AVP – Treasury Middle Office

Job Purpose

The role is primarily responsible for providing independent treasury middle office oversight over derivative products, integrity of market data, collateral management, Liquidity, FTP & ALM related activities, Limit monitoring and control while maintaining compliance with internal risk management frameworks, regulatory requirements, and approved treasury policies.

The role acts as a key control function between Front Office, Risk, Finance, IT and Operations, ensuring transparency and robustness in valuation and risk measurement process.

Perform pre-deal checks for all treasury derivative transactions, including review of product structures, pricing methodology, model assumptions, market data inputs, limits and approval required prior to trade execution. This will cover Liquidity, ALM (PRRBB) and FTP angles. Pre-Large deal checks on PRRBB/ALM and Liquidity Risk limits and exposures.

Conduct Independent price verification (IPV) for derivative and treasury positions by validating front office valuations against independent market data sources, valuation models and third-party pricing where applicable.

Review, challenge and validate derivative trade valuations across products including FX, Rates, Structured Products, and other treasury instruments, ensuring consistency with approved valuation methodologies in line with valuation policy.

Maintain ownership of valuation models used for treasury and derivatives products, including governance over model methodologies, assumptions, limitation and documentation.

Perform and coordinate periodic validation of valuation models including backtesting, benchmarking, sensitivity analysis, and assessment of model performance.

Monitor ongoing performance of derivative valuation models, investigate valuation movements, explain P&L attribution and escalate model or pricing issues where required.

Review and validate client valuation statements, ensuring accuracy, consistency and internal valuations.

Investigate and resolve valuation differences between Front Office, Risk, Finance and external counter parties, including documentation of findings and corrective actions.

Monitor intraday liquidity and FTP charges and credit applied to business units and investigate any discrepancies in unit profitability due to FTP. Contribute to FTP methods and policies.

Provide oversight on LCR forecast monitoring & other liquidity-related metrics.

Prepare dashboards for Treasury risk & other senior management & ensure compliance with CFP testing.

Support internal and external audits, regulatory reviews and model governance forums by providing documentation, analysis, and responses related to valuation and pricing controls.

Liaise with Front Office, Risk, Finance, Operations, IT and external vendors to enhance valuation frameworks, systems and control processes.

Contribute to enhancement of policies, procedures and SOPs related to pre-deal approval, IPV, valuation governance and derivative risk management.

Provide guidance and support to junior team members and act as a subject matter expert of derivative valuation and pricing controls.

Perform any additional treasury middle office responsibilities assigned by senior management.