The BoC has announced:
The most recent addition to the Bank of Canada’s set of stakeholder surveys2 is the Market Participants Survey (MPS). The MPS engages a diverse set of participants in financial markets and gathers their views on key macroeconomic and financial variables as well as monetary policy. Bank staff conduct the MPS every quarter to gather timely information in a structured and systematic way and to enhance their monetary policy analysis and advice to Governing Council. MPS results help staff understand how market participants form their expectations and may also, over time, provide useful insights about the effectiveness of the Bank’s communication efforts and its monetary policy.
The pilot phase of the MPS began in 2019. The survey will soon be a permanent part of the Bank’s tool kit. The Bank will publish results regularly, beginning shortly after publication of the January 2023 Monetary Policy Report.
This note describes the MPS’s objectives and main features, its process and design, and how staff use the results.
…
Throughout the pilot phase of the MPS, the survey sample was expanded. The current set of 30 participants have been selected based on the following general criteria:
- Relevance of expertise—Participants are senior economists or strategists involved in the areas addressed in the survey. However, survey responses are interpreted as not necessarily representing the view of the respondent’s organization, because not all participating institutions have public or firm-level forecasts. In some cases, people from different areas of an institution have different views (e.g., depending on the institution’s organizational structure, a commercial bank senior economist, an asset-management senior economist and a broker-dealer senior economist—all from the same institution—may have different forecasts and offer different perspectives).
- Representativeness—The sample selection ensures the collection of a diverse set of opinions across institution types (see Chart 1).
- Commitment to participate regularly in the survey—Participants are from institutions that are often involved in market intelligence activities. While participation in the MPS is voluntary, Bank staff work to ensure a high response rate and stability in the sample of respondents over time to maintain the quality of results.
Here’s two of the charts that were used to illustrate the announcement:
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.2627 % | 2,567.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2627 % | 4,925.2 |
| Floater | 8.78 % | 8.94 % | 52,636 | 10.41 | 2 | 0.2627 % | 2,838.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0539 % | 3,420.8 |
| SplitShare | 4.91 % | 6.44 % | 57,806 | 2.81 | 7 | -0.0539 % | 4,085.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0539 % | 3,187.4 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1955 % | 2,873.3 |
| Perpetual-Discount | 5.93 % | 5.97 % | 89,346 | 13.91 | 35 | -0.1955 % | 3,133.2 |
| FixedReset Disc | 5.37 % | 7.17 % | 92,730 | 12.54 | 62 | -0.3175 % | 2,256.4 |
| Insurance Straight | 5.80 % | 5.95 % | 94,539 | 13.96 | 20 | -0.1500 % | 3,094.6 |
| FloatingReset | 9.74 % | 10.18 % | 42,415 | 9.36 | 2 | 0.7341 % | 2,561.6 |
| FixedReset Prem | 6.56 % | 6.23 % | 179,546 | 4.07 | 2 | 0.0591 % | 2,395.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3175 % | 2,306.5 |
| FixedReset Ins Non | 5.40 % | 7.05 % | 51,859 | 12.68 | 14 | 0.2225 % | 2,388.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.C | FixedReset Disc | -24.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 9.23 % |
| BMO.PR.Y | FixedReset Disc | -4.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 7.29 % |
| RY.PR.O | Perpetual-Discount | -3.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 22.01 Evaluated at bid price : 22.01 Bid-YTW : 5.58 % |
| BIP.PR.E | FixedReset Disc | -2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 21.49 Evaluated at bid price : 21.80 Bid-YTW : 7.05 % |
| MFC.PR.L | FixedReset Ins Non | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 7.67 % |
| PWF.PR.H | Perpetual-Discount | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 23.33 Evaluated at bid price : 23.61 Bid-YTW : 6.12 % |
| NA.PR.W | FixedReset Disc | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.46 % |
| PWF.PR.Z | Perpetual-Discount | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 6.01 % |
| TD.PF.C | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.28 % |
| CM.PR.Y | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 24.04 Evaluated at bid price : 24.40 Bid-YTW : 6.73 % |
| TRP.PR.C | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 8.32 % |
| SLF.PR.J | FloatingReset | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 9.69 % |
| BN.PF.G | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 8.22 % |
| IAF.PR.I | FixedReset Ins Non | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 22.27 Evaluated at bid price : 23.00 Bid-YTW : 6.38 % |
| RY.PR.N | Perpetual-Discount | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 22.68 Evaluated at bid price : 22.96 Bid-YTW : 5.33 % |
| TRP.PR.E | FixedReset Disc | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 15.94 Evaluated at bid price : 15.94 Bid-YTW : 8.25 % |
| TRP.PR.B | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 8.36 % |
| MIC.PR.A | Perpetual-Discount | 3.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 6.82 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.R | Insurance Straight | 20,011 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.85 % |
| NA.PR.W | FixedReset Disc | 12,440 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.46 % |
| IFC.PR.C | FixedReset Disc | 10,950 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-01-30 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 9.23 % |
| PVS.PR.J | SplitShare | 10,450 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 22.88 Bid-YTW : 6.58 % |
| There were 0 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.C | FixedReset Disc | Quote: 14.00 – 18.55 Spot Rate : 4.5500 Average : 2.4312 YTW SCENARIO |
| EIT.PR.A | SplitShare | Quote: 24.51 – 25.57 Spot Rate : 1.0600 Average : 0.6222 YTW SCENARIO |
| RY.PR.O | Perpetual-Discount | Quote: 22.01 – 23.55 Spot Rate : 1.5400 Average : 1.1258 YTW SCENARIO |
| BMO.PR.Y | FixedReset Disc | Quote: 18.30 – 19.54 Spot Rate : 1.2400 Average : 0.8366 YTW SCENARIO |
| MIC.PR.A | Perpetual-Discount | Quote: 20.10 – 21.03 Spot Rate : 0.9300 Average : 0.6197 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 19.65 – 20.74 Spot Rate : 1.0900 Average : 0.7927 YTW SCENARIO |