SVP; Transfer Pricing / Balance Sheet Mgnt Sr. Lead Analyst

The Asset and Liability Management (ALM) unit is a centralized function within Citigroup’s Group Treasury and has three primary areas of focus: (1) ALM Policy & Execution (2) Interest Rate Risk Management and (3) ALM Analytics.

The ALM Policy & Execution unit establishes and oversees the policies under which business assets and liabilities are priced based on interest rates and liquidity values, executes various transfer pricing processes, and ensures retained costs and balance sheet in Treasury are minimal through an effective allocation process. The Interest Rate Risk Management function evaluates, analyzes and manages Interest Rate Risk in the accrual businesses for Citigroup. The ALM Analytics function calculates, analyzes, and forecasts NIM and identifies optimization opportunities, allocates capital to Citigroup’s businesses and analyzes interest rate risk exposures.

The ALM function partners extensively with Independent Risk, Citi Treasury Investments (CTI), the Balance Sheet Strategy and Optimization team, the Treasury GPO team, and business, legal entity and regional treasurers.

The position will provide execution capability and analytical analysis relating to Interest rate Transfer Pricing.  This includes managing “actuals” and forecasted transfer pricing across various business segments of CBNA businesses.  Specifically this will cover Interest Rate Transfer Pricing (ITP), Liquidity Premium (LP), Credit Spread allocations and Corporate Treasury Asset Attribution of balance sheet.   In addition, this role will support the long term transformation initiatives within transfer pricing including Balance Sheet Costing initiatives.  The role will also assist in the production of key regulatory reporting being required for Transfer Pricing across CBNA, including the Report on Funds Transfer Pricing.  The role will require strong analytical and critical thinking skills as well as strong communication skills analyze and explain liquidity transfer pricing impacts, including interaction with our various business and Treasury partners & stakeholders.   The ideal candidate will have familiarity with liquidity transfer pricing frameworks and the relevant regulatory requirements (including various internal and regulatory liquidity, balance sheet and capital metrics).  Given the high degree of direct interaction with businesses/stakeholders and the regulatory aspects required, this role will be located in New York City.

Specific Responsibilities:

• Manage, analyze and implement treasury transfer pricing process relating to Interest rate Transfer Pricing, Liquidity Premium and Credit Spread based liquidity charges including but not limited to Non-LCR Deposit Adjustments, TRUPs, Sub debt, and other RWA based charges.
• Provide data/support for key regulatory reporting including Report on Funds Transfer Pricing.
• Allocate the Corporate Treasury balance sheet (Asset Attribution process) including supporting analysis and process development/ improvement.
• Perform analysis of liquidity transfer pricing P&L, including rate and volume impacts and drivers, for selected Businesses.
• Evaluate and improve understand recovery of liquidity costs associated with CBNA and Corp. Chain activities, including relevant analysis of under/over recovery of costs
• Actively manage relationships with Business’ finance and treasury teams on various liquidity transfer pricing related matters.
• Coordinate/participate in liquidity transfer pricing reengineering initiatives and separately, assist in Balance Sheet Costing initiative development.
• Support Plan and CCAR cycle requirements relating to liquidity transfer pricing including business analysis and data validation.
• Assist in LIBOR related liquidity transfer pricing policies and approach, including transition
• Assist in managing transition to new strategic transfer pricing system
• The function partners extensively with Independent Risk, Citi Treasury Investments, the Balance Sheet Strategy and Optimization Team, Interest Rate Risk Management team, and business, legal entity and regional/cluster treasurers. 

Qualifications:

• BS degree in Finance, Economics, Business, Engineering or related fields Required.
• Strong analytical skills.
• Knowledge of key asset liability management principles.
• Transfer pricing theory (incl. Interest Rate risk, Liquidity modeling, and Broker-dealer funding)
• Knowledge of Funds Transfer Pricing (FTP) process and methodologies, Interest Rate Risk (IRR), Rate concepts, Single Yield Curve (SYC) , Pool etc.
• Sound understanding of Balance Sheet Asset classes
• Knowledge of Liquidity metrics and regulations including LCR, NSFR, Internal Stress Tests, NSFR, TLAC, Global Systemically Important Bank (“GSIB”) surcharge.
• Self-motivated with strong quantitative, technology, analytical and communication skills.
• Ability to work independently and under time constraints.
• Prior Citi experience, including knowledge of the Pearl and/or Ruby systems is a plus.
• 10+ years experience.
  

• Intermediate to advanced Excel & SQL skills.
• Good working knowledge of Python
• Strong oral and written communication skills
• Sound understanding and experience with Data Standards, Data Operating model (DOM), Finance taxonomy
• Experience working with Technology. Drive Business and Functional designs for automated solutions
• Experience working with cross functional teams

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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