Treasury Capital Planning Spot RWA RST & EML Lead - SVP
Join Capital Planning Spot Risk Weighted Assets (RWA) Integrity team within Citi Treasury organization. Treasury Capital Planning (CP) team ensures that Citi has a robust, sustainable, and Spot and Forward-looking capital process. The Spot RWA Integrity team is responsible for ensuring RWA is appropriately identified, calculated and reported adequately taking into account the Bank’s size, complexity, and overall risk profile. Further, the RWA Integrity team provides sole focus on the controls and governance of the Spot RWA production process.
The role is of a senior lead in the RWA Repo Style Transactions (RST) and Eligible Margin Loans (EML) team, which reports into the RWA Integrity RST & EML RWA Exposure Type Lead. The RWA RST & EML team is responsible to ensure accuracy and integrity of RWA calculations and reporting of Standardized and Advanced RWA, and Supplementary Leverage Exposure (SLE).
The senior lead role is of a regulatory capital expert in RST & EML products including Derivative Finance Transactions (DFT), providing critical challenge and driving the diagnostics and remediation of a broad range of regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting. This role provides extensive exposure to colleagues across risk, finance, technology, and line of business functions. Excellent interpersonal skills are required given the high level of interaction with senior managers, as well as the ability to work under pressure to meet tight deadlines. Technical skill is important to the candidate’s success, and so are strong project management and multi-tasking skills to plan and manage deliverables towards a number of objectives.
The Senior Lead will be responsible for:
Managing end to end production, governance and controls of RST & EML (including DFTs) products Standardized and Advanced RWA, and SLE Actuals
Create and build a RST & EML (including DFTs) governance framework, procedures, and operating model
Define, develop and establish attribution and other analytics that can effectively demonstrate exposure, EAD and RWA calculations for RST & EML (including DFTs) products are accurate and commensurate with Citi’s size and complexity. This analysis will include variance analysis period over period are explained (with attribution to exposure and risk factor changes) in a reliable and transparent manner
Responsible for providing RWA strategic analytics, information management across RST & EML (including DFTs) products and reports to senior management.
Responsible for communicating to executive management implications of existing and proposed regulation and developing potential responses. This may include regulations related to specific product or macro / systemic regulation, including standards to comply with Basel III / Basel III Reforms, MiFID, U.S. Fed, Treasury, FDIC and regulations from other central banks and regulatory authorities.
Provide thought leadership and requirements for RST & EML (including DFTs) products analytics using Artificial Intelligence and Machine Learning tools that enhances further transparency to the overall RWA calculations and reporting process
Ensure RWA calculations and Reporting process, Governance and Controls Framework is well-defined, transparent and documented in a comprehensive manner
Define, develop and establish robust control processes that can effectively demonstrate US Basel III regulatory capital requirements for RST & EML (including DFTs) products RWA are applied in an accurate and appropriate manner
Ensure model changes for RST & EML (including DFTs) products are well understood, implemented and tested for regulatory notification and submission. This will include developing insights estimating impacts because of model changes and periodic updates to underlying referential data (e.g. correlation matrices)
Define, develop and establish RST & EML (including DFTs) RWA governance in compliance with the US Basel regulatory rules
Ensure second line of defense RST & EML (including DFTs) products RWA reviews are performed consistently and feedback if any, and comments are addressed in a timely manner
Manage and address RST & EML (including DFTs) products RWA reviews by other control functions such as Internal Audit, Independent Compliance Risk Management, Capital Planning Review Group etc. and feedback if any, are remediated in an appropriate and timely manner
Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of RWA calculation, governance and controls process.
Drive the diagnostics and remediation activities of a broad range of regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting.
Develop senior management-ready materials, particularly RST & EML (including DFTs) RWA analytics presentations to Lines of Businesses, Senior Governance Group, Independent Risk Management, Finance and Regulators
Drive change and influence risk and regulatory outcomes. Provide appropriately conservative solutions from a Regulatory Compliance perspective, in partnership with Business, Risk, and Finance teams
Develop a strong working relationship with Finance, Front Office, Treasury, Technology, Audit, Independent risk and other counterparts across the organization
Bachelor’s Degree in Science, Technology, Engineering and Mathematics (STEM). Master’s Degree preferred.
Minimum 7 years’ experience in related field
Comprehensive understanding of US regulatory capital rules for RST & EML (including DFTs) products credit risk both Basel III and Basel III reforms rules with demonstrated ability to assess the application of those rules vs. regulatory expectations
Strong capital markets product knowledge and analytical experience is required
Strong technical expertise and solid understanding of capital markets products, credit documentation (e.g. credit agreements, GMRA) and complex structures and associated risks (synthetic loans, derivatives)
Full understanding of the lifecycle of RST & EML (bilateral and cleared transactions) and involved in attribution of valuation movements using sensitivity based analysis
Strong understanding of regulatory capital best practices and controls, and interdependencies between Trading Book and Banking Book exposures across different risk stripes
Prior experience implementing Basel RWA rules in large financial institutions preferred
Exceptional oral communication and writing skills, with ability to synthesize complex concepts, and translate into "user-friendly" language for multiple audiences, including senior management, multiple internal constituents and regulators
Experience in managing risks holistically, covering areas such as systems, data, models, regulatory requirements, governance, and analytics
Ability to manage multiple priorities and tasks, work well as part of a team, and strong people and influencing skills
Strong analytical skills, attention to detail, willingness to "roll up sleeves" and produce a polished, high quality, accurate product; tireless work ethic with ability to work well under pressure
Solid Microsoft Excel skills and the ability to develop advanced knowledge of MS Excel and Access (or other database front-end query applications).
Job Family Group:Finance
Job Family:Fin Solutions Dsgn & Implement
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