Lead Treasury Analyst, Interest Rate Risk Analysis Insights & Reporting

Location: 127 Public Square - Cleveland, Ohio 44114 Within the Asset and Liability Management Group in the Corporate Treasury Department, the Lead Treasury ALM Analyst position will report to the Interest Rate Risk (IRR) Analysis, Insights and Reporting Senior Manager. The ALM/IRR team is responsible for the measurement, monitoring and management of interest rate risk, producing balance sheet forecasts, performing analysis to inform strategy and decisioning on balance sheet and Treasury actions and communication of key metrics and insights via regular reporting to the Treasury Strategy Committee (TSC), Treasury Risk Oversight Committee (TROC), the Asset and Liability Committee (ALCO) and the Board. Balance sheet modeling is done in the QRM Framework, a third-party software program. This position will be a key part of a small, core team responsible for the development, execution and delivery of ALM/IRR content as well as bespoke scenarios and ad hoc analysis and produce insights and recommendations in the reporting presentation to senior management, including TROC, ALCO and Board to help inform strategy and decisioning on IRR management. The role is expected to utilize relevant analytics to review and assess the accuracy and reasonableness of produced metrics. The core analysis and reporting responsibilities will leverage the use of financial analysis and risk analysis tools to perform key analysis such as historical trends and variance analysis, driver attribution and key assumption sensitivity analysis on IRR. Furthermore, the individual will play a key, visible role in synthesizing the analysis and help develop and curate meaningful content, commentary and insights that "tell the story" in the reporting to senior management to driver robust oversight and communication on IRR strategies, themes and management. This position will also help with 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 Lines of Business, FP&A and Finance. This position also works closely with other groups in Treasury and Finance who inform and leverage QRM output, including Funding, Liquidity, Capital, and Market Strategy as well as second line partners in Corporate Treasury Oversight, Model Risk, and Risk Review. IRR assumptions, models and outputs include Deposit beta and attrition, Prepayment rates, Net Interest Income at Risk, Economic Value of Equity, Forward Valuation of swaps and investments, balance sheet runoff cash flows, and new business assumptions. This position is also a contributor to balance sheet modeling and analysis for the annual Capital Plan / CCAR process. ESSENTIAL JOB FUNCTIONS * Execute and develop content and insights in the delivery and communication of monthly reporting of ALM and IRR materials, including metrics, drivers, trends and outcomes to the TSC, TROC, ALCO and periodic presentation materials for 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 * Help develop insights, commentary and recommendations to senior management reporting that inform and improve the monitoring, management and oversight of Key's IRR exposure and balance sheet management * Perform attribution analysis and drive key insights on drivers, variance and trends in monthly NII@Risk and EVE metrics * Work with the ALM leadership team to support interest rate risk management by assessing and analyzing exposures and recommending balance sheet positioning and hedging strategies. * Help design, develop and execute quarterly scenario analysis to assess and inform on interest rate strategy and ALM management in partnership with IRR Production and Corpora