BALANCE SHEET MANAGER - CITI TREASURY INVESTMENTS JOB DESCRIPTION SUMMARY The Central Funding Desk (CFD) manages the USD derivatives book and intercompany funding activities of Rates Portfolio Management (RPM) within Citi Treasury Investments (CTI). CFD's overall mandate is to oversee various FASB and MTM hedge programs (interest rate), as well as funding products and activities, and manage interest rate risk. The role will help manage Citi Treasury's basis exposures originating from structural positions in the balance sheet, as well as transfer pricing, internal/third-party funding, and hedging activities. The candidate will also oversee Citi Treasury's collateral from HQLA portfolios. The role is an integral al part of the interest rate risk management function within Citi Treasury which seeks to improve the safety and soundness of the balance sheet via initiatives and special projects. RESPONSIBILITIES

• Monitor the firm's basis exposures, ensure activities remain within risk limits and triggers, develop strategies to manage balance sheet risks, provide recommendations
• Monitor Citi Treasury's collateral from HQLA portfolios, partner with stakeholders to ensure management of collateral complies with various regulatory and liquidity requirements
• Develop and maintain analytical models to calculate PnL, risk and profit attribution analysis
• Manage execution of interest rate swaps and repo transactions, manage relationship with dealers
• Collect market color, develop market views, and communicate hedging strategy to Desk Head
• Partner with balance sheet managers on key business initiatives and projects to meet regulatory demands and strategic business objectives (e.g., Libor transition)
• Lead in maintaining good governance and controls across all desk activities

QUALIFICATIONS

• Minimum of 5 years related work experience
• Background in Corporate Treasury function preferred
• Solid understanding of US Rates Markets and a bank's Asset-Liability function
• Bachelor's degree in a business-focused discipline
• Good people, organizational and communication skills - ability to clearly communicate at senior levels of an organization
• Knowledge of bond math and derivatives pricing
• CFA, programming a plus
• Attention to details and sense of ownership
• Ability to multitask, prioritize and meet deadlines

JOB FAMILY GROUP: Finance JOB FAMILY: Balance Sheet Management TIME TYPE: Full time Citi is an equal opportunity and affirmative action employer. Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran. Citigroup Inc. and its subsidiaries ("Citi") invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review ACCESSIBILITY AT CITI. View the "EEO IS THE LAW" poster. View the EEO IS THE LAW SUPPLEMENT. View the EEO POLICY STATEMENT. View the PAY TRANSPARENCY POSTING Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.

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