Efi algo specialist

06 October England - Greater London, London Perm


Responsible for algorithmic market making in fixed income, with primary focus on EGBs, in order to maximise revenues within pre-established limits and objectives.

EGB Trades are predominantly in EUR, rarely USD but the algos will be expected to trade on other books in support if required.
Products will include EGB, IRS, FRA, Futures, Eonia.

Within the parameters of the overall business strategy of CA-CIB and other agreed policies, the candidate is empowered to implement the strategy and business plans as decided by the EGB eTrader.

Key Responsibilities

Strategy and Business Planning

• Market maker for customers within the algorithmic trading platform on European government bonds, and other fixed income instruments as required

• Develop CaCib market-share in EGB space with the algorithmic trading platform

• Create an eBook as a facilitator of EGB flows within agreed parameters (segment, duration, country, etc) as well as for auto risk-management (black box autohedger)

• Maintain, develop and improve the algorithm technology to adapt to market conditions and competition

• Ensure consistent hit ratio requested by the head of the EGB desk and head of E-business
strike and maintain an agreed balance between hit ratio/market-share and NBI so as to support the client franchise in a profitable manner

• Working together with the eBusiness Head of eFI Algo to ensure that any algo (within the definition of Mifid II) is properly documented and compliant with what is required by support functions, primarily Legal & Compliance.
Also, adhere to the relevant testing cycles and release processes in order to minimise any outages, failure incidents, potential losses and to prevent reputational damage

• Scorecard client performance and create statistical analysis of their profitability over different periods of time as an input to auto-risk management, in conjunction with the FX/FI algo strategy and technology in eBusiness

• Design algos to execute transactions in accordance with established risk management procedures and risk parameters.

• Formulate trading strategies and relate these to market opportunities.

• Be aware of all economic and financial data likely to affect the market and keep updated on market changes.

• Provide product pricing for both new products as well as specific client transactions.
Pricing must ensure that the Bank is adequately compensated for the level of principal risk and the amount of balance sheet it dedicates to specific transactions.

• Keep abreast of the markets by reading the financial press and available economic research.

• Provide technical support and direction to more junior staff.

Degree, preferably in a Mathematical / Scientific area, or A-levels followed by appropriate market relevant working experience.