Citi Group CTI Derivatives Analyst - AVP/C12 

United States, New York, New York 

725193302

This is a Desk support role in Citi Treasury Investments (CTI) within Central Funding Desk (CFD). CFD manages a $250bn+ portfolio of USD interest rate derivatives across multiple ASC 815 and marked-to-market hedge programs (Banking Book), in addition to repo monetization activities of the HQLA portfolio. Focus is on trade support and processing, including analytics and reporting for the interest rate risk management activities of the Desk. The role requires active engagement with internal stakeholders such as CTI Portfolio Managers, Asset Liability Management, Accounting Policy, Product Control, Project Management Teams, in addition to assisting with the day-to-day activities of the Desk.

Summary of key responsibilities include:

• Support the Desk with trade processing (interest rate swaps, swaptions, futures, etc.), portfolio monitoring, and analytics; partner with internal stakeholders on a daily basis to advocate on behalf of the Desk
• Monitor the portfolio’s swap capacity, perform key controls for the Desk
• Run pre- and post-trade analytics to measure the impacts of trades across key metrics (e.g., PnL, Economic Value (EV), margin, DV01, total cost analysis, etc.)
• Develop tools to enhance analytics and improve controls
• Support senior management with presentations and other ad-hoc requests
• Stay on top of US rates markets, identify opportunities

Requirements:

• Minimum of 2 years related work experience
• Background in Corporate Treasury function preferred
• Familiarity with 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

Anticipated Posting Close Date:

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