Interest Rate Risk Analytics & Reporting (Director, C15) - Non-Trading Market Risk (NTMR) Operations, Treasury Chief Administrative Office (CAO)

Department Description

The Non-Trading Market Risk (NTMR) Operations within Treasury Chief Administrative Office (CAO) is responsible for reporting, analytics and data quality controls related to the firm's Interest Rate Risk on Banking Book (IRRBB) and Credit Spread Risk arising from non-trading book activities (CSRBB).

NTMR Operations' main responsibilities include :

• Perform the monthly IRR reporting and analytics for Citigroup / CBNA as well as +70 IRRBB units at both legal entity and business level
• Lead data error identification, notification and adjustments
• Limit monitoring of IRR metrics
• Design, implement and monitor data quality controls in the IRR platform (RUBY)
• Provide oversight and governance for RUBY data quality and production to ensure it fits for purpose
• Manage the production and execution of the Ruby Data Forum, which increases transparency for critical deliverables and establishing a robust governance process
• Work closely with multiple groups within Treasury, Finance Chief Data Office, FP&A, and Technology to drive improvements in upstream data quality, enhance controls, and ensure successful process execution

Responsibilities

The Interest Rate Risk Analytics & Reporting Senior Group Manager is responsible for oversight, completeness and accuracy of the production of Interest Rate Risk in Banking Book (IRRBB) metrics.

The incumbent will manage a team of +10 FTE's responsible for producing and analyzing IRRBB metrics for Citigroup and CBNA.

Responsibilities include but not limited to :

• Provide oversight of completeness and accuracy of the monthly IRR metrics production. Timely escalation of issues and engage with key stakeholders for proper resolution.
• Provide guidance to the team on IRR analysis. This will include the effects of interest rates on both Net Interest Revenue and Capital for the Interest Rate Risk Banking Book balance sheet.
• Validation of cash flows to explain risk drivers. Analysis of deposit modeling behavior, investment securities, derivatives and loans including mortgages.
• Engage with members of Treasury, FP&A and Finance to explain drivers of variances in interest rate risk measures.
• Enhance the end-to-end IRR reporting and analysis process by identifying potential process improvements and capabilities to increase consistency, transparency, and reliability of accrual interest rate risk reporting and analysis.
• Ensuring correct product risk modeling, data accuracy, and balance sheet forecasting to establish precise factor calculation for Interest Rate Risk Management.
• Ensure delivery of Regulatory tracked Monthly Interest Rate Risk Metrics to Senior Management by T+30
• Ensure compliance with BCBS 239

Qualifications

• Bachelor's Degree plus 10+ years related experience or a master's degree plus relative experience in the financial services industry.
• Experience with Interest Rate Risk and Banking Book products (deposits, loans, debt, investments, derivatives, etc.) a plus.
• Industry qualifications such as CFA, FRM will be a plus
• Highly motivated, proficient Excel / Data analysis and the ability to multi-task.
• Good communication skills

Job Family Group : Finance

Finance

Job Family : Financial Reporting

Financial Reporting

Time Type : Full time

Full time

Primary Location :

New York New York United States

Primary Location Full Time Salary Range :

$170,000.00 - $300,000.00

In addition to salary, Citi's offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards.

Citi offers competitive employee benefits, including : medical, dental & vision coverage; 401(k); life, accident, and disability insurance;

and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.

For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

Anticipated Posting Close Date :

Aug 29, 2024

Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities.

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