Senior Calypso Business Analyst MO

Luxoft, new york, ny, United States

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: USD Gross per year based on your interview results.

Responsibilities

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
- 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
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
- 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
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
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
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
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
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
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
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
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
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)
- Excellent attention to detail and accuracy

#J-18808-Ljbffr