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IRRBB Reporting Specialist

Employer
Absa Group
Location
Sandton Sandton, Gauteng North Johannesburg, South Africa
Salary
Competitive
Closing date
Dec 7, 2022

View more

Job Role
Financial Accountant
Sector
Finance
Contract Type
Permanent
Hours
Full Time
Bring your possibility to life! Define your career with us

With over 100 years of rich history and strongly positioned as a local bank with regional and international expertise, a career with our family offers the opportunity to be part of this exciting growth journey, to reset our future and shape our destiny as a proudly African group.

Job Summary

Management and reporting of the interest rate risk position of the Groups' banking book under the Structural Hedge and Fixed rate risk management Programme, managed by Treasury. Monitoring of interest rate risk limits, monitoring changes in the structural and fixed risks and hedging effectiveness.

Key Accountabilities:
  • Identify and monitor the Group's interest rate risk exposures centralised in Treasury by understanding and explaining the drivers of changes in all ALM risk metrics.
  • Work closely with the business divisions and data production team to fully understand the product characteristics and explore the expected customer behavior under different assumptions
  • Produce the monthly IRRBB reporting, and any other ALM management information
  • Engage Business to identify and monitor the bank's fixed rate risk exposures. Report risk positions and changes on a monthly basis and agree the hedging activities required with FSTI to mitigate risks and operate within risk limits
  • Lead the production of monthly and ad hoc MI required to explain the fixed rate risk positions arising in RBB, CIB and Treasury. Ensure positions are aligned to Business and Treasury trade books and Finance records.
  • Lead the management of fixed rate risk positions in SA - Explain and monitor the impact of fixed rate risk positions and hedging on IRRBB metrics, advising on monthly movements and escalation of rising risk positions
  • Lead the management of structural risk positions in SA - Explain the impact of the Structural and non-structural non-maturing deposits and related positions arising in RBB, CIB and Treasury, on IRRBB metrics and the Treasury P&L
  • Develop a structural balance outlook to provide a forward looking view of the potential changes and impact on the structural hedge programme
  • Lead the engagement with Treasury FSTI to advise the hedging trades required and ensure internal trade bookings between ALM and FSTI are accurately executed.
  • Review the overall IR swaps and other hedging strategies implemented and work closely with the QRM modelling team to ensure these risk mitigants are appropriately modelled for IRRBB risk measurement
  • Provide support for ALM projects as required.
  • Be aware of Basel IV regulatory developments related to ALM and assist with the analysis of the effects of proposed changes

Role/Person specification

Education and experience required
  • B-degree
  • > 5 years (Technical/Managerial) IRRBB experience
  • > 2 years QRM modelling experience (development and implementation)

Knowledge and skills:
  • Highly numerate with a strong analytical background.
  • Deep expertise in IRRBB risk modelling and hedging strategies
  • Strong experience with senior management reporting, influence and stakeholder management
  • Banking experience in a treasury environment, risk or finance
  • QRM risk modelling experience (not mandatory)

Competencies:
  • Sound attention to detail and diligent in managing processes to a high standard
  • Keen interest in developing technical skills in risk management
  • Good communicator and able to present technical content in a meaningful manner to management
  • Well organised and able to manage multiple responsibilities to deadlines
  • Able to interact efficiently and professionally with business stakeholders.

Education

Postgraduate Degrees and Professional Qualifications: Financial Sciences (Required)

Absa Bank Limited is an equal opportunity, affirmative action employer. In compliance with the Employment Equity Act 55 of 1998, preference will be given to suitable candidates from designated groups whose appointments will contribute towards achievement of equitable demographic representation of our workforce profile and add to the diversity of the Bank.

Absa Bank Limited reserves the right not to make an appointment to the post as advertised

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