VP, Funds Transfer Pricing, Group Treasury recruitment
Job Purpose
Optimise the balance sheet from an ALM perspective. Main Accountabilities and approximate time split
FTP Optimisation
• Interaction with clusters on all structural FTP methodological issues
• Development of FTP sensitivity metrics to explain/interpret product performance under different cost of funds environments.
• Liaise with Interest rate risk analytics Group to establish NIM sensitivities for each cluster.
• Assistance in development of Balance Sheet forecasting methodologies to provide a framework for allocating of funding resources across the bank in an efficient manner.
FTP attribution
• Participation in Group wide FTP attribution process.
• Booking and analysis of Group Treasury FTP PL and forecasting of future revenue.
• Assist with the socialization of interim changes required for FTP across the Group.
• Responsibility for driving cross cluster improvements to FTP as mandated by the Group Treasurer
• Establishment of a combined wholesale/retail tenorised balance sheet
• Participate in defining the strategy for transition of FTP onto the QRM system.
Experience
• Highly numerate with a solid understanding of FTP and IRRBB including measurement techniques and hedging strategies