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Head of Middle Office

eFinancialCareers
Job LocationLondon
EducationNot Mentioned
SalaryCompetitive salary
IndustryNot Mentioned
Functional AreaNot Mentioned
Job TypePermanent , full-time

Job Description

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

  • INVESTMENTS
Market to market (MTM) computation and monitoringVaR - AFS portfolioVaR - HFT Portfolio VaR - HTM portfolio PV01Total Appreciation/DepreciationModified DurationModified Duration Swap adjusted
  • SWAPS
Interest Rate and Cross Currency Swaps:Section 1 - Hedges against Investment portfolio Section 2 - Hedged for Other Assets / Liabilities Section 3 - Back to BackFunding swap Subsidiary:2LOD Monitoring of the derivatives (Funding Swaps & Cross currency swaps) toensure that they are in line with banks market risk limits and requirements
  • FX/MM
Net Open FX Position NOOP (Live) independent monitorNet Open FX position (NOOP) End of Day independent monitor, and FX revaluationDaylight Prop Trading limits (LMB only) Intraday PL Trading PL monitor (LMB only)Rate Scan Report FX and MMESDOP - FX currency turnover and Position or PL breach report (LMB)
  • BANK LIMITS
LMBLive Treasury Bank Exposures End of Day Bank Exposure reportBEXI - 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 TriggersOvernight Borrowing as a% of Balance Sheet50% Short Term Assets Not to Exceed 50% Balance Sheet monitor LCR Ratio / Limit monitorLCR 60, 90, 180 Day projections LCR Stress TestLiquidity Planning Schedule Asset/Liability Stress testIf interested, please apply below. Alternatively, email your CV toIn 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.

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