Products Flashcards
what is alberta very linked to
Oil
what is tighter ssa or provincial
ssa
how much euro denominated provincial paper is there compared to cad/usd?
less than a tenth
does usd product move on the back of BoC announcement of tapering
no
what happened to spreads as a result of BoC tapering
spreads went tighter on higher outrights (swap spread = swap rate - govvie yield)
which bonds at the moment look horribly expensive vs swaps but cheap against govvies
Canadian domestic market right now, ont or canhou in usd
what is MP
manitoba
what are the provinces in canada? (a b m, quintuple n o, p q s and y)
Alberta (ALTA) British Columbia (BRCOL) Manitoba (MP) New Brunswick (NBRNS) Newfoundland and Labrador (NF) Northwest Territories (GNWT) Nova Scotia (NS) Nunavut Ontario (ONT) Prince Edward Island (PRINCE) Quebec (Q) Saskatchewan (SCDA) Yukon
what is the breakdown of German government bonds
Schatz: up to 2 years
Bobl: 5
Bund 10-30
what is the breakdown of UK gilts
short < 7
medium 7-15
long > 15
what are some examples of issuers which face a large collateral haircut at the ECB repo
CDC (Fr) BNG (Netherlands) NWB(^) KBN (Norway) SEK (Sweden) Kommuninvest (^) kommunekredit (denmark)
what are some examples of supranationals
European Investment bank european stability mechanism nordic investment bank asian development bank international bank for reconstruction and development (IBRD) (world bank) inter-american development bank (IADB)
what are some examples of agencies
CADES FMS wertmanagement UNEDIC kFW L-Bank NRW Bank rentenbank
what is the largest dollar denominated provincial bond
3.5bn
do provincials often tap dollar denominated bonds?
no, they print benchmark and move on. in cad they print a small deal and keep tapping the same bond.
what is the typical bid/offer spread in ontario bonds for dollar and canadian dollar alike
$ 1bp
C$ 1/4bp
tell me about kfw
German Agency (Kreditanstalt fuer Wiederaufbau),
explicit guarantee from central government (it is a national bank),
haircut category 2 (good),
0% risk weighting
give me some examples of names with a 20% risk weighting
KBN,
SEK,
BNG,
NWB
who issues a lot of debt
EIB and kFW
typical trading level over treasuries for EIB and Ontario
EIB = t + 5 ONT = t + 20
what is the desks target volume per month prov and pension dollars
1bn
where do some of the provvies trade in relation to ontario
if trade ontario at +23, alberta or quebec trades +5bp over that
do we care about credit risk
no,
liquidity risk and supply and demand dynamics
what is world bank
IBRD
supranational,
0% risk weighting,
level 2 ECB haircut (good)
