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Treasury Balance Sheet Management Group – Balance Sheet Mgmt Ld. Analyst, AFS/HTM Stress Testing

Job Req ID 23607175 Location(s) New York, New York; O'Fallon, Missouri; Jacksonville, Florida Job Category Finance
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The Balance Sheet Management (“BSM”) unit is a division within Treasury, and is part of Citigroup’s broader Finance organization. Balance Sheet Management’s specific responsibilities cover five key areas:

  • Asset and Liability Management (ALM):
    • FTP Governance & Execution: establishes and oversees the policies under which business assets and liabilities are priced based on interest rates and liquidity values; executes various firm-wide transfer pricing processes; and ensures retained costs and balance sheet in Treasury are minimal through an effective allocation process
    • Interest Rate Risk Management: evaluates, analyses, and reports Interest Rate Risk in the accrual businesses for Citigroup
    • Balance Sheet Analytics & Management: conducts analytics related to the firm’s balance sheet, NIR/NIM and associated financial metrics to drive financial resource allocations, and leading on internal and external communication of the strategy and performance of the balance sheet
  • Capital Management & Portfolio Analytics: Proposes Capital Policy design to Capital Committee including capital targets and buffers, and manages capital distribution strategy; designs the methodologies for allocating capital limits and attributing capital usage to businesses; and leads the design and delivery of portfolio management reporting and analytical capabilities to support Treasury’s securities portfolios.
  • Balance Sheet Costing (Infrastructure): Leads the design, development, and implementation of the firm’s Funds Transfer Pricing system.
  • Balance Sheet Costing (Methodology): Leads cross-functional working groups to design and evolve Balance Sheet costing frameworks and methodologies, which flow into the attribution of resource costs / benefits across users/providers of balance sheet resources.
  • Asset Allocation: Designs and manages Treasury’s allocation process on security portfolio strategy for Citi’s $400bn+ global liquidity portfolios. The team also performs the review and challenge of the Stress Testing results for securities portfolios, and oversees model governance for models related to valuation and forecasting of AFS/HTM asset classes.

The successful candidate will join the Asset Allocation team and will participate as a subject matter expert in the Stress Testing/business planning review and challenge process for Citi’s AFS/HTM Investment portfolio.

Key Responsibilities

  • Performing a SME role within AFS/HTM Workstream during the firm-wide stress testing (CCAR/DFAST) exercise
  • Conducting the first line review and challenge of stress testing results, including:
    • OCI forecast of AFS/HTM fixed income instruments under FAS115 (ASC 320)
    • OCI forecast of fair value and cash flow hedging instruments under FAS 133 (ASC 815-20)
    • OCI forecast of translation of foreign capital and its cost of hedge under FAS 52 (ASC 830)
    • Forecast of current estimated credit losses (CECL) under ASC 326
  • Participating in design of portfolio analytics, including the development of prototype financial models and tools to better understand and forecast the drivers of financial and risk metrics.
  • Performing necessary periodic governance and documentation procedures, including presentation to the Senior Governance Group and AFS/HTM CCAR Methodology Document
  • Provide cross-team support to the model governance and asset allocation team related to the ongoing model performance monitoring and stress related performance of various asset classes.
  • Assist in coordinating and liaising with businesses and functions to educate and garner support for project initiatives.
  • Contribute and support other cross-group projects and initiatives.

Experience & Qualifications

  • Three or more years of previous experience working in the finance industry.
  • Minimum Bachelor’s degree in a quantitative-focused discipline.
  • Knowledge of financial instruments and products including an awareness of bank regulation, accounting, valuation techniques and risk measurement.
  • Analytical background with problem solving skills and an ability to assimilate information across a variety of financial disciplines.
  • Strong interpersonal and communication skills, both oral and written, with the ability to converse with a wide variety of people across functions / seniority.
  • Experienced in the use of Microsoft Office applications (Excel, PowerPoint and Word).
  • Coding knowledge such as SAS, SQL, VBA and Python, as well as working experience with SharePoint, will also be an advantage.
  • High energy, self-starter with a flexible and pragmatic attitude and a desire to show continued progress.

Exceptional candidates who do not meet all of the criteria may be considered for the role.


Job Family Group:



Job Family:

Balance Sheet Management


Time Type:

Full time


Primary Location:

New York New York United States


Primary Location Salary Range:

$137,610.00 - $206,420.00


Citi is an equal opportunity and affirmative action employer.

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.

Citigroup Inc. and its subsidiaries ("Citi”) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

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Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

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