Head of Middle Office - London, United Kingdom - eFinancialCareers

eFinancialCareers

Verified Company

London, United Kingdom

3 weeks ago

Posted by:

Tom O´Connor

beBee Recruiter

Description

Responsibilities:
To oversee and validate Daily / Weekly / Monthly Report's outlined below, and provide 2LOD Market Risk reporting for ALCO:

INVESTMENTS

Market to market (MTM) computation and monitoring

VaR - AFS portfolio

VaR - HFT Portfolio VaR - HTM portfolio PV01

Total Appreciation/Depreciation

Modified Duration

Modified Duration Swap adjusted
-
SWAPS

Interest Rate and Cross Currency Swaps:
Section - Hedges against Investment portfolio Section - Hedged for Other Assets / Liabilities Section - Back to Back

Funding swap
Subsidiary:
2LOD Monitoring of the derivatives (Funding Swaps & Cross currency swaps) to

ensure that they are in line with bank's market risk limits and requirements
-
FX/MM
Net Open FX Position NOOP (Live) independent monitor

Net Open FX position (NOOP) End of Day independent monitor, and FX revaluation

Daylight Prop Trading limits (
LMB only) Intraday PL Trading PL monitor (
LMB only)

Rate Scan Report FX and MM

ESDOP - FX currency turnover and Position or PL breach report (
LMB)
-
BANK LIMITS

LMB
Live Treasury Bank Exposures End of Day Bank Exposure report

BEXI - IBG Bank limit monitor and upload;

Subsidiary:
Bank limits to be monitored (when BEXI equivalent tool implemented).
-
LIQUIDITY (
LMB)
IBG Tolerance Test Monitor IBG Contingency Triggers

Overnight Borrowing as a% of Balance Sheet

50% Short Term Assets Not to Exceed 50% Balance Sheet monitor LCR Ratio / Limit monitor

LCR 60, 90, 180 Day projections LCR Stress Test

Liquidity Planning Schedule Asset/Liability Stress test

In our company values we aim for equity at all stages of the recruitment process, please let us know if we can do anything to make the process more accessible to you.