Lead - Treasury - Middle Office - Bank

Lead - Treasury - Middle Office (CA/MBA)

I. ROLE PURPOSE & OBJECTIVE:

- Oversee the activities of treasury middle office and provide directions to team members to ensure compliance to internal policies and guidelines.

- Provide inputs to CRO in assessing the risk profile of treasury operations and overall liquidity profile of the Bank and provide timely and accurate reports.

- Review, check and ensure all internally executed deals are processed within the framework of the Bank's policies, procedures and the regulatory environment.

II. KEY DUTIES & RESPONSIBILITIES OF THE ROLE:

Business/ Financials:

- Responsible for oversight and implementation of Treasury, ALM and Risk Management systems and interact closely with the vendors and implementation partners.

- Provide inputs to CRO in assessing the risk of all new products, fixing of limits and amendments to the relevant policies

- Assess the effectiveness of the Bank's Contingency Funding Plan, evaluate the test results and provide critical comment on enhancement to ensure preparedness of the Bank in a contingency.

- Prepare and recommend the department's budget by preparing analysis and data related to specific elements as directed

- Analyze and provide reports to CRO about daily trading P&L of the Bank, issuer wise, counterparty wise exposures, and the risk taken by the bank including drafting of reports and recording minutes of ALCO, Investment committee etc.

- Oversight on daily computation of CRR and SLR maintenance

- Propose and implement procedures and controls covering all activities of treasury middle office so that all relevant procedural/legislative requirements are fulfilled

- Provide direction and supervise the responses to RBI AFI observations, Audit observations and periodic submissions under RBS requirement.

Customer:

- Adhere to Service Level Agreements and Turnaround time defined for Treasury middle office operations.

Internal Process:

- Check the valuation of investment portfolio, computation of MTM and profit & loss of Treasury desk.

- Check the valuation of Domestic portfolio on a monthly basis to have correct risk measurement, monitoring and reporting in place

- Oversee the preparation of intra-day rate scans and flag exceptions based on pre-defined variances to the appropriate authorities

- Liaison with Front office for market analysis and determining reasons for breaches; share ratifications with CRO

- Review and recommend all the limits mentioned in the Investment Policy and Limit Management Framework on a daily basis and report to CRO; follow-up on action taken on limit breaches on a daily basis

- Prepare and periodically review market risk related policies and methodologies for valuation of investment portfolio products

- Validate models on a half-yearly basis to review whether the input data and assumptions used for computation of capital charge are appropriate, modelling methodology is adopted and perform back testing of models to compare the results

- Build scenarios and carry out stress testing on trading portfolio of the bank and the contingency funding plan

- Review the submission of half yearly submission of Investment review to Reserve Bank of India

- Evaluate and provide recommendations for replacement of securities to preserve the yield in the HTM book after an OMO or after transfer of securities;

- Evaluate the liquidity situation in the Bank on a continuing basis, and provide critical input to CRO on funding mix, maturity profile, duration, keeping an overall perspective of the impact of such measures on all regulatory ratios.