Head of ALM

Company Overview:

Prismic Life, a Bermuda-incorporated life and annuity reinsurer, is a growth-oriented reinsurance platform that leverages Prudential Financials' sponsorship and PGIM’s and Warburg Pincus’ market-leading asset management franchises to deliver value for its clients. Prismic Life’s expertise and operational scalability allows us to provide risk and balance sheet management solutions to clients and the opportunity for investors to participate in reinsurance as an investment. The company was launched on September 1, 2023, and currently manages $17B of liabilities from various Prudential-affiliated entities.

As we expand our global footprint from Bermuda to the US and Japan, we seek a Head of ALM and Investment Analytics, to architect our next phase of expansion and position us among the industry’s leading global reinsurers.

Position Overview:

Prismic Life Re, a leading Bermuda-based life and annuity reinsurance company managing multi-billion in assets, is seeking Head of Asset Liability Management (ALM) and Investment Analytics, reporting to the Chief Investment Officer.

The role serves as the enterprise owner of ALM strategy, analytics and governance sitting at the intersection of Investments, Actuarial, Enterprise Risk, Finance, and new business transactions.

The Head of ALM is accountable for liability-driven investment strategy, capital optimization under the Bermuda regulatory framework, portfolio analytics, and investment support for new business transactions, while acting as a key partner to the CIO and broader executive leadership team. This leadership role engages with multiple stakeholders (C-suite, Investment Committee, Transaction Review, Board of Directors, rating agencies, Bermuda Monetary Authority BMA regulators, broker-dealers, reinsurance counterparties) etc.) on strategic asset allocation strategies and derivative overlays to ensure robust enterprise-wide asset liability management.

Key Responsibilities

Enterprise ALM Strategy and Balance Sheet Optimization

• Own and lead the design and execution of liability-driven investment (LDI) strategy for life and annuity reinsurance business with optimal asset allocation mix
• Set strategic direction for duration, convexity, yield curve positioning, spread exposure, ensure adequate liquidity to mitigate policy holder behavior, and prepayment, currency risks
• Advise the CIO / investment committee on portfolio construction, balance sheet resilience, capital efficiency and risk appetite alignment
• Optimize asset allocation to enhance risk-adjusted returns and return on equity while maintaining strong solvency ratio in stressed economic scenarios
• Partner with Finance, Actuarial and ERM on designing and implementing enterprise-wide stress testing and scenario analysis across interest rate, credit spread, equities, volatility, FX, ensuring adequate liquidity / collateral under varied macroeconomic environments.

Transactions & Strategic Deal Leadership

• Serve as the senior ALM and investment representative for flow reinsurance deals and PRT transactions.
• Lead the development of transaction specific investment guidelines within overall risk appetite guardrails
• Serve as a senior investment representative in client discussions regarding portfolio strategy, performance attribution, and capital efficiency.

External Asset Manager Oversight

• Own governance and oversight of third-party asset managers across public fixed income, structured credit, private credit, and alternative asset classes
• Set expectations for mandates are aligned with investment guidelines, risk limits and Bermuda regulatory considerations.
• Monitor 3rd party asset manager investment performance reviews, KPI’s etc.
• Lead manager due diligence, selection, evaluation, and mandates for newer asset classes.

Capital & Regulatory & Risk Alignment

• Partner with Finance and Risk Leadership to optimize capital usage under Bermuda BSCR regime
• Oversee asset allocation decisions to support targeted ECR coverage ratios and maintain prudent buffers above MSM requirements.
• Ensure portfolio construction relative to BSCR risk charges (credit, spread, interest rate, concentration, currency, and liquidity risk) to enhance capital efficiency
• Provide detailed asset valuation and projected cash flow analytics under baseline and stressed scenarios to the Actuarial/ERM teams, supporting CISSA reporting

Investment Modeling, Analytics & Operations

• Own the ALM Modeling framework, including cash flow matching, stochastic projections, : embedded optionality, reinvestment risk, and asset illiquidity assumptions
• Ensure alignment between actuarial liability and asset assumptions and enhance modeling capabilities related to derivatives, structured products, private credit & alternatives.
• Set standards for model validation and governance
• Partner with technology team to enhance investment platforms, including ALM/portfolio management tools, and performance attribution reporting.
• Spearhead advanced technologies including AI tools to streamline investment operations, automate controls and collateral requirements, and enhance productivity/speed in investment decision-making processes.

Governance, Leadership & Stakeholder Management

• Present ALM reviews (transaction activity - purchase/sales, upgrades/downgrades, watchlist, liquidity profile, asset mix, duration gap metrics) at the Investment Committee on a quarterly basis or to the Risk committee / Board, as needed
• Build, lead and mentor a high-performing, productive ALM team using off-the-shelf investment analytics tools across asset classes with an penchant for early warning capability across asset classes leveraging AI / predictive modeling tools
• Act as key liaison between CIO, Chief Actuary, CRO, and CFO.
• Develop investment dashboard capturing performance versus benchmarks and performance attribution watchlist reporting, transaction activity, duration KRD matching, liquidity profile, and capital utilization on a periodic basis

Required Skills and Qualifications:

• 15 - 20 years of progressive experience in life insurance or reinsurance ALM, investment risk management, or insurance asset management.
• Proven experience in owning ALM strategy in complex multi-asset investment portfolios with derivatives overlay across global jurisdictions ($20B AUM).
• Deep expertise in ALM concepts including duration and convexity management, spread risk, liquidity risk and derivative instruments
• Strong understanding of Bermuda regulatory frameworks (BCSR) and insurer balance sheet dynamics
• Demonstrated executive presence with ability to engage Board, regulators, and rating agencies and broker-dealers / reinsurance counterparties
• Ability to translate complex investment and risk concepts into clear, actionable insights for executive and Board audiences

Technical Capabilities:

• Advanced understanding of ALM analytics, KRD’s, credit capital charges, Liquidity risk and collateral Mgmt, derivative overlays (interest rate swaps, swaptions, credit indices, FX hedges), liability driven investments and performance attribution, peer benchmarking
• Strong cross-asset quantitative and financial modeling capabilities and economic capital • Global cross-assets and relative value expertise including fixed income(public, private, EM, Sovereign) structured products ( ABS, RMBS, CMBS), real estate mortgages / equity, private credit, alternatives (infrastructure, PE, Timber, hedge funds etc.), CLO, CDX, vanilla and bespoke derivatives (interest rate, credit)
• Familiarity with actuarial valuation projection systems and investment analytics tools

Leadership Attributes:

• Strategic and commercially astute leader with strong executive presence.
• Ability to integrate investment strategy with deal underwriting / pricing, capital management and enterprise risk appetite.
• Collaborative leader capable of influencing across cross-functional teams - Investments, Actuarial, Risk, IT, Treasury and Finance functions. Compensation
• Ability to prioritize, plan and execute multiple work efforts simultaneously
• Comfortable operating in a fast-paced, entrepreneurial environment, balancing rigor with pragmatism and a “build and scale” mindset
• Bachelor’s degree

Compensation & Benefits

Prismic is required by state specific laws to include the salary range for this role when hiring a resident in applicable locations. The salary range for this role is from $290,000.00 - $350,000.00. Specific pricing for the role may vary within the above range based on may factors including geographic location, candidate experience and skills.

• Competitive salary commensurate with experience.
• Comprehensive benefits package including health, dental, and vision insurance.
• Eligibility for Long term incentives and 401(k) retirement plan savings.