USD Rates Relative Value Portfolio Manager

Role Overview

We are seeking a USD Rates Relative Value Portfolio Manager with deep expertise in linear RV trading across the U.S. Treasury curve and its derivatives. The role sits beneath a Senior Global Bond RV PM and combines full autonomy over a dedicated sleeve of capital with active idea generation for a larger, highly scaled global rates RV book.

This role is about extracting alpha from curve structure, term premia, and technical dislocations—not macro storytelling and not long-vol heroics. You will run risk independently, trade actively, and contribute scalable, repeatable RV ideas to the core portfolio.

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Key Responsibilities

Independent Portfolio Management

Manage an autonomous USD rates RV sleeve with defined risk limits and direct P&L accountability Construct and manage linear relative value positions across: U.S. Treasury cash bonds Treasury futures Interest rate swaps and swap spreads OIS vs Treasuries Focus on curve, butterfly, spread, and roll-down driven strategies rather than outright directional exposure

Curve & Structure-Based Alpha Generation

Identify mispricings along and between Treasury curves, driven by: Supply/demand imbalances and issuance dynamics Dealer balance sheet constraints Central bank policy expectations and communication Funding, collateral, and basis effects Design trades that exploit: Curve shape distortions Forward mispricing Sector richness/cheapness On-the-run vs off-the-run dynamics Maintain tight discipline around carry, roll, and convexity bleed

Derivatives & Implementation

Use derivatives intelligently to express RV views, including: Futures vs cash Swap vs Treasury spreads IMM and forward-starting structures Optimize trade construction for: Capital efficiency Liquidity Execution cost Manage basis risk between instruments rigorously—no hand-waving allowed

Contribution to the Main Book

Generate scalable linear RV ideas suitable for deployment on the Senior PM’s core Global Bond RV portfolio Provide structured trade recommendations with: Clear entry points Risk limits Expected carry/roll profile Scenario outcomes Actively engage in portfolio-level discussions around curve positioning, net duration, and cross-market alignment

Risk Management & Discipline

Maintain strict controls around: Duration neutrality Curve exposure Concentration by tenor or structure Actively monitor regime shifts (QT/QE, volatility changes, policy uncertainty) and adjust positioning accordingly Conduct rigorous post-trade analysis and drawdown reviews