Note 01 · Liquidity & Execution · Analytics & Automation
Cross-Asset Liquidity & Positioning Intelligence Engine: signal to execution, automated.
A desk-level execution intelligence framework that ranks when market-state changes should alter trade timing, order routing, and clip sizing; signals escalate only when magnitude, speed, crowding, and liquidity all converge simultaneously.
Architecture: Four fragility dimensions govern every signal: MOVE percentile (Normal <50, Watch 50–80, Escalate >80), depth change, spread state, and flow-risk classification (balanced / crowded / forced). The engine's decision outputs span UST/GoC, USD/CAD, WTI, and rates-vol; cross-asset interaction scores weight each signal for transmission risk before any execution decision is made. Single-indicator signals are filtered out as explicit false positives.
Workflow value: A four-phase implementation roadmap moves the desk from manual morning pack to an auto-refreshing Python/SQL pipeline with intraday alert routing, dashboard escalation, and a backtest-feedback loop for threshold tuning. Historical fragility reference points (Mar-2020 UST stress, UK LDI shock, vol-control unwind) calibrate the escalation ladder. The automation edge is not forecasting precision; it is reducing reaction latency and making execution rules explicit before gapped liquidity materializes.
Type
Internal Desk Framework
FICC Execution Intelligence
Signal engine · Escalation ladder
4-phase implementation
Python · SQL pipeline
Note 02 · Cross-Asset Strategy · Macro Positioning · CIBC Global Markets
Cross-Asset Regime Transition: rates, oil, CAD, and liquidity positioning.
A probability-weighted institutional strategy note mapping regime transmission across US rates, USD/CAD, WTI crude, and volatility, built for desk-ready implementation at CIBC Global Markets FICC.
Regime read: Late-cycle inflation shock with policy divergence and fragile liquidity. Markets underprice both rates-vol persistence and liquidity fragility. This is not a clean CAD/oil bullish setup. The same oil move can be simultaneously CAD-positive (terms-of-trade), CAD-negative (USD/rates-vol channel), and duration-negative (inflation credibility) depending on which transmission channel dominates.
Core thesis: Trade the transmission path, not the headline. Best expression is conditional: CAD crosses over outright USD/CAD shorts, conditional steepeners over blunt duration, and event gamma over carry-only exposure. Asymmetry favors CAD short-squeeze (positive convexity if oil and BoC repricing align), belly duration convexity, and oil tail hedges via call-spread tails. A probability-weighted five-scenario matrix anchors the positioning framework: Sticky Inflation (30%), Growth Slowdown (25%), Commodity Shock (20%), Liquidity Tightening (15%), Risk-On Reflation (10%).
Desk
CIBC Global Markets
FICC Strategy / eTrading
Rates · FX · Commodities · Vol
5-scenario probability matrix
May 2026
Framework 03 · Cross-Asset Strategy · Market Structure
Markets Thinking Framework: reflexive transmission, regime evolution, execution-aware decision-making.
The foundational mental model: how recursive feedback loops connect price, positioning, liquidity, and volatility, and what separates institutional-quality thinking from naive directional conviction.
Core standard: A view is not institutional until it specifies confidence decay, failure modes, execution path, and expression quality. Modern markets are dominated by a recursive loop: price moves change positioning, positioning shifts change liquidity depth, liquidity changes bind volatility limits, which alter execution capacity and ultimately drive price discovery. The loop is self-reinforcing and must be anticipated, not reacted to.
Structure: Regime migration is mapped across four states (Calm, Transition, Fragile, Stress) with scoring across volatility, liquidity, crowding, and reflexivity dimensions; the Fragile quadrant is maximum on all four. An execution-aware decision tree sequences every trade thesis through signal validity, falsification conditions, expression choice (option / RV / delta), and execution mode (passive / aggressive). Three failure-mode overlays (policy reaction shifts, liquidity vacuum, reflexive reversal) each carry explicit adaptive responses. The goal is not forecasting a single path; it is identifying what markets underprice, how shocks propagate, and which structure survives adverse path dependency.
Type
Foundational Framework
Cross-Asset
Regime migration · Reflexivity
Execution-aware decision tree
Failure-mode overlays
Engine 04 · Fixed Income · Rates & Portfolio Analytics
Tenor: Canadian rates, risk, and portfolio construction in code.
A fixed-income analytics engine, built from first principles in pure Python, that constructs the Government of Canada curve, prices a provincial portfolio, and produces the duration, key-rate risk, relative value, scenario P&L, and ESG allocation a rates desk runs on.
What it computes: a GoC par curve, then bond-level risk straight from the cash flows, modified and Macaulay duration, convexity, DV01, and key-rate durations at the 2y / 5y / 10y / 30y nodes, so the desk sees where on the curve the interest-rate risk actually sits rather than a single parallel number. Provincial bonds (Ontario, Quebec, BC, Alberta) are priced at their spread to Canada, with a relative-value screen flagging each issuer rich, fair, or cheap against the provincial sector.
Portfolio and positioning: it aggregates a roughly $212mm book to a weighted yield, modified duration, convexity, and total DV01 (about $181k per basis point), then fully reprices the book under parallel, bear-flattener, and bull-steepener curve moves rather than a linear estimate. A duration rebalance to target and a green-bond overlay complete it; the positioning note recommends trimming long-end duration, adding the cheap provincial on spread, and rotating long-end holdings into green 10s to cut duration and lift the ESG sleeve at once. North-star: a desk-ready positioning call an analyst can defend.
Type
Built Analytics Engine
Canadian rates · GoC and provincials
Duration · DV01 · key-rate
Scenario P&L · relative value · ESG
Pure Python