Senior OTC Pricing Analyst

Legal & General
London, United Kingdom
Competitive salary, bonus and benefits
28 Mar 2023
27 Apr 2023
Job Function
Industry Sector
Finance - General
Employment Type
Full Time
Do you have expertise in pricing / valuing OTC derivatives within Asset Management or Banking?

Are you analytical and have experience improving processes?

We have an exciting opportunity to join a dynamic team who own the pricing of all OTC derivatives held across L&G. Role best suited to an experienced derivative valuation SME who is looking to expand their understanding and knowledge of OTC derivatives.

The primary function of the Derivative Pricing Team is to ensure all OTC derivatives are accurately priced on a daily basis, in line with agreed valuation methodologies. This is a critical function which deals with all aspects of OTC derivative pricing, providing an efficient service to internal teams and external clients.

What you'll be doing

  • Gain a full understanding of all pricing processes, data sources, downstream delivery and associated procedures.
  • Ensure the calculation of all OTC trade MTMs are accurate, complete and in line with the CTD discounting approach.
  • To check that new business risk is accurately captured so that all derivative valuation platforms provide accurate pricing.
  • Independently price trades via Bloomberg in order to substantiate or challenge official valuations and investigate discrepancies and disputes with counterparties.
  • To proactively seek to improve and streamline existing processes and controls through tactical solutions.
  • To liaise with the collateral team and other operational areas to resolve queries and counterparty valuation disputes.
  • To communicate with, assist and advise Fund Accounting, Investment Risk, Global Operations and other stakeholders on derivative pricing queries.
  • To help produce monthly IPV, Management Information and assist in resolving pricing issues.

What we're looking for

  • Educated to minimum degree level with CIMA, ACA or CFA qualifications an advantage. Part qualified sponsorship possible

  • Previous experience within OTC derivative valuation / pricing / Product Control functions.
  • Excellent interpersonal and communication skills with the ability to relay information clearly and concisely in both written and verbal communications.
  • Experience in business analysis, process improvement or change management desirable.

  • Highly numerate ideally with experience in pricing vanilla interest rate and inflation derivative products.
  • An understanding of TRS, XCS, Zero Coupon Swaps or similar products desirable.
  • Advanced Excel essential with an understanding of VBA / macros desirable
  • Experience in valuing vanilla derivatives using Bloomberg desirable

Personal characteristics:
  • Driven, proactive self-starter who is also able to work collaboratively
  • Willingness to learn/ Aptitude for learning and developing
  • Self-motivated and able to work under own initiative