Calypso Business Analyst - Middle Office

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

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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

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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

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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

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

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