Treasury Manager, Interest Rate Risk and Quantitative Risk Management (QRM) Framework

Location:

Within the Asset and Liability Management (ALM) Group in the Corporate Treasury Department the IRR team is responsible for the overall measurement, management and monitoring of interest rate risk in the banking book, including the monthly production and reporting of ALM and IRR metrics and outcomes to the Treasury Strategy Committee (TSC), Treasury Risk Oversight Committee (TROC) and the Asset and Liability Committee (ALCO). 

The IRR Treasury Manager will report to the Head of ALM and in addition to providing support to the balance sheet modeling and IRR metrics production process, done in the QRM Framework, via effective review of key assumptions and results, the senior manager will be primarily responsible for leading the team of junior managers and analysts in leveraging the produced IRR metrics and results to develop and deliver standard as well as bespoke scenarios and ad hoc analysis, and produce insights and recommendations to inform strategy and decisioning on IRR management. This senior position is also responsible for analysis, insights and reporting on balance sheet NII/NIM and working in close collaboration with Key’s financial forecasting and reporting process performed by the ALM Production team in consultation with FP&A

A core area of strategic focus will be enhancing the quality, sustainability and content curation of the reporting and presentation materials, including performing analysis to understand and explain drivers, variances, and trends to enable agile forward-looking monitoring of IRR exposures and ALM positions. The senior manager will provide thought leadership and execution oversight in developing and delivering insights to inform strategy and decisioning on IRR management and effective communication to the Board, Regulators, ALCO, TROC and other business partners and stakeholders, including Investor Relations and Business heads.  The role will also support robust IRR governance through supporting the IRR Models and Methodologies team in the development and maintenance of relevant model assumptions, documentation and production controls and via collaboration with oversight groups including Corporate Treasury Oversight (2nd Line of Defense or Independent Risk), Model Risk, and Risk Review (3rd Line of Defense) . This position also works closely with other groups in Treasury and Finance, including Funding, Liquidity, Capital, Market Strategy, FP&A, and Line of Business Finance.

IRR models and outputs include Net Interest Income at Risk, Economic Value of Equity at Risk, Forward Valuation of swaps and investments, balance sheet runoff cash flows, and Commercial Mortgage Servicing Rights Valuation. The role is also responsible for the assessing, analysis and presentation on IRR scenarios, drivers and impacts from balance sheet modeling for the annual Capital Plan / CCAR process.

ESSENTIAL JOB FUNCTIONS

·         Manage monthly production and reporting of ALM and IRR metrics and outcomes to the TSC, TROC, ALCO and presentation materials for the Board, Regulators and Investor Relations

·         Leverage tools and analytics to develop meaningful analysis to assess and manage interest rate risk in the banking book, including duration risk, yield curve, optionality risk and basis risk

·         Perform analysis to inform and advise on Board risk appetite and limit setting approval

·         Perform attribution analysis and drive key insights on drivers, variance and trends in monthly NII@Risk and EVS metrics

·         Manage interest rate risk by measuring exposure and recommending balance sheet positioning and hedging strategies.

·         Thought leadership and active engagement in enhancing interest rate path and shock scenarios, including non-parallel rate shocks, alternative scenarios and stress testing

·         Develop and execute quarterly scenario analysis to assess and inform on interest rate strategy and ALM operating range management in partnership with IRR Production and Treasury Portfolio & Investments team

·         Manage the creation of high quality presentation materials with relevant content, visualization and insights and narratives simplifying complex topics.

·         Review outcome and lead analysis for quarterly/semi-annual/annual stress tests within the net interest income framework.

·         Aggregate and test key model assumptions, including interest rate scenarios, prepayment assumptions and new business volume pricing.

·         Assist in review and validating new data sources, assumptions, and results  produced by the IRR Production and Forecasting team

·         Work with internal oversight groups including Model Risk and Corporate Treasury Oversight

·         Part of Treasury ALM senior leadership with setting direction and priorities for the team, meeting interest management and reporting responsibilities while seeking out opportunities for continuous improvement, monitoring and controls in strategy and reporting of IRR

 
REQUIRED QUALIFICATIONS

·         Knowledge with ALM cash flow modeling software QRM Framework

·         12-15 years of relevant Treasury, Financial Risk Management and Finance experience in Banking or Financial Services

·         Excellent communication and internal partnering skills for this leadership position

·         Demonstrated knowledge of Banking book IRR management and ALM is a differentiator

·         Bachelor’s Degree, preferably in STEM, Finance, Economics and Accounting is required. Masters Degree is preferred

COMPETENCIES/SKILLS

·         This is senior role with high visibility and potential for regular interaction with senior executives at the firm including Treasurer, CFO, CRO and ALCO and a terrific opportunity to build network across the bank with Finance, Risk and Lines of Business

·         Thought leadership and influencing skills to inform and advise on the direction on the strategic areas of Treasury balance sheet management and ALM for the bank

·         Practical hands-on experience working at Large or Regional bank Corporate Treasury or Treasury Risk Management function

·         Excellent partnering skills with fellow Treasury leaders and peers in ALM, Liquidity, Capital, Funding and Investment desks

·         Strong knowledge of Banking business models, and relevant prudential regulations requirements, issues, and challenges

·         Leadership skills and stakeholder management, including effective delegation and decisioning to coordinate team tasks and execution

·         Creative thinker with excellent problem-solving capabilities

·         Strong analytical skills and experience leveraging data and quantitative analytics tools and software

COMPENSATION AND BENEFITS

This position is eligible to earn a base salary in the range of $120,000 to $150,000 annually depending on location and job-related factors such as level of experience. Compensation for this role also includes eligibility for short-term incentive compensation and deferred incentive compensation subject to individual and company performance.

Please click here for a list of benefits for which this position is eligible.

Key has implemented a role-based Mobile by Design approach to our employee workspaces, dedicating space to those whose roles require specific workspaces, while providing flexible options for roles which are less dependent on assigned workspaces and can be performed effectively in a mobile environment. As a result, this role may be Mobile or Home-based, which means you may work primarily either at a home office or in a Key facility to perform your job duties.

KeyCorp is an Equal Opportunity and Affirmative Action Employer committed to building a diverse, equitable and inclusive culture. All qualified applicants will receive consideration for employment without regard to race, color, religion, sex, sexual orientation, gender identity, national origin, disability, veteran status or other protected category.

Qualified individuals with disabilities or disabled veterans who are unable or limited in their ability to apply on this site may request reasonable accommodations by emailing HR_Compliance@keybank.com.

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