REQUEST FOR EXPRESSIONS OF INTEREST

Individual Consultant

African Development Bank Headquarters-Abidjan (Cote d’Ivoire)

Avenue Joseph Anoma 01 BP. 1387, Abidjan 01 Cote d’Ivoire

Title of the Assignment : Senior Quantitative Analyst Consultant

Brief Description : Provide analytical and financial modelling support to the Treasury Risk Division for the “Libor Transition Project”.

The Consultant should possess strong quantitative and analytical skills, be well versed in risk management techniques.

Department issuing the request : FIFM

Place of Assignment : HQ, Abidjan, Cote d’Ivoire

Duration of the Assignment : 3-12 months

Tentative Date of Commencement : 01 March 2021

Deadline for Applications : 17 February 2021

Applications to be submitted to : t.noundou@afdb.org; [email protected]; [email protected]

TERMS OF REFERENCE FOR THE HIRING OF A CONSULTANT

 

 

Introduction :

The African Development Bank (AfDB) is the premier multi-lateral development finance institution fostering economic growth and social progress in Africa. The AfDB’s primary goal is to reduce poverty and improve living standards by mobilizing resources in and outside Africa, and providing financial and technical assistance for development projects and programs in Africa.

The role of the Financial Management Department is to safeguard and improve the Bank Group’s risk bearing capacity while seeking ways to improve its efficient use for the benefit of clients, shareholders and staff. The role of the Treasury Risk Management Division (FIFM2) is to measure, monitor and report on the Bank Group’s treasury activities.

Henceforth, FIFM is often required to provide quality information on Treasury activities (Valuation and performance analysis, Counterparty exposure reports) for managerial and policy-making decision.

The Financial Management Department (FIFM) within the African Development Bank is looking for a qualified consultant to support the implementation of the transition from IBORs Rates

Background :

In 2017, the UK’s Financial Conduct Authority (FCA) announced that after 2021 it will no longer persuade or compel panel banks to submit rates required to calculate the London Interbank Offer Rate (LIBOR). LIBOR is the reference rate used in many of AfDB’s financial instruments impacting loans, borrowings, investments and their legal documentations. In that regard, the AfDB is currently reviewing the impact to its corporate, market and lending processes due to the LIBOR reform.

Objective :

The Financial Management Department is seeking a qualified consultant to implement the recommendations from the Impact assessment exercise for the transition from IBORs rates. This engagement should take into consideration all the relevant financial and non-financial products of the Bank, including strategy, processes and IT system architectures.

The recommendations cover the treasury and Risk management activities, accounting, communication, legal and IT Systems.

Duties and Scope of Work :

The Financial Management Department (FIFM) within the African Development Bank is looking for a qualified consultant to provide the following services: (i) Implementation of the recommendations from the assessment exercise of the impact of IBORs replacement (II) Develop curve construction methodology for new RFR projection and discounting, (iii) Technical support for the upgrade of Treasury and Risk Management Systems (iv) Update of existing reports and User Manual to reflect the New Reference Rates (v) Update of Financial contracts to reflect the New Reference Rates.

The consultant will work under the guidance of the Manager of the Treasury Risk Management Division.

The consultant will need to understand the AfDB Group, its strategy, achievements and how the financial management department facilitates the Bank Group’s mission. He/she will also have an in-depth knowledge of fixed income financial instruments and portfolio management in the context of treasury investments.

The assignments are of the following nature:

Libor Transition Project Management :

    1. Provide support to the project governance activities ;
    2. Coordinate the work of the Project work streams ;
    3. Follow up the implementations status of different activities and ensure that deadline is respected.

Analytics and Curve Construction : 

  1. Assess the market data management in the context of Libor transition’s new RFR, compounded rates, term rates and new products ;
  2. Review and validate curve construction methodology for new RFR projection and discounting curves in Treasury and Risk Management systems ;
  3. Review systems impacted by Libor transition with respect to their affirmed capacity to manage new benchmarks ;
  4. Coordinate the technical and functional efforts across all workstreams of the Libor transition ;
  5. Provide an Independent review of Valuation Models and Calibration methodology in the context of the New Reference Rates.

Upgrade of Systems and Processes : 

  1. Provide support for the upgrade of various Systems in the Bank to support the New Reference Rates ;
  2. Conduct the UAT and validation of new developments in Systems ;
  3. Quantitative assessment of the impact of the transition to New Reference Rates ;
  4. Review and advise on new market Data sources ;
  5. Fallback language and financial contracts  ;
  6. Assist on the revision of fallback language for financial contract ;
  7. Assist on the amendment of financial contract ;
  8. Provide support for the revision of the characteristics of Credit Support Annex (CSA) and ISDA agreements.

User Manual and Report specifications : 

  1. Review, improve or develop where applicable, relevant reporting formats/templates ;
  2. Review of exiting procedures and writing of User manual ;
  3. Any other tasks as per the Division’s work program

Requirements :

The consultant should possess strong quantitative and analytical skills, be well versed in risk management techniques and must have the following qualifications :

  • A Master’s degree or equivalent and at least five (5) years’ experience in the area of expertise of the assignment ;
  • Strong knowledge and understanding of Interest Rates curves, financial instruments, particularly bonds, structured products, derivatives and risk management concepts ;
  • Proven Financial modelling skills ;
  • Professional experience with some of the leading investment banks is highly desirable ;
  • Integrity and ability to work in team ;
  • Good listener with demonstrated ability to present and win support for ideas as well as make effective and timely decisions ;
  • The successful candidate should be methodical, analytical and someone who pays attention to detail ;
  • Ability to work independently and be creative and innovative ;
  • Competence in the use of Bank standard software (Word, Excel, Access, PowerPoint) and Treasury systems such as Bloomberg, Reuters, Summit and Numerix ; and
  • Knowledge in programming or database languages like Excel VBA, SQL or C++;
  • Proficiency in English and/or French, preferably with a working knowledge of the other language.