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Bond Trading > Products > Flashcards

Products Flashcards

1
Q

what is alberta very linked to

A

Oil

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2
Q

what is tighter ssa or provincial

A

ssa

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3
Q

how much euro denominated provincial paper is there compared to cad/usd?

A

less than a tenth

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4
Q

does usd product move on the back of BoC announcement of tapering

A

no

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5
Q

what happened to spreads as a result of BoC tapering

A

spreads went tighter on higher outrights (swap spread = swap rate - govvie yield)

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6
Q

which bonds at the moment look horribly expensive vs swaps but cheap against govvies

A

Canadian domestic market right now, ont or canhou in usd

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7
Q

what is MP

A

manitoba

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8
Q

what are the provinces in canada? (a b m, quintuple n o, p q s and y)

A 
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
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9
Q

what is the breakdown of German government bonds

A

Schatz: up to 2 years
Bobl: 5
Bund 10-30

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10
Q

what is the breakdown of UK gilts

A

short < 7
medium 7-15
long > 15

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11
Q

what are some examples of issuers which face a large collateral haircut at the ECB repo

A 
CDC (Fr)
BNG (Netherlands)
NWB(^)
KBN (Norway)
SEK (Sweden)
Kommuninvest (^)
kommunekredit (denmark)
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12
Q

what are some examples of supranationals

A 
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)
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13
Q

what are some examples of agencies

A 
CADES
FMS wertmanagement
UNEDIC
kFW
L-Bank
NRW Bank
rentenbank
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14
Q

what is the largest dollar denominated provincial bond

A

3.5bn

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15
Q

do provincials often tap dollar denominated bonds?

A

no, they print benchmark and move on. in cad they print a small deal and keep tapping the same bond.

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16
Q

what is the typical bid/offer spread in ontario bonds for dollar and canadian dollar alike

A

$ 1bp

C$ 1/4bp

17
Q

tell me about kfw

A

German Agency (Kreditanstalt fuer Wiederaufbau),
explicit guarantee from central government (it is a national bank),
haircut category 2 (good),
0% risk weighting

18
Q

give me some examples of names with a 20% risk weighting

A

KBN,
SEK,
BNG,
NWB

19
Q

who issues a lot of debt

A

EIB and kFW

20
Q

typical trading level over treasuries for EIB and Ontario

A 
EIB = t + 5
ONT = t + 20
21
Q

what is the desks target volume per month prov and pension dollars

A

1bn

22
Q

where do some of the provvies trade in relation to ontario

A

if trade ontario at +23, alberta or quebec trades +5bp over that

23
Q

do we care about credit risk

A

no,

liquidity risk and supply and demand dynamics

24
Q

what is world bank

A

IBRD
supranational,
0% risk weighting,
level 2 ECB haircut (good)

25
Q

what are our main target accounts that we trade for the mandate and what happens if we run out of bonds

A

IADB and IBRD (world bank, international bank for reconstruction and development),
if ever low we lift the street

26
Q

do bank treasuries care more about rating or risk weighting

A

risk weighting, they would rather KBN (AA) 0% risk weighting over Kunta (AAA) 20% risk weighting at the same spread

27
Q

do central banks prefer credit rating or risk weighting

A

credit rating

28
Q

which are generally safer / less spread

A

supras, then agency cheaper.

however, kfw despite being agency trades like supra because german government

29
Q

what is tier 2 paper and why, also give me two examples and tell me how much of a spread they trade off tier 1 stuff

A

dutch and scandi names, generally less liquid with smaller issue size (1-2bn),
kbn,
kommuninvest,
5-6bps

30
Q

what is cadepo

A

Quebec deposit and investment fund,

Caisse d’Amortissement de la Dette Sociale

Bond Trading (3 decks)

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