Treasury Analyst - Balance Sheet Management at Absa Bank Limited

Job Summary

To be responsible for the in-country Balance Sheet Management functions of Asset and Liability Management, Liquidity and Funding, and Capital.

Job Description

Accountability:  LIQUIDITY & FUNDING

Key actions to include:

• Supporting the Head of BSM in managing the banks Liquidity and Funding.
• Ensuring appropriate funding profiles are achieved (diversification of funding base and lengthening of the funding profile)
• Supporting the Head of Balance Sheet Management in compiling an annual funding plan, which is tracked monthly, with a challenge-and-review process against business STP, and RAF forecasts presented at monthly ALCO.
• Monitoring and reporting on adherence to all regulatory and internal funding requirements and limits as maintained by TES.
• Ensuring all behavioral assumptions from a liquidity perspective are in line with Absa Treasury guidelines
• Support Head of Balance sheet Management in setting and monitoring Liquidity Risk Appetite
• Support Head of Balance Sheet Management with liquidity stress testing

Accountability:  ALCO PROCESS

Key actions to include:

• Supporting the Head of Balance Sheet Management in managing the banks ALCO process
• Timely production of the monthly ALCO pack to required standards in conjunction with internal stakeholders (Risk, Finance and Credit)
• Co-ordination of contributions and business proposals on behalf of ALCO members

Accountability:  FUNDS TRANSFER PRICING (FTP)

Key actions to include:

• Supporting the Head of Balance Sheet Management in managing the banks FTP process
• Ensuring FTP guides business (Retail, BB, Corporate and Markets) behavior and immunizes businesses from market risk as far as possible
• Ensuring Absa liquidity premiums are incorporated in all FCY pricing by business 
• Maintaining all pricing assumptions to ensure FTP rates are aligned to, or will align the balance sheet to, required interest rate and liquidity risk profiles
• As part of the NPA process, assign the appropriate FTP rate to new products after assessing interest rate and liquidity behavioral profiles

Accountability:  ASSET & LIABILITY MANAGEMENT (ALM)

Key actions to include:

• Supporting the Head of Balance Sheet Management in managing the banks ALM process
• Achieving an appropriate risk profile within Group standards and risk tolerances by centralizing, netting and hedging all manageable risk via the Treasury Execution Services (TES) desk
• Measuring, analyzing and interpreting interest rate risk in the banking book
• Performing margin compression analysis
• Performing structural analysis and adjustment of all balance sheet items
• Ensuring all behavioral assumptions (including pre-payment assumptions) are in line with Absa Treasury guidelines

Accountability:  CAPITAL MANAGEMENT

Key actions to include:

• Supporting the Head of Balance Sheet Management in managing the bank’s capital position
• Ensuring adherence to Capital Management policies and in-country regulatory and Board approved capital targets
• Engaging with Finance teams to understand balance sheet reconciliation and trends
• Supporting the Head of Balance Sheet Management in compiling a capital plan, which forecasts regulatory and economic capital demand & supply across business units over a 3-year planning horizon while assessing if the forecast capital position meets regulatory and Board approved targets
• Determining capital buffers and performing Cost of Equity calculations in line with Absa Treasury principles and methodology.
• Supporting the Head of Balance Sheet Management in compiling the ICAAP

Accountability:  RISK MANAGEMENT AND REPORTING

Key actions to include:

• Assist to drive the annual planning and review of Treasury STP, RAF and MTP budgets
• Reviewing daily risk and P&L reports

Education

Bachelor`s Degrees and Advanced Diplomas: Financial Sciences (Required)