Director, Asset-Liability Management, Bermuda

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Role Purpose

The Director, Asset-Liability Management (ALM) is responsible for leading the ALM function and ensuring effective alignment of assets and liabilities, optimization of the balance sheet, and compliance with Group ALM policies. The role is accountable for SAA design, hedging strategy, and ALM governance across all Prudential entities in Bermuda.

Organization Context

PBIL operates a Bermuda-based insurance (under the entity Prudential Bermuda ISA, Ltd, “Bermuda Direct”) and reinsurance (under the entity Prudential Bermuda Re, ISA, “Bermuda Re”) supporting Prudential Group on High-Net-Worth and Wealth insurance business, capital management and reinsurance optimization.

The ALM function in PBIL is central to maintaining its balance sheet resilience, supporting product innovation and ensuring compliance with Bermuda regulatory requirements.

Key Accountabilities

As the head of the ALM team, the Director, ALM is responsible for leading the team in the following areas:

Research

• Work with the Group ALM team and the local Actuarial team to produce and update the local Capital Market Assumption, with reference to the Group Capital Market Assumption, and potentially reflecting the market intelligence from peers (e.g. to ensure consistent policy illustrations).

Strategy

• Review the new products of Bermuda Direct from an ALM perspective (level of guarantee, embedded policyholder options, structure of non-guaranteed benefits, hedge-ability of risks, etc), and work with the pricing team to establish the initial SAA and hedging strategies to back those products.

• Review the inward reinsurance transactions Bermuda Re from an ALM perspective, and work with the actuarial/reinsurance team to establish the initial SAA and hedging strategies to back those reinsurance liabilities.

• Ongoing review of the SAA and hedging strategies of the shareholder funds and the liability backing portfolios. Seeking the necessary approval from the local Investment and ALM Committee and the local Board. Seek the necessary approval from the Group SAA Panel, Group Investment Committee or Group Capital and ALM Committee.

• If applicable, work with the investment team, external managers, and banks for bespoken structuring for Bermuda capital optimization (e.g. tranche-based rated notes).

• Review the Business Plan from an ALM perspective. E.g. if the target new business and reinsurance transactions assumed in the plan may create too many ALM risks in the balance sheet, whether the risks are hedge-able and whether there is sufficient hedging budgets reflected in the plan.

Implementation

• Work with the investment team and the asset manager (mainly Eastspring) in day-to-day hedging transactions.

• Work with the Group ALM team to generate economic scenarios for regular reporting, actuarial valuation, product pricing and ad hoc actuarial and ALM analysis.

• Work with the investment team to ensure proper implementation of the SAA.

Monitoring and Reporting

• Work with the actuarial team to perform regular monitoring of ALM risks, both in terms of ALM metrics (e.g. effective duration and convexity gaps), as well as in terms of market and liquidity risk stress tests (yield curve movement, credit spread, FX, etc). Work with the actuarial team, investment team, Group ALM and external vendor to improve the quality and timeliness of the ALM monitoring tools.

• Support the Chief Actuary to produce ALM-related reports for statutory (e.g. BMA) filing.

• If applicable, work with the actuarial team, investment team and the asset managers to perform the scenario analysis required for the Bermuda Scenario-Based Approach (SBA) application, as well as the ongoing calculations to support the SBA liability discount rate calculation.

• Advise the Actuarial Modelling team in the modelling of the different asset classes and hedging strategies in the actuarial model. Work with the Actuarial Modelling team for advanced stochastic (or nested stochastic) modelling for supporting advanced / dynamic hedging strategies (e.g. against the disintermediation risk from the Index UL product).

• Work with the Group ALM team, and the local Actuarial and Product teams on the ongoing review of the discretionary policyholder benefits like the Index UL crediting interest rate, index account caps and participating rates, or the Par policyholder bonus (if applicable).

• Prepare the ALM related dashboard and reports for the local Investment and ALM Committee, Board and per request, other local and Group committees.

• Ensure compliance with the Group ALM Policy and Standard.

• Support the ALM-related discussion with external stakeholders (regulators, rating agents, investors, etc.)

Key Stakeholders

• Group Finance (ALM, Investment, Actuarial, Capital Management), Group Risk and Group Product.

• PBIL Board, Investment and ALM Committee, Actuarial, Investment, Finance, Risk, Product and Pricing.

• Relevant regulators and external stakeholders.

Skills and Experience

• Fellow of at least one of the well-known actuarial organizations (e.g. the Society of Actuaries, the Institute and Faculty of Actuaries, or the Actuaries Institute).

• 10-15 years of related work experience in life insurance, consulting, or insurance solution roles in banks or asset managers.

• Extensive ALM experience. Understanding the interactions of the ALM and investment decisions with different Finance and Actuarial metrics including solvency, IFRS earnings, embedded value, and the impact to the liquidity position and policyholder returns.

• Strong knowledge in financial and ALM risk management via derivatives, reinsurance or other alternative risk transfer mechanisms.

• Knowledge of economic scenario generators and actuarial ALM projection and modelling tools.

• Basic understanding of the Bermuda regulatory framework and capital regime.

• Basic understanding of the insurance market in Asia and Bermuda, in particular the insurance products that are commonly used for the high-net-worth clients.

• Proven leadership track record and ability to engage with senior internal and external stakeholders.

• Candidates with less experience may be considered as Senior Manager (SM), ALM.

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