Citi Group CTI USD Derivatives Analyst - C13/VP 

United States, New York, New York 

543071281

The role supports management of Citi Treasury Investment's (CTI) $250bn+ USD derivatives portfolio across multiple ASC 815 and marked-to-market hedge programs, as well as repo monetization activities of the securities portfolio. Focus is on interest rate risk management, trade execution, U.S. rates market activities.
The role includes managing relationships with dealers and acting as subject matter expert on USD derivatives (swaps, swaptions, futures) and repo. The role also requires active engagement with internal stakeholders such as ALM, Accounting Policy and Product Control.
Summary of key responsibilities include:
- Support trade execution, monitor the portfolio capacity, ensure all activities are conducted within triggers/limits, trading mandate, and risk & controls.
- Support management of duration, spreads, basis risks; partner with internal stakeholders on risk transfers and the pricing of trades.- Stay on top of US rates markets, identify opportunities, and provide recommendations.
- Provide guidance across strategic initiatives, including the creation of new ASC 815 (FASB) hedge programs.
- Develop tools to enhance analytics and improve controls.
- Support senior management with presentations.

Qualifications:

• 3-5 years related work experience
• Background in Corporate Treasury function preferred
• Solid understanding of US Rates Markets and a bank’s Asset-Liability function
• Bachelor’s degree in a business-focused discipline
• Good people, organizational and communication skills – ability to clearly communicate at senior levels of an organization
• Knowledge of bond math and derivatives pricing
• CFA, programming a plus
• Attention to details and sense of ownership
• Ability to multitask, prioritize and meet deadlines

Education:

• Bachelors degree, potentially Masters degree

Anticipated Posting Close Date:

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