Vice President, Liquidity Transfer Pricing Lead An job in Long Island City, NY| Recruit Arrow
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Title
Vice President, Liquidity Transfer Pricing Lead An
Location : New York, Long Island City
Refer job # MRSJ336692
 
Job Responsibilities and Requirements: The ALM Policy & Execution unit establishes and oversees the policies under which business assets and liabilities are priced based on interest rates and liquidity values, executes various transfer pricing processes, and ensures retained costs and balance sheet in Treasury are minimal through an effective allocation process. The Interest Rate Simulation function designs forecasting models and, where necessary, Alternative Forecasting Approaches (AFA) for Pre-Provision Net Revenue (PPNR) and Net Interest Margin (NIM). The ALM Analytics function calculates, analyzes, and forecasts NIM and identifies optimization opportunities, allocates capital to businesses and analyzes interest rate risk exposures. Balance Sheet Management group manages overall balance sheet relating to actuals, Plan cycles and CCAR cycles. The ALM function partners extensively with Independent Risk, Treasury Investments (CTI), the Treasury GPO team, and business and legal entity treasurers. The position will provide execution capability and analytical analysis relating to Liquidity Transfer Pricing from corporate treasury. This includes actuals bookings and forecasts across various business segments. Specifically this will cover Liquidity Premium (LP), Credit Spread allocations and Corporate Treasury Asset Attribution. In addition, this role will support the long term transformation initiatives within ALM (Balance Sheet Costing Initiative). The role will also assist in the production of key regulatory reporting being required for Transfer Pricing across CBNA (Report on Funds Transfer Pricing). The role will require strong analytical and critical thinking skills. Strong communication skills will also be required to explain liquidity transfer pricing impacts and interact with our various business and Treasury partners & stakeholders. The ideal candidate will have some familiarity with transfer pricing framework, systems (RUBY, CALM, Pearl, Summit & Jade) and the relevant regulatory requirements (Funds Transfer Pricing ( FTP ), Liquidity Premium ( LP ), Liquidity Coverage Ratio ( LCR ) framework, Total Loss Absorbing Capacity ( TLAC ), and Net Stable Funding Ratio ( NSFR )). Given the high degree of direct interaction with businesses/stakeholders and the regulatory aspects required, this role will be located in New York City. Specific Responsibilities: Execute corporate treasury transfer pricing process relating to Liquidity Premium and Credit Spread based liquidity charges including but not limited to Non-LCR Deposit Adjustments, TRUPs, Sub debt, and other RWA based charges.Provide data/support for key regulatory reporting including Report on Funds Transfer Pricing.Allocate the Corporate Treasury balance sheet (Asset Attribution process) including supporting analysis and process development/ improvement.Perform analysis of liquidity transfer pricing P&L, including rate and volume impacts and drivers, for selected Businesses.Actively manage relationships with Business finance and treasury teams on various liquidity transfer pricing related matters.Coordinate/participate in liquidity transfer pricing reengineering initiatives and separately, assist in Balance Sheet Costing initiative development.Support Plan and CCAR cycle requirements relating to liquidity transfer pricing including business analysis and data validation. The function partners extensively with Independent Risk, Treasury Investments, the Balance Sheet Management Team, the RUBY team, and business and legal entity treasurers. BS degree in Finance, Economics, Business, Engineering or related fields. Strong analytical skills.Knowledge of key asset liability management principles.Transfer pricing theory (incl. Interest Rate risk, Liquidity modeling, and Broker-dealer funding) Knowledge of Liquidity metrics and regulations including LCR, NSFR, Internal Stress Tests, NSFR, TLAC, Global Systemically Important Bank ( GSIB ) surcharge.Self-motivated with strong quantitative, technology, analytical and communication skills. Ability to work independently and under time constraints. Prior experience, including knowledge of the Pearl and/or Ruby systems is a plus. 5 years experience.
 
 
 
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