• Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Citi-US
  • 2018-09-20

FX Capital Markets - Quantitative Strategy

FX Capital Markets - Quantitative Strategy

  • Primary Location: United States,New York,New York
  • Education: Bachelor's Degree
  • Job Function: Finance
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 18049182


About Citi
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.
Citi's Mission and Value Proposition  explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.
Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.
Job Background:
Citi Treasury Investments (CTI) operates within Corporate Treasury to lead the investment of Citi's major liquidity portfolios with oversight from Citi's ALCO.  This involves managing the portfolios to meet all necessary regulatory requirements as well as achieving attractive returns. The team also conducts hedging and positioning activities for the firm at a global level to protect the firm against long term shifts in the macro environment. Citi Treasury Investments also has responsibility for management and oversight of the firm-wide Available for Sale (AFS)/Hold to Maturity (HTM) Comprehensive Capital Analysis and Review (CCAR) work stream. In addition to the management of liquidity portfolios, CTI is also responsible for management of the USD structural interest rate positioning for the firm and oversight of macro risks and hedging requirements.  The AFS securities portfolio is comprised of various investments across a broad range of securities, including US Treasuries, Agencies and MBS, as well as various credit instruments across both North America and EMEA.  Securities and Debt are hedged using swaps. This role will be situated in New York City.
Job Purpose:
The Quantitative Strategy (QS) team within FX & Capital Markets (FXCM) team is responsible for providing analytical and front office support for FXCM.  The quantitative analyst will work closely with the strategists and traders to generate ideas and create strategies for FXCM's major functions, including: 1. Overseeing Corporate Treasury's foreign exchange positions in 75+ countries; 2. Non-US dollar investments and interest rate positioning; 3. Issuing Citi's long term debt, securitizations and structured notes, as well as conducting liability management activities and; 4. Conducting Citi's share repurchase program. The position will provide the analyst learning opportunities and working experiences on FX, rates and credit markets.
Key Responsibilities:
1. Perform quantitative analysis related to Citi Treasury's FX exposures and FX derivative transactions. Assist in the booking, monitoring, tracking and reporting of the hedging activity to Senior Management; 2. Conduct quantitative analysis on Citi's funding activities with recommendations and presentations to Senior Management; Examples include analyzing callable bonds and preferred stock for optimal exercise and debt exchange NPV analysis; 3. Provide quantitative analysis on Citi's Structured Notes issuance including pricing callable bonds and haircuts on new issue spreads for contingent liquidity; 4. Analyze optimal strategies for Citi's Share Repurchase programs to maximize value; develop models to enhance buyback performance; 5. Help develop and maintain scenario based risk monitoring framework for all FXCM related limits and triggers; 6. Support and help develop strategic analysis and initiatives related to the non-USD investments activity; 7. Monitor and evaluate performance of Citi versus Peers and track competitors' net investment hedge and borrowings programs.


Experience & Qualifications:
  • 2+ years of experience working in the finance industry
  • Minimum Bachelor's degree in a quantitative or finance-focused discipline from a top tier school; Master of Financial Engineering (MFE) or other relevant advanced qualification would be a plus
  • Strong Power Point, Excel and communication skills
  • General understanding about fixed income and foreign currency markets
  • Ability to manage multiple projects independently and develop reports and presentations
  • Strong ability to work collaboratively across many different groups in different regions
  • Highly motivated and interested in learning about FX and interest rate markets/products and overall Balance Sheet Management
  • High energy, self-starter with a desire to show creative ideas and continued progress
  • CFA or FRM would be a plus
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