Head of EMEA Interest Rate Risk in the Banking Book (IRRBB) - Corporate Treasury

BNY Mellon
London, United Kingdom
Jan 26, 2022
Feb 22, 2022
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Overview Of BNY Mellon:

BNY Mellon is a global investments company dedicated to helping its clients manage and service their financial assets throughout the investment lifecycle. Whether providing financial services for institutions, corporations or individual investors, BNY Mellon delivers informed investment and wealth management and investment services in 35 countries. As of March 31, 2021, BNY Mellon had $41.7 trillion in assets under custody and/or administration, and $2.2 trillion in assets under management. BNY Mellon can act as a single point of contact for clients looking to create, trade, hold, manage, service, distribute or restructure investments. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation (NYSE: BK). Additional information is available on www.bnymellon.com . Follow us on Twitter @BNYMellon or visit our newsroom at www.bnymellon.com/newsroom for the latest company news.

Job Purpose:

The Corporate Treasury Group at BNY Mellon is responsible for managing the investment portfolios and the liquidity and capital positions of the various subsidiary banks and of the Parent Corporation

The position of Head of EMEA IRRBB is responsible for maintaining and enhancing the Interest Rate Risk in the Banking Book (IRRBB) framework across the EMEA Region and applicable entities.

The Head of EMEA IRRBB is based in London and reports to the Head of Balance Sheet Management, International Treasury.


The Head of EMEA IRRBB will be responsible for:
  • Owning the monthly IRRBB review and monitoring process and submissions to legal entity governance forums.
  • Maintain IRRBB Policies across EMEA entities and ensuring that these fulfil regulatory and governance requirements.
  • Ensuring IRRBB analytical framework, metrics and assumptions are compliant with regulatory standards.
  • Oversight and reviewing the reasonableness and accuracy of legal entity EVE and NII metrics and assumptions, in line with business and regulatory expectations.
  • Proposing mitigating actions and optimisation strategies for management of IRRBB metrics in line with risk limits and regulatory constraints.
  • Understanding and delivering explanations to local governance forums around assumptions, output and related actions for IRRBB metrics.
  • Coordinate inputs for baseline balance sheet strategy utilised for earnings related metrics and ensure consistency with legal entity financial plans.
  • Coordinates with the production team on regulatory standards and requirements (including any updates), to ensure that the IRRBB metrics and IRRBB economic capital calculations comply with the regulatory guidance.
  • Addressing IRRBB related Regulatory, Audit or Second Line findings/actions.
  • Keeping abreast of key regulatory developments that are impacting the IRRBB management and process, including advice and analysis of potential impacts.
  • Providing support and input to the ICAAP and High Level Assessment (HLA) from an IRRBB perspective.
  • Support the Head of Balance Sheet Management, International Treasury with ad-hoc projects/deliverables relating to International Treasury e.g. regulatory presentations/requests, strategic initiatives, Board trainings etc.
  • Serves as a subject matter expert and advises more junior professionals on improving their knowledge and how to address more complex or unusual IRRBB issues.
  • Develops approaches for enhancing measurement and reporting of IRRBB MI.
  • Ensuring issues are escalated and cascaded appropriately and support in mitigating any associated risks.
  • Build a good understanding of the governance framework across the regions, including escalation requirements.

  • Bachelor/Master degree or equivalent qualification. Degree in math, engineering, statistics, computational finance or economics preferred. MBA, CFA, or CPA/CA preferred.
  • Extensive banking experience within Treasury or Risk Management function with strong focus on Interest Rate Risk in the Banking Book (IRRBB).
  • Superior organisational skills.
  • Awareness of treasury activities, IRRBB regulations and requirements.
  • Good analytical, project management and report writing skills.
  • Proficiency in MS Office (Excel, Word, PowerPoint).

What we can offer you:
  • Challenging, fun and supportive environment
  • 25 days holiday (in addition to Bank Holidays) plus opportunity to purchase up to 5 extra days
  • Highly competitive benefits package including pension and private medical cover

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