Calypso Business Analyst - Middle Office, New York City, United States of America

Project description

Luxoft has one of the world's leading Calypso practice.

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.

Project Description:

Support and additional build out (projects) for Calypso instance.

Compensation for NYC: 160000-200000 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)
• Setup 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
• Front Office Pricing & Valuation
• Setup 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
• Setup of 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 book and portfolio level
• Collateral Management
• Configuration of collateral agreements: CSA (Credit Support Annex), GMRA, GMSLA, and CSD rules
• Setup 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 optimisation 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
• Setup of 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
• Setup 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
• Setup of issuer concentration limits, sector limits, and portfolio-level VaR thresholds
• Definition of limit utilisation 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
• Setup of exception queues, task prioritisation 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
• Setup 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
• 1
• MO Reporting
• Configuration of MO operational reports: trade blotters, P&L explain, position summaries, and exposure reports
• Setup of real-time dashboards for trade status, confirmation rates, and collateral utilisation
• 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
• 1
• 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
• 1
• 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

Skills

Must have

• Should have a degree in finance, economics, 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

• 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:
• 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 query, be able to read code )
• Conflict management ensuring collaborative outcomes
• Excellent attention to detail and accuracy

Languages

English: C1 Advanced

Seniority

Regular

New York City, United States of America

Req. VR-120879