FUNCTION: A Senior Asset/Liability Strategist will assist the ALM team in developing highly technical analysis of the corporation’s interest rate risk. A Senior Asset/Liability Strategist will assist the A/L Manager and Treasurer in developing balance sheet strategies to enhance earnings while appropriately managing risk.
Assume a leadership role in building the monthly asset/liability model to accurately forecast the Bank’s net interest income and market value profile.
Responsible for prepayment analysis, monitoring, and reporting to improve model precision. This position is responsible for making model prepayment adjustment recommendations.
Assume primary responsibility for prepayment estimates used for mortgage loans originated for the balance sheet.
Review and recommend changes for all model inputs including but not limited to: spread assumptions, cash flow structure, maturities, optionality, credit, forecasts, deposit decay, and accounting adjustments to ensure model accuaracy.
Assume primary responsibility for assigned balance sheet accounts in ALM model and accuracy of those accounts. Responsibility includes strategy development, forecasting, back-testing, and model development.
Assist ALM Group in development and management of Treasury’s forecast for the entire Bank.
Assume primary responsibility for Treasury’s review of all fixed rate commercial loans, tax-exempt transactions and all fixed rate loan prepayment management.
Play an active role in building the Asset/Liability Group’s analytical and reporting capabilities to provide the basis for active, profitable management of the balance sheet. Create and keep historical databases (spreads, volumes, prepayments etc.) of factors used to create modeling assumptions. Maintain documentation supporting assumptions.
Consistently work to improve the Bank’s capabilities to analyze earnings and market value risk and return profile, and thus improve the performance of Treasury and the Bank. Serve as a source of, actionable, forward-thinking analytics that drive the development of successful balance sheet strategies to manage the Bank’s risk position. Communicate complex financial issues in a clear and concise manner to senior managers as well as internal auditors, external auditors and regulators.
As needed, work with line and staff units to prepare analysis to be presented at the Asset/Liability Committee (ALCO) meeting.
Proactively assist line and staff units to increase shareholder value by (1) identifying net income opportunities and (2) by developing financial methodologies and tools for use in loan and deposit pricing, budgeting and planning.
Maintain regulatory compliance with all interest rate risk management directives. Monitor, analyze and reconcile differences between regulatory and in-house rate risk measures.
Other duties as assigned.
- A bachelor degree is required, ideally in mathematics, engineering or another quantitative discipline.
- An MBA or equivalent is required and a CFA degree or similar designation is a plus.
- 5 or more years of financial markets experience with a focus on fixed income investments, funding, derivatives markets, or balance sheet management is necessary.
- Experience with asset/liability modeling software is preferred.
- Strong analytical and problem solving skills are required, along with significant computer proficiency including database and financial modeling skills. Familiarity with fixed income securities markets is required.
The needle of this Compass points south. Compass Bancshares is the holding company for Compass Bank, which does business as BBVA Compass....