Citigroup Treasury Capital Planning Spot RWA Trading Book and Non-Trading Book Securitization Lead in Queens, New York
Join Capital Planning Spot Risk Weighted Assets (RWA) Integrity team within Citi Treasury organization. Treasury Capital Planning (CP) team ensures that Citi has a robust, sustainable, and Spot and Forward-looking capital process. The Spot RWA Integrity team is responsible for ensuring RWA is appropriately identified, calculated and reported adequately taking into account the Bank’s size, complexity, and overall risk profile. Further, the RWA Integrity team provides sole focus on the controls and governance of the Spot RWA production process.
The role is to lead the Spot RWA Trading Book (TB) and Non-Trading Book (NTB) Securitization team, which reports into the Head of RWA Integrity. The Spot RWA TB & NTB Securitization team is responsible to ensure accuracy and Integrity of RWA calculations and reporting of Standardized and Advanced RWA, and Supplementary Leverage Exposure (SLE). The lead role is of a regulatory capital expert in TB & NTB Securitization products, providing critical challenge and driving the diagnostics and remediation of a broad range of regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting. This role provides extensive exposure to colleagues across risk, finance, technology, and line of business functions. Excellent interpersonal skills are required given the high level of interaction with senior managers, as well as the ability to work under pressure to meet tight deadlines. Technical skill is important to the candidate’s success, and so are strong project management and multi-tasking skills to plan and manage deliverables towards a number of objectives.
The Spot RWA TB & NTB Securitization Team Lead will be responsible for:
Managing end to end production, governance and controls of TB & NTB Securitization products Standardized and Advanced RWA, and SLE Actuals
Manage a team of TB & NTB Securitization products expert and provide oversight to Shared Services team supporting RWA operations and production of TB & NTB Securitization
Create and build a TB & NTB Securitization governance framework, procedures, and operating model
Define, develop and establish attribution and other analytics that can effectively demonstrate exposure, EAD and RWA calculations for TB & NTB Securitization product are accurate and commensurate with Citi’s size and complexity. This analysis will include variance analysis period over period are explained (with attribution to exposure and risk factor changes) in a reliable and transparent manner
Responsible for providing RWA strategic analytics, information management across TB & NTB Securitization products and reports to senior management.
Responsible for communicating to executive management implications of existing and proposed regulation and developing potential responses. This may include regulations related to specific product or macro / systemic regulation, including standards to comply with Basel III / Basel III Reforms, MiFID, U.S. Fed, Treasury, FDIC and regulations from other central banks and regulatory authorities.
Provide thought leadership and requirements for TB & NTB Securitization products analytics using Artificial Intelligence and Machine Learning tools that enhances further transparency to the overall RWA calculations and reporting process
Ensure RWA calculations and Reporting process, Governance and Controls Framework is well-defined, transparent and documented in a comprehensive manner
Define, develop and establish robust control processes that can effectively demonstrate US Basel III regulatory capital requirements for TB & NTB Securitization products RWA are applied in an accurate and appropriate manner. Specifically, for TB and NTB Securitization establish controls to track, monitor and analyze SFA and SFA manual uploads for appropriateness of risk factors and tranche structures
Ensure model changes for TB & NTB Securitization products are well understood, implemented and tested for regulatory notification and submission. This will include developing insights estimating impacts because of model changes and periodic updates to underlying referential data (e.g. servicer reports)
Define, develop and establish TB & NTB Securitization RWA governance in compliance with the US Basel regulatory rules
Ensure second line of defense TB & NTB Securitization products RWA reviews are performed consistently and feedback if any, and comments are addressed in a timely manner
Manage and address TB & NTB Securitization products RWA reviews by other control functions such as Internal Audit, Independent Compliance Risk Management, Capital Planning Review Group etc. and feedback if any, are remediated in an appropriate and timely manner
Identify potential process improvements and capabilities to increase consistency, transparency, and reliability of RWA calculation, governance and controls process.
Drive the diagnostics and remediation activities of a broad range of regulatory capital calculations that encompass governance, data and non-data controls, processes, system implementation and regulatory reporting.
Develop senior management-ready materials, particularly TB & NTB Securitization RWA analytics presentations to Lines of Businesses, Senior Governance Groups, Independent Risk Management, Finance and Regulators
Drive change and influence risk and regulatory outcomes. Provide appropriately conservative solutions from a Regulatory Compliance perspective, in partnership with Business, Risk, and Finance teams
Develop a strong working relationship with Finance, Front Office, Treasury, Technology, Audit, Independent risk and other counterparts across the organization
Partnering with Multi Asset Quantitative Analytics (MAQA) and Line Risk Management, develop and manage quantitative analysis to support Citi’s compliance to the Securitization RWA rules and regulations
Bachelor’s degree in Science, Technology, Engineering or Mathematics (STEM). Master’s degree preferred
10+ years’ experience in related field
Comprehensive understanding of US regulatory capital rules for TB & NTB Securitization products both Basel III and Basel III reforms rules with demonstrated ability to assess the application of those rules vs. regulatory expectations
Strong capital markets product knowledge and analytical experience is required. In-depth knowledge of Basel International framework and US Final Basel requirements specifically for Securitization exposures
Strong technical expertise and solid understanding of capital markets products, credit documentation (e.g. credit agreements, servicer reports) and complex structures and associated risks (synthetic loans, derivatives)
Performing quantitative analysis and assess relevancy of the key risk weight parameters such as Probability of Default, Loss Given Default, Delinquency ratio under SFA and SSFA regulatory capital rules
Full understanding of the lifecycle of TB & NTB Securitization and involved in attribution of valuation movements using sensitivity based analysis
Strong understanding of regulatory capital best practices and controls, and interdependencies between Trading Book and Banking Book exposures across different risk stripes
Prior experience implementing Basel RWA rules in large financial institutions preferred
Ability to define, articulate and re-engineer complex processes and procedures, with appropriate controls, and think both strategically and tactically while driving meticulous execution
Exceptional oral communication and writing skills, with ability to synthesize complex concepts, and translate into "user-friendly" language for multiple audiences, including senior management, multiple internal constituents and regulators
Experience in managing risks holistically, covering areas such as systems, data, models, regulatory requirements, governance, and analytics
Strong analytical skills, attention to detail, willingness to "roll up sleeves" and produce a polished, high quality, accurate product; tireless work ethic with ability to work well under pressure
Solid Microsoft Excel skills and the ability to develop advanced knowledge of MS Excel and Access (or other database front-end query applications).
This job description provides a high-level review of the types of work performed. Other job-related duties may be assigned as required.
Job Family Group:
Fin Solutions Dsgn & Implement
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