Treasury and IRRBB Analyst at Absa Bank Limited

Job Summary

Daily management of the interest rate and FX risk position of the BANK’s banking book under the Structural Hedge and Fixed rate risk management Programme, managed by Treasury. Daily liquidity management and monitoring of interest rate risk limits, monitoring changes in the structural and fixed risks and hedging effectiveness.

Job Description

Key Accountabilities:

• Identify and monitor the BANK’s interest rate risk exposures centralized in Treasury by understanding and explaining the drivers of changes in all ALM risk metrics (NII risk and EVE risk)
• Lead production of BA610 IRRBB return for the SARB, ensuring compliance with Basel IV standards
• Lead the production and management of the monthly analytics required to explain and monitor the core drivers of NII and EVE risk and IRRBB gap risk for BANK
• Engage Business to identify and monitor the bank’s fixed rate risk exposures.  Report risk positions and changes on a monthly basis and agree the risk mitigation activities required with TES to mitigate risks and operate within risk limits
• Lead the production of monthly and ad hoc MI required to explain the fixed rate risk positions arising in RBB, CIB and Treasury.   Ensure positions are aligned to Business and Treasury trade books and Finance records.
• Support the management of fixed and structural rate risk positions  - Explain and monitor the impact of fixed / structural rate risk positions and hedging on IRRBB metrics, advising on monthly movements and escalation of rising risk positions
• Develop a structural balance outlook to provide a forward-looking view of the potential changes and impact on the local risk hedge approach
• Support engagement with the QRM modelling team and Risk to ensure IRRBB balance sheet and risk positions are appropriately modelled for IRRBB risk measurement
• Produce BA610 IRRBB return for the SARB, ensuring compliance with Basel IV standards

Role/Person specification

Education and experience required

• Bachelor’s degree from a credited University
• More than 3 years (Technical/Managerial) IRRBB experience
• More than 3 years QRM modelling experience (development and implementation)

Knowledge and skills:

• Highly numerate with a strong analytical background.
• Experience in IRRBB risk modelling and hedging strategies
• Strong regulatory / financial reporting expertise
• Sound experience with senior management reporting
• Banking experience in a treasury environment, risk or finance
• QRM risk modelling experience