Calypso Business Analyst - Middle Office

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.

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

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)

• 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

2. 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

3. 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

4. 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

5. 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

6. 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

7. 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

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

• 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

11. 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

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

Qualifications

Should have a degree in finance, economics, mathematics

Domain Knowledge:

- 8 years' experience with a 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