Head of Treasury Middle Office

Job Purpose

The role is to lead and improve Middle Office control activities for Treasury products, investment products and processes in compliance with policies, procedures, global best practices to provide adequate business support while ensuring sound control framework.

Middle Office unit is primarily responsible for setting policies, procedures and monitoring framework for sourcing and validating market data, valuation methodology, exchanging margin calls with counterparty, overseeing collateral management and reporting.

The incumbent is also responsible for participating in Risk Management and Treasury initiatives along with system enhancements.

Job Accountabilities

·Manage a team who is responsible for ensuring adequate controls and compliance with the bank’s policies and procedures

üSet appropriate policy & procedures and its periodic updating for Middle Office function

üEstablish process to ensure accuracy and appropriateness of market data, valuation methodology used for treasury products including derivatives in coordination with other stakeholders such as Market Risk, Treasury and Finance

üEstablish and ensure policies, frameworks for the bank’s hedge programs, perform hedge effectiveness monitoring and control from a Risk Management perspective.

üMonitor treasury’s exposures, MTM, collateral positions and resolve margin calls with counterparties including resolution of margin call disputes

üOversight of interbank documentation (such as ISDA, CSA etc) setup in treasury system

·Support Risk Management initiatives and system implementation / system upgrades

üLead / participate and timely completion of system enhancement, implementation of new products. This include perform UATs, determine valuation frameworks, work in cross functional groups, and deliver within the timelines

üMeasure and determine appropriate risk factors to set counterparty credit risk limits and ongoing monitoring of exposures

üMonitor the bank’s exposures in investments against the set limits

üCross function training with Market and Liquidity Risk and act as a support to Market and Liquidity Risk

üPerform analysis of limit breaches and timely escalation of breaches to appropriate authorities

·Stakeholder engagement and support

üBuild and maintain a strong working relationship with treasury front office, back office and finance

üMaintain independent control over treasury’s activities

üEnsure consistent outcome across various systems and outputs from treasury transactions

üProvide necessary support to internal auditors, external auditors etc for all Middle Office related queries

Education & Qualification

Post Graduate degree in Quantitative or Finance discipline

Knowledge

·Strong analytical skills with thorough understanding of treasury products including complex derivatives, its applications and applicable valuation methodology and validation of pricing sources

·Sound understanding of counterparty credit risk limit setting framework such as pre-settlement risk, settlement risk and potential future exposure (PFE)

·Solid knowledge of fixed income products, its valuation, price discovery and risk measurements such as duration and DV01

·Advanced knowledge in financial modelling, VBA

·Hands on experience with financial data provider platforms of Bloomberg, Reuters etc

·Knowledge of market & liquidity risks, Basel /regulatory guidelines, and their related application to assess and manage risks

·Experience in Murex system, Oracle -OFSAA and / or its implementation would be desirable

Experience

10+ years in banking and finance with at least 5 years’ experience in treasury function with a Middle Office focus and increasing responsibilities in derivatives valuation and collateral margin calls