ALM - VPLondon (Remote Working)
Length: 6 months
Overall purpose of role
The role will have a wide focus across ALM supporting the different COEs to ensure that that Interest Rate Risk (IRR) across Barclays Group is reported and managed in line with standards and procedures in place. This role will have a responsibility for managing and supporting the delivery of relevant and timely reporting on IRRBB risk metrics, Funds Transfer Pricing (FTP) and behavioural models as well as executing hedging strategies, preparing data analytics and relevant MIs and improving the control environment under which ALM manages IRRBB.
- Model and TP Execution
- Manage change to the QRM system for the team (ex: Assumption & CPR changes, Planning workflows, Model run books etc.), working with the QRM model team, build the bank team and stakeholders ensuring that change is understood and implemented effectively and efficiently.
- Support onboarding of additional models/business to QRM including UAT and reconciliation; running QRM models if needed and support daily reporting process.
- Manage change (ex: metadata changes, business process config changes) to the FTP system (Polaris) working with the FTP teams and Business stakeholders ensuring that change is understood and implemented effectively and efficiently.
- Support FTP BAU processes.
Balance Sheet Strategy
- Support the execution of key hedging processes e.g. recruitment risk product hedging, Month end product hedging, BUK Mortgages Front book hedging, monthly structural hedging
Rates communication/trades pricing to the business
- Prepare hedge forum packs and monthly Hedging MIs
- Perform monthly prepayment backtesting against actuals
- Delivering dynamic information based on the evolving requirements of key committees (eg ALCo, TC) and working with Finance and product teams on their ALM needs to provide valuable insights to senior management
- Hedge strategy reviews
- Analytical review of structurally hedged positions and formulation of proposals around hedge increases/decreases and changes to duration
- Set the hedge strategy for the Group for fixed rate maturity dated products and agree these strategies with stakeholders across ALM/Risk and the business.
- Support the banking book hedge agenda in a changing rate environment including critical evaluation of all structural hedge positions including assessment of duration, balance stickiness and relationship with product behavioural life
Experience of the risk management activities of Treasury and/or Balance Sheet Management function;
Experience of running and managing changes related to IRRBB (QRM) and FTP systems and processes;
Good understanding of Interest Rate Risk in the Banking Book;
Excellent numeric and analytical skills;
Where will you be working?
London (Remote Working)
Interested and want to know more about Barclays? Visit home.barclays/who-we-are/ for more details.About Barclays
Barclays is a British universal bank. We are diversified by business, by different types of customers and clients, and by geography. Our businesses include consumer banking and payments operations around the world, as well as a top-tier, full service, global corporate and investment bank, all of which are supported by our service company which provides technology, operations and functional services across the Group.Our Values
Everything we do is shaped by the five values of Respect, Integrity, Service, Excellence and Stewardship. Our values inform the foundations of our relationships with customers and clients, but they also shape how we measure and reward the performance of our colleagues. Simply put, success is not just about what you achieve, but about how you achieve it.Our Diversity
We aim to foster a culture where individuals of all backgrounds feel confident in bringing their whole selves to work, feel included and their talents are nurtured, empowering them to contribute fully to our vision and goals.Our Benefits
Our customers are unique. The same goes for our colleagues. That's why at Barclays we offer a range of benefits, allowing every colleague to choose the best options for their personal circumstances. These include a competitive salary and pension, health care and all the tools, technology and support to help you become the very best you can be. We are proud of our dynamic working options for colleagues. Where appropriate, and for UK based roles, we will consider requests that the role be based at alternative Barclays’ key UK location from that advertised.