A vault is a large room for storage of valuables. Banks often have vaults to store valuables. In sports, a high jumper is someone that jumps over a bar without any help from a pole that a pole vaulter would use. In sports, vaulting, or pole vaulting, is when someone tries to jump over a bar while using a flexible pole. I think the joke is trying to combing banking terminology with track and field terminology, since we see that crossover in the word "vault". 
A bank manager who was also a high jumper spent most of his time in the vault .