Deadline: 05/10/2023

Address: 60 Yonge Street

Job Family Group: Asset Mgmt Sales & Service

Will send to recruiter

Reporting to the Chief Investment Officer (CIO), the Director, Asset Liability Management (ALM) will be part of the BMO Life Assurance (BMOLA) Investment Team. This role will work closely with the Director Investments, the CIO, and other members of the Investment Team to develop, and review ALM strategy for BMOLA.

ALM Analytics and Modeling

• Act as the point person and the reference expert on ALM and its related risk management at BMO Insurance
• Expand the ALM modeling to incorporate accounting and capital parameters associated with IFRS17
• Develop expertise in IFRS 17 for the purposes of understanding the accounting, capital, reserve, volatility, hedging, liquidity requirements, and risk-return characteristics associated with investments within an ALM strategy
• Recommend prudent strategies to mitigate market risks and the volatility between the discount curves of the reserve liabilities and the asset portfolio return to achieve financial results objectives
• Develop stress analysis to assess return volatility under various interest rate and other shock scenarios
• Work closely with the Investment Team, the Appointed Actuary\xe2\x80\x99s Team, and the Product Actuary\xe2\x80\x99s Team to identify the parameters necessary to design the ALM strategy
• Recommend ALM strategies that establish and maintain a prudent investment portfolio, optimize yields on a capital/reserve adjusted basis, and minimize income volatility
• Review BMOLA\xe2\x80\x99s investment portfolio on an on-going basis to optimize their ALM-related benefits, identify asset mix and investment opportunities, and make the appropriate recommendations to the Investment Team
• Implement recommended ALM strategies and on-going ALM risk monitoring, through capital markets and asset management transactions
• Work closely with the CIO, the Director of Investments, the CFO, and the Appointed Actuary to develop an ALM report that includes a detailed summary of the investments and their ALM parameters, market impacts, and stress scenarios
• Provide ALM-related education and input to BMO Insurance\xe2\x80\x99s Investment Committee and other committees

In addition to the ALM requirements, the role requires strong partnerships with various teams in the following functions:

Product Development and Design

• Assess and recommend dividends (PBR) on Whole Life products in partnership with the Pricing and Marketing teams
• Assess Universal Life investment fund options and recommendation possible changes based on identified risk/issues in implementation
• Develop appropriate capital and reserve hedging strategies for segregated funds with the Pricing and Marketing teams
• Work closely with Actuarial to help determine strategy, assess risk, develop process, and implement investment action needed to support new product design and development initiatives
• Provide support to internal stakeholders about the investments underlying Universal Life
• Work closely with the CIO and the Director of Investments in producing reporting and information to business leaders and the Actuarial team to support further understanding about the investments and underlying assets
• Identify and resolve system issues that impact investment accounting, to ensure accuracy of financial reporting

Investment Portfolio Management and Administration

• Manage market-related research by combining BMO FG and other research in relevant asset classes; assessing and recommending investments
• In partnership with the Investment Team, assess investment and administrative matters related to the real estate portfolio
• Partner with the Director of Investments in executing transactions when required
• Back-up the Director of Investments in various responsibilities when required
• Attend the weekly Pension Risk Transfer (PRT) strategic meetings
• Attend the Investment Team\xe2\x80\x99s Investment Committee and other committee meetings and draft the minutes

Risk Management

• Support the Investment Team in its interactions with BMO Capital Markets Credit Risk, BMO Insurance Actuarial, BMO Insurance Finance, BMO Asset Management, BMO Real Estate, BMO Capital Markets, and Corporate Finance Division in connection with matters dealing with ALM, credit quality, derivatives, liquidity, security impairment, and so forth
• Review classification of securities and provide responses for specific information requests related to ALM
• Partner with the Director of Investment in reviewing investment portfolios of the insurance business for any problematic investments and/or investments on the watch list, and escalate as required
• Partner with the Director of Investment in reviewing the investment portfolios to ensure compliance with requirements and guidelines set out by OSFI, BMO, the Investment Policies, Investment Committee, and other key stakeholders
• Adhere to all aspects of First Principles in terms of our code of Business Conduct and Ethics, including individual accountability as it relates to potential conflicts of interest, safeguarding of customer information, trading in securities, anti-money laundering, privacy, and disclosure of outside business activities
• Provide ongoing analysis to help project market impacts to financial reporting

Qualifications:

• Typically, 8 \xe2\x80\x93 12 years of relevant experience and a post-secondary degree in related field of study (CFA or Actuary preferred); or an equivalent combination of education and experience
• 3 - 5 years in either of a combination of actuarial, investment, or accounting within an insurance environment
• Knowledge of derivatives, risk mitigation techniques and ALM modeling
• ALM experience within an IFRS 17 environment would be an asset
• Experience with sensitivity and stress analysis under different market scenarios would be an asset
• In depth familiarity with Excel spreadsheet modeling and Power Point presentation
• Knowledge of insurance products and channels, as well as required financial and regulatory reporting for an insurance company
• Knowledge of investment products, portfolio construction, asset allocation and risk management within an insurance environment
• Comfortable working within a hybrid environment
• Verbal & written communication skills - In-depth / Expert
• Analytical and problem-solving skills - In-depth / Expert
• Influence skills - In-depth / Expert
• Collaboration & team skills; with a focus on cross-group collaboration - In-depth / Expert
• Data driven decision making - In-depth / Expert

We\xe2\x80\x99re here to help

At BMO we are driven by a shared Purpose: Boldly Grow the Good in business and life. It calls on us to create lasting, positive change for our customers, our communities and our people. By working together, innovating and pushing boundaries, we transform lives and businesses, and power economic growth around the world.

As a member of the BMO team you are valued, respected and heard, and you have more ways to grow and make an impact. We strive to help you make an impact from day one \xe2\x80\x93 for yourself and our customers. We\xe2\x80\x99ll support you with the tools and resources you need to reach new milestones, as you help our customers reach theirs. From in-depth training and coaching, to manager support and network-building opportunities, we\xe2\x80\x99ll help you gain valuable experience, and broaden your skillset.

To find out more visit us at .

BMO is committed to an inclusive, equitable and accessible workplace. By learning from each other\xe2\x80\x99s differences, we gain strength through our people and our perspectives. Accommodations are available on request for candidates taking part in all aspects of the selection process. To request accommodation, please contact your recruiter.

Note to Recruiters: BMO does not accept unsolicited resumes from any source other than directly from a candidate. Any unsolicited resumes sent to BMO, directly or indirectly, will be considered BMO property. BMO will not pay a fee for any placement resulting from the receipt of an unsolicited resume. A recruiting agency must first have a valid, written and fully executed agency agreement contract for service to submit resumes.

BMO Financial Group