Citi Treasury Investments (CTI) within Corporate Treasury manages Citi’s major liquidity portfolios with oversight from Citi’s ALCOs. This involves managing the portfolios to meet all necessary regulatory requirements while achieving attractive risk adjusted returns. The team also conducts hedging and positioning activities for the firm at a global level to protect the firm against long term shifts in the macro environment. CTI’s Capital Markets team manages Citi’s Benchmark Debt issuance and Credit Card Securitization programs. CTI manages AFS and HTM investment securities across a variety of sectors such as US Treasuries, Agencies and MBS, as well as a range of Credit instruments such as Foreign Government Bonds, CLOs, Covered Bonds and others.

In-Business Risk Lead Analyst will support the day-to-day Risk Identification, Measurement, Monitoring and Reporting for the CTI Investment portfolios across MBS, Rates, FXCM and Credit Desks.

The role requires ongoing monitoring of all investments including securities and derivatives with additional responsibility for oversight of the daily EV and Cost to Close profit attribution analysis. The candidate will also be involved in key business initiatives driving implementation of both strategic and tactical solutions on behalf of the business.

Responsibilities:

• Responsible for risk monitoring and analysis for Citi Treasury, working closely with the Treasury Portfolio Managers, Treasury Risk Managers, and Treasury Finance and O&T.
• Partners with members of Treasury, Risk Management, and Finance to establish reporting requirements, develop the tools, analysis and reporting necessary to proactively identify and manage risk with respect to portfolios and products.
• Leads assessment and implementation of appropriate risk and valuation models for CTI portfolios.
• Drives strong Governance over Risk models and engages with other Treasury functions (IRRBB, Liquidity and Capital) to ensure Treasury operates within Risk Appetite.
• Conducts daily, weekly, and or monthly monitoring of Interest Rate Exposure, Economic Value Sensitivity, DV01, duration, convexity, VaR, and MTM.
• Analyzes Limit breaches, provide rationale for excesses and propose new Risk Limits and Triggers to Treasury Risk Management.
• Act as Risk Subject Matter Expert on all Business and Regulatory Transformation projects led by Treasury Global Process Owners.
• Develops a high level of expertise in the various systems Treasury uses to generate Risk and P&L information such as DP, Summit, Yield Book.
• Works with members of the various disciplines to identify ways to streamline and automate process flows in order to create more accurate and timely results, as well as improving efficiency.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Qualifications:

• 3-7 years of experience within financial services or consulting with focus on Interest Rate Risk
• Strong product knowledge of structured securities, debt, derivatives, and funding instruments
• Solid understanding of valuation and risk analytics on securities and derivatives portfolios
• Strong knowledge of Citi risk systems would be beneficial
• Good understanding of a bank’s balance sheet
• Quantitative modeling skills a plus
• Accounting knowledge of FAS133, AFS, HTM, MTM a plus
• Experience communicating with senior managers and program sponsors
• Significant intellectual curiosity and desire to learn how Citi Treasury functions

Education:

• Bachelor’s/University degree, Master’s degree preferred

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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.

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