January 27, 2023

Offbeat indices have been used to try and predict inflation. If I remember correctly, Greenspan liked one that had to do with trucks; but there’s another form of transport that has come to the fore:

The Fed was not alone in misreading the implications of the data already available in 2021. The IMF, whose mandate is to take an independent view of developments and policies in member countries, described the inflationary surge in a blog by its (then) chief economist, Gita Gopinath, in the same terms as the Fed, pointing to transitory causes and taking comfort in the anchoring of inflation expectations. Like the Fed, the IMF did not mention in its updates the possibility of economic overheating and inflation persistence.

Fast-forward to spring 2022: the IMF’s World Economic Outlook revealed that the institution’s inflation projections were off by a factor of more than 3 for advanced economies and 2 for all other countries. These facts show that the inflation surprise was global.

So was there a smoking gun? In a recent study, my coauthors and I focus on a key driver of global inflation that was very evident already in 2021: the rapid increase in global shipping costs. By October 2021, indicators of the cost of shipping containers by maritime freight had increased by over 600 percent from their pre-pandemic levels, while the cost of shipping bulk commodities by sea had more than tripled.

What caused this remarkable increase? As manufacturing activity picked up following extended COVID-19 lockdowns, demand for shipping intermediate inputs (such as energy and raw materials) by sea increased significantly. At the same time, shipping capacity was severely constrained by logistical hurdles and bottlenecks related to pandemic disruptions and shortages of container equipment. Ports around the world lacked workers, who had to self-isolate after testing positive for COVID-19, and public health restrictions prevented truck drivers and ship crews from crossing borders.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,561.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,912.3
Floater 8.80 % 8.94 % 51,830 10.42 2 0.0000 % 2,831.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2462 % 3,422.6
SplitShare 4.91 % 6.47 % 59,921 2.81 7 0.2462 % 4,087.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2462 % 3,189.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1482 % 2,878.9
Perpetual-Discount 5.92 % 5.95 % 91,135 13.92 35 0.1482 % 3,139.3
FixedReset Disc 5.35 % 7.04 % 93,476 12.75 62 0.1980 % 2,263.6
Insurance Straight 5.79 % 5.94 % 97,881 13.97 20 0.3646 % 3,099.2
FloatingReset 9.77 % 10.17 % 44,086 9.37 2 -0.3499 % 2,542.9
FixedReset Prem 6.56 % 6.15 % 179,963 4.08 2 0.2369 % 2,394.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1980 % 2,313.8
FixedReset Ins Non 5.42 % 6.95 % 52,280 12.79 14 -0.1032 % 2,383.1
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 7.38 %
RY.PR.N Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 22.36
Evaluated at bid price : 22.64
Bid-YTW : 5.40 %
TRP.PR.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 8.26 %
FTS.PR.K FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.54 %
MIC.PR.A Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.03 %
BMO.PR.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 23.83
Evaluated at bid price : 24.25
Bid-YTW : 6.58 %
MFC.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.28 %
PWF.PR.Z Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.65
Evaluated at bid price : 21.92
Bid-YTW : 5.90 %
SLF.PR.D Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 5.61 %
IFC.PR.K Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.87
Evaluated at bid price : 22.20
Bid-YTW : 5.97 %
BMO.PR.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.59 %
BMO.PR.Y FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.91 %
PWF.PR.L Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.87 %
TD.PF.C FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.07 %
CU.PR.I FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.38
Bid-YTW : 5.76 %
POW.PR.D Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.91 %
GWO.PR.T Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.87
Evaluated at bid price : 21.87
Bid-YTW : 5.96 %
PVS.PR.K SplitShare 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.15 %
BMO.PR.W FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.05 %
BN.PR.X FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.36 %
TD.PF.L FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 23.81
Evaluated at bid price : 24.25
Bid-YTW : 6.39 %
TRP.PR.G FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 7.85 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.R Perpetual-Discount 38,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 5.99 %
PWF.PR.Z Perpetual-Discount 36,817 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.65
Evaluated at bid price : 21.92
Bid-YTW : 5.90 %
SLF.PR.C Insurance Straight 28,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.60 %
BN.PR.T FixedReset Disc 21,868 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 8.17 %
NA.PR.C FixedReset Prem 21,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 6.15 %
BN.PR.Z FixedReset Disc 18,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.61
Evaluated at bid price : 21.95
Bid-YTW : 6.90 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.C FixedReset Prem Quote: 25.87 – 26.96
Spot Rate : 1.0900
Average : 0.6030

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 6.15 %

NA.PR.E FixedReset Disc Quote: 20.85 – 22.13
Spot Rate : 1.2800
Average : 0.8020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.70 %

BN.PR.R FixedReset Disc Quote: 14.67 – 15.44
Spot Rate : 0.7700
Average : 0.5016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.25 %

MFC.PR.Q FixedReset Ins Non Quote: 20.18 – 21.10
Spot Rate : 0.9200
Average : 0.6705

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.95 %

BIP.PR.A FixedReset Disc Quote: 18.47 – 19.08
Spot Rate : 0.6100
Average : 0.4118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 8.35 %

BN.PF.F FixedReset Disc Quote: 17.57 – 18.25
Spot Rate : 0.6800
Average : 0.5454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 8.12 %

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