The role of the Treasury and IRRBB Analyst involves the daily management of the interest rate and FX risk position of the bank’s banking book under the Structural Hedge and Fixed Rate Risk Management Programme, managed by Treasury. This role is also responsible for daily liquidity management and monitoring of interest rate risk limits, observing changes in structural and fixed risks, as well as hedging effectiveness.
Key Accountabilities
- Identify and monitor the bank’s interest rate risk exposures centralized in Treasury by understanding and explaining the drivers of changes in all Asset Liability Management (ALM) risk metrics (Net Interest Income (NII) risk and Economic Value of Equity (EVE) risk).
- Lead the production of the BA610 Interest Rate Risk in the Banking Book (IRRBB) return for the South African Reserve Bank (SARB), ensuring compliance with Basel IV standards.
- Lead the production and management of the monthly analytics required to explain and monitor the core drivers of NII and EVE risk and IRRBB gap risk for the bank.
- Engage with Business to identify and monitor the bank’s fixed rate risk exposures. Report risk positions and changes on a monthly basis and agree on the risk mitigation activities required with Treasury Executive Services (TES) to mitigate risks and operate within risk limits.
- Lead the production of monthly and ad hoc Management Information (MI) required to explain the fixed rate risk positions arising in Retail and Business Banking (RBB), Corporate and Investment Banking (CIB), and Treasury. Ensure positions are aligned to Business and Treasury trade books and Finance records.
- Support the management of fixed and structural rate risk positions – Explain and monitor the impact of fixed / structural rate risk positions and hedging on IRRBB metrics, advising on monthly movements and escalation of rising risk positions.
- Develop a structural balance outlook to provide a forward-looking view of the potential changes and impact on the local risk hedge approach.
- Support engagement with the QRM modelling team and Risk to ensure IRRBB balance sheet and risk positions are appropriately modelled for IRRBB risk measurement.
- Produce BA610 IRRBB return for the SARB, ensuring compliance with Basel IV standards.
Role/Person Specification
Education and Experience Required:
- Bachelor’s degree from a credited University.
- More than 3 years (Technical/Managerial) IRRBB experience.
- More than 3 years QRM modelling experience (development and implementation).
Knowledge and Skills:
- Highly numerate with a strong analytical background.
- Experience in IRRBB risk modelling and hedging strategies.
- Strong regulatory / financial reporting expertise.
- Sound experience with senior management reporting.
- Banking experience in a treasury environment, risk, or finance.
- QRM risk modelling experience.
