Funding and Interest Rate Risk Analyst - Treasury

Charles Levick Limited
£35k - £45k pa
02 Dec 2016
Job Sector
Finance & Banking
Contract Type
Full Time
My client are a major financial services provider looking for a high calibre candidate to join their Treasury ALM Execution team.

The role is to manage the risk aggregation and hedging process (75%) as well as the funding process (25%) to reduce the interest rate risks arising from the Banking Book businesses and ensure funding and liquidity requirements are met across multiple business units.

The overall book has a large DV01 of and gross derivative balance sheet of several billion, which must be hedged and managed across a large number of currencies within a limit set by Risk in order to minimize P&L volatility to Treasury. The role is responsible for a subset of this overall position, which is managed in total across the whole team

The role covers the following areas:

Market Risk activities and P&L Management

- Appropriate management of the substantial gross DV01 positions within approved limits requiring excellent market and financial instruments knowledge to achieve the optimal risk profile and cost.
- Manage the risk and PnL of the book within all applicable limits (including B and C level DVaR) and in compliance with all relevant Treasury & Bank policies, in order to prevent P&L losses and risk breaches.
- Analysis of the desk P&L, working with Product Control & Hedge Accounting to:

- extract key drivers and develop market related explains.
- determine more efficient hedging strategies to optimise the P&L impact of banking book activity

Execution and process of funding and risk hedging transactions

- Provide best execution to the Banking Book businesses and leverage market knowledge and understanding to design appropriate hedging strategies and ensure business funding needs are met. This will allow to extract unwanted market and liquidity risks from the Businesses and centrally manage these risks in ALME. Achieving this will mean booking internal or external transactions across a number of both derivatives and cash instruments types: including (but not limited to) FX swaps, Cross currency swaps, Interest rates swaps, Basis Swaps, FRAs, loans, deposits and FX Swaps. .
- Execute Capital hedging and P&L sell down activity to minimise any pricing slippage in executing Capital and P&L sell down transactions
- Understand the underlying cash trades driving the risk and devise strategies for appropriate risk management of this position. This requires a good understanding of rates and markets and the best tools to manage risk in these markets considering any regulatory, liquidity, market risk and P&L impacts of hedging or funding decisions
- Understanding of the full life cycle of a trade, to ensure any challenges with bookings experienced on the desk can be overcome in a controlled and thorough manner
- Ability to execute across different trading platforms, currencies and asset classes, in complex and challenging conditions, to ensure thorough coverage of funding and hedging of all Business units supported by ALME. In doing so, leverage knowledge and experience across the Funding & Short Term Investments teams to find synergies and efficiency gains in the way trades are executed
- Support & cover the other currency managers as required, particularly during busy or holiday periods.

Market Knowledge and trading decisions

- Act as an advisor to both internal Treasury businesses e.g. Capital and business teams, sharing knowledge on markets, instruments and economics. This will ensure the decisions made will minimise any costs of hedging and unhedgeable
- Leverage economic knowledge, team discussions and market awareness on rates, currencies and instruments to (i) recommend funding and hedging strategies to senior trader in the teams or desk head and (ii) act as a trusted advisor to stakeholders in Treasury (e.g. Capital, Transfer Pricing) and in the Banking Book business units
- Use broad and comprehensive awareness of the desk's objectives and risk limits to form effective funding and risk strategies, contributing to the ongoing improvement of returns on the desk.
- Ability to take risk

Funding activities

- Funding of the entire Banking Book balance sheet covering the Corporate Banking, Retail, Wealth and Card
- Accurate and timely forecasting of funding requirements to ensure compliance with all regulatory and internal stress requirements and/or metrics (RWA, min cash requirements and reporting requirements e.g. LRA, EMR), considering the future evolution of the firm's balance sheet
- Understand the drivers of the underlying cash positions to develop full comprehension of the balance sheet and ensure the appropriate pricing is applied
- Accurate and timely publication of interest rates to Business units to ensure adequate pricing to clients applies and correct ALM-E P&L and risk management
- Monitoring of changes in Central Bank and Clearer deposit/overdraft rates to ensure Treasury pricing tracks the appropriate benchmarks

Candidate Profile

- Strong Maths capabilities - ideally education with Mathematical focus.
- Demonstrated interest in financial markets, economics and politics
- Interest rate risk measurement, management, and execution, including Structural Hedging
- Knowledge of interest rate markets and products
- Awareness of hedge accounting
- Understanding of Transfer Pricing mechanisms and Treasury, more generally
- Basic knowledge of P&L calculation approaches, both Accrual and MTM, as well as standard Market Risk models such as Earnings at Risk and DVaR.
- Some experience of programming preferable (VBA, SQL)