The role supports management of Citi Treasury Investment's (CTI) $250bn USD derivatives portfolio across multiple ASC 815 and marked-to-market hedge programs, as well as repo monetization activities of the securities portfolio. Focus is on interest rate risk management, trade execution, U.S. rates market activities.

The role includes managing relationships with dealers and acting as subject matter expert on USD derivatives (swaps, swaptions, futures) and repo.

Summary of key responsibilities include:
- Manage trade execution, monitor the portfolio capacity, ensure all activities are conducted within triggers/limits, trading mandate, and risk & controls.
- Support management of duration, spreads, basis risks; partner with internal stakeholders on risk transfers and the pricing of trades.
- Run pre- and post-trade analytics to measure the impacts of trades across key metrics (e.g., PnL, Economic Value (EV), margin, DV01, total cost analysis, etc.).
- Stay on top of US rates markets, identify opportunities, and provide recommendations.
- Provide guidance across strategic initiatives, including the creation of new ASC 815 (FASB) hedge programs.
- Develop tools to enhance analytics and improve controls.
- Support senior management with presentations.

Qualifications:

• Minimum of 5 years related work experience
• Background in Corporate Treasury function preferred
• Solid understanding of US Rates Markets and a bank's Asset-Liability function
• Bachelor's degree in a business-focused discipline
• Good people, organizational and communication skills - ability to clearly communicate at senior levels of an organization
• Knowledge of bond math and derivatives pricing
• CFA, programming a plus
• Attention to details and sense of ownership
• Ability to multitask, prioritize and meet deadlines

Education:

• Bachelors degree, potentially Masters degree

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Job Family Group:
Finance
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Job Family:
Balance Sheet Management
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Time Type:
Full time
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Primary Location:
New York New York United States
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Primary Location Full Time Salary Range:
$176,720.00 - $265,080.00

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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Anticipated Posting Close Date:
May 06, 2024
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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 .