Senior Calypso Business Analyst MO
hace 21 horas
New York
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: • 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, • 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