ARO Treasury - Senior Specialist Treasury Execution Services at Absa South Africa

Key Accountabilities

Monitoring and Reporting Treasury Investment Approach

• Consider interest rate cycles and advise Investment Committee on revenue enhancement opportunities
• Simulate stress events and advise on impact on entity and Group losses and SARB RWA impacts
• Consider and evaluate timing of switching to HTC portfolios
• Develop and implement appropriate benchmark performance mandates for each country across ARO
• Review and refine benchmark performance mandates as needed
• Ensure entity ALCO approval of methodology and monitoring of performance to benchmark portfolios
• Consider adjustments required based on current and projected economic environment and regulations
• Establish and maintain benchmarking methodology documentation
• Ensure compliance with Group Treasury benchmarking standards and guidelines

Performance Monitoring and Reporting

• Maintain and report on investment asset profiles (tenor, rates, currency)
• Provide monthly reports on actual performance of investment portfolios
• Report on opportunities to enhance performance and potential risks that need to be managed

Governance

• Advise Investment Management Committee of performance to benchmark mandates, performance to plan, and potential performance and risk management enhancements
• Ensure alignment to sovereign risk appetite and support recommendations to relevant governance forums
• Report to Group Non-Traded Market Risk (GNTMR) on portfolio performance, risk sensitivities, and alignment to risk limits
• Report to ARO Treasury Committee on risk appetite alignment, portfolio performance and investment approach.

FX Risk Management

• Assess the impact of FX risk in the banking book
• Consider enhancements to the hedging of FX risk
• Ensure compliance with FXBB policy

Capital Efficiency Management

• Monitor and report on SARB RWA impacts on investment holdings
• Support entities in diversifying sovereign risks and aligning with Group risk limits
• Support entities in planning and interlocking with Group capital management on capital demands

Interest Rate Risk Management

• Collaborate with the IRR management team to assess the impact of interest rate risk
• Consider enhancements to the interest rate risk hedge provided by the investment portfolio

Trading Book Funding Support

• Provide key oversight on the Trading Book funding framework across ARO Treasuries
• Monitor compliance and consider enhancements to the Trading Book funding framework

Education

• Postgraduate Degrees and Professional Qualifications: Financial Sciences (Required)