Senior Calypso Business Analyst MO

Project Description: Luxoft has one of the world's leading Calypso practices. We are a top-tier Calypso Partner and a market leader in implementation, integration, upgrade, and migration. We provide end-to-end project services and have delivered Calypso projects across all major asset classes and sectors, including investment banking, asset management, corporate treasury, and insurance. Support and additional build-out (projects) for the Calypso instance. Compensation for NYC: 160000-200000 USD Gross per year based on your interview results. Responsibilities: 1. Trade Capture & Lifecycle Management Configuration of trade entry templates and trade capture workflows per asset class (fixed income, equities, FX, rates/credit derivatives, repos, securities lending) Set up of trade lifecycle events: amendments, cancellations, novations, partial fills, and rollovers Definition of product templates, trade attributes, and custom fields per instrument type Configuration of trade validation rules, limit checks, and pre-trade compliance controls 2. Front Office Pricing & Valuation Set up of market data feeds and curve configuration (yield curves, FX curves, volatility surfaces) Configuration of pricing methods and valuation models per product type Integration with external pricing sources (Bloomberg, Reuters/Refinitiv) Definition of EOD mark-to-market and mark-to-model valuation workflows 3. Position Management & Risk Configuration of real-time position keeping per book, portfolio, and legal entity Set up position netting, aggregation rules, and position reconciliation workflows Definition of risk sensitivities (DV01, PV01, delta, gamma) and risk ladder reporting Configuration of limit monitoring and breach alerting at the book and portfolio level 4. Collateral Management Configuration of collateral agreements: CSA (Credit Support Annex), GMRA, GMSLA, and CSD rules Set up of margin call workflows including initial margin (IM) and variation margin (VM) calculation Definition of eligible collateral schedules, haircut rules, and concentration limits Configuration of collateral substitution and optimization workflows Integration with triparty agents (Euroclear, Clearstream, BNY Mellon) and CCPs Setup of dispute management workflows and tolerance thresholds for margin call disputes Configuration of collateral inventory management and pledge/repo collateral tracking Support for UMR (Uncleared Margin Rules) compliance, including ISDA SIMM model setup 5. Middle Office Trade Confirmation Configuration of trade confirmation workflows for electronic and manual confirmations Set up confirmation matching rules per product type and counterparty Integration with electronic confirmation platforms (MarkitWire, DTCC CTM, Bloomberg VCON) Management of unconfirmed trade queues, chasing workflows, and escalation rules Configuration of confirmation templates per asset class and ISDA documentation type 6. Netting & Exposure Management Set up of bilateral netting agreements and netting sets per counterparty and agreement type Configuration of cross-product netting rules and netting hierarchy Definition of counterparty credit exposure (CCE) calculations and potential future exposure (PFE) Integration with CVA/DVA calculation engines, where applicable 7. Limit & Credit Risk Configuration Configuration of pre-settlement and settlement risk limits per counterparty and country Set up of issuer concentration limits, sector limits, and portfolio-level VaR thresholds Definition of limit utilization monitoring, soft/hard breach logic, and override workflows Integration with credit risk systems for real-time limit consumption feeds 8. Static Data & Counterparty Setup Setup and maintenance of counterparty static data: SSIs, ISDA agreements, netting agreements Configuration of instrument static data: ISIN, CUSIP, SEDOL, and reference data mappings Management of index definitions, benchmark rates (SOFR, EURIBOR, SONIA), and rate reset rules Definition of holiday calendars, day count conventions, and business day adjustment rules per market 9. Workflow & Event Processing Design of MO operational workflows: trade affirmation, allocation, confirmation, and settlement instruction generation Configuration of event-driven processing for coupon payments, dividend events, corporate actions, and maturities Set up exception queues, task prioritization rules, and SLA-based escalation paths Participation in workflow automation and STP improvement initiatives 10. Regulatory & Compliance Configuration Configuration of trade reporting workflows for EMIR, MiFID II, SFTR, and CFTC obligations Set up of UTI (Unique Trade Identifier) generation and LEI validation rules Definition of reportable fields, reporting thresholds, and delegation agreements per regulation Support for FRTB-related data capture requirements and sensitivity reporting 11. MO Reporting Configuration of MO operational reports: trade blotters, P&L explain, position summaries, and exposure reports Set up real-time dashboards for trade status, confirmation rates, and collateral utilization Production of daily margin call reports, collateral inventory reports, and dispute ageing reports Extraction and formatting of data for risk, finance, and regulatory reporting consumers 12. Integration & System Interfaces Requirements gathering and functional specification for Calypso interfaces with OMS/EMS platforms (Bloomberg AIM, Charles River, Murex) Definition of integration patterns for market data, reference data, and trade flows Support for connectivity to CCPs (LCH, Eurex Clearing) for cleared derivatives and repo Participation in end-to-end testing of FO/MO interfaces across the full trade lifecycle 13. Business Analysis & Stakeholder Engagement Elicitation and documentation of business requirements from FO traders, MO operations, risk, and collateral desks Production of functional specifications, process flow diagrams, gap analyses, and configuration guides Facilitation of UAT with FO and MO users, including test script design, defect tracking, and sign-off coordination Delivery of training materials and operational runbooks for FO/MO Calypso users Experience working in Agile or hybrid project environments with structured change management Mandatory Skills Description: Should have a degree in finance, economics, or mathematics Domain Knowledge : Deep understanding of capital markets products: rates, credit, FX, equities, repos, securities lending, and listed/OTC derivatives Knowledge of cleared vs. uncleared derivatives workflows and margin requirements under EMIR/Dodd-Frank Familiarity with ISDA documentation: Master Agreement, CSA, GMRA, GMSLA Understanding of CCPs, triparty collateral agents, and CSDs in the context of settlement and collateral Nice-to-Have Skills Description: Experience with the following is a plus : Experience working with a software vendor in a Business Analysis role or a functional middle-office user role within capital markets Expertise in the support and implementation of the Calypso Back-Office system, primarily in post-trade processing areas of Trade validation, Cross-Asset Accounting, Settlements, Reconciliations, Messages (SWIFT/Paper), Regulatory and Internal reporting. Knowledge and functional experience across Asset Classes Hands-on experience massaging or analyzing data using tools such as Excel, SQL, or similar. Additionally : The ability to work under pressure in a fast-paced environment is essential. Have a willingness to learn new skills Must have attention to detail Must have the ability to work independently and also as part of a group Experience of Agile practices and processes (e.g., SCRUM, KANBAN) Any technical knowledge (Writing simple SQL queries, being able to read code) Conflict management: ensuring collaborative outcomes Excellent attention to detail and accuracy Languages: English: C1 Advanced