Technical Advisory Expert: Funds Transfer Pricing at IDC

Qualification and Experience

Qualifications

• BCom Finance, Actuarial Science, Financial Economics, Accounting with post graduate degree e.g. BCom (Honours) or an Honours degree in the relevant fields or within the risk management space.

Knowledge and Experience

• The candidate should have at least 08-10 years of relevant local and international experience
• Knowledge and understanding of funds transfer pricing principles as it relates to commercial banks (Banks) and development funding institutions (DFIs) preferably a deep understanding of the fundamental FTP principles for a non-deposit taking institution.
• Practical experience with regards to Asset and Liability Management, Liquidity, Funds Transfer Pricing, Interest Rate Risk in the Banking Book and Capital Allocation.
• A good understanding of the ALM Balance Sheet Manager system and the ability to use it to develop scenarios that can assist the IDC make decisions on its FTP framework.
• Knowledge and understanding of balance sheet optimisation in DFIs with knowledge of the working of a treasury function that does not rely on customer deposits for funding.
• Experience working in the treasury and ALM risk departments of banks and DFIs.
• Experience working in a high-level collaborative and challenging environment.
• Experienced and passionate about working with data to derive meaning and identify trends.

Roles and Responsibilities

• Perform the parallel run of results of current WAC methodology and IDC rate methodology vs the FTP proposed scenarios.
• Perform the parallel run of the scenario that compares the current long term pricing methodology based on 3m jibar to the one based on the swap curve.
• Designing and implementing solutions in a risk calculation engine to satisfy business requirements by ensuring that the ALM Balance Sheet Manager system is configured to price IDC deals
• Provide professional advisory and/or opinion and recommendation of the inclusion of dividend income with the capital adjustment for high NPLs and repo funding benefit as a funding mix in the FTP calculations. This will be supported by the parallel run results.

In collaboration with ALM Balance Sheet Manager (and dependent on availability and system input/analysis):

• Business analysis of parallel run results.
• Overseeing the validity and quality data inputs into a risk calculation engine and managing the implementation of project.
• Analysis of sample positions through the parallel run of the various business scenarios with guidance on the design of the business scenarios.
• Oversight of technical training, documentation and maintenance of data in the FIS FTP module.
• Recommendations on centralised or decentralised FTP structure.
• Full impact analysis of the FTP on the IDC.
• FTP governance framework.
• FTP Policy. Consensus building within the IDC for the FTP framework.
•  Leading and assisting with communicating the FTP framework within the IDC at all levels.
• Recommendations for future improvisation on the FTP framework and other ALM Policies.