This paper estimates both parametric and non-parametric proportional hazards models for a subset of Canadian mortgage-backed security data. The estimated parametric hazard function is then used to drive exogenous prepayments within an arbitrage-free model of the term structure of interest rates. Theoretical prices as well as option-adjusted spreads (OAS) are obtained for three different mortgage-backed securities using a Monte-Carlo simulation. Though no formal test is done to compare the ability of the different hazard models to explain observed market prices, the non-parametric baseline hazard is more consistent with the age-dependent prepayment provisions typical of most mortgage contracts in Canada.

This paper estimates both parametric and non-parametric proportional hazards models for a subset of Canadian mortgage-backed security data. The estimated parametric hazard function is then used to drive exogenous prepayments within an arbitrage-free model of the term structure of interest rates. Theoretical prices as well as option-adjusted spreads (OAS) are obtained for three different mortgage-backed securities using a Monte-Carlo simulation. Though no formal test is done to compare the ability of the different hazard models to explain observed market prices, the non-parametric baseline hazard is more consistent with the age-dependent prepayment provisions typical of most mortgage contracts in Canada. / Business, Sauder School of / Real Estate Division / Graduate

The Canadian money market dates back to 1935 when Government of Canada treasury bills were first sold and the main impetus to its present status came with the introduction of day-to-day loans in 1954. Until 1954, the money market was used principally by the chartered banks and the Federal Government, and the main functions were to provide the former with liquid assets and the latter with a relatively inexpensive method of financing its activities. In the last decade many other institutions have started to participate in the market. On the borrowing side, provincial and municipal governments, and financial institutions including trust companies, finance companies, investment dealers and commercial banks have joined the Federal Government, and finally in 1958 non-financial corporations began to issue substantial sums of short-term notes. On the lending side are financial institutions wishing to keep a certain portion of their funds liquid and non-financial corporations with temporary excess cash. The last of these borrowers and lenders mentioned, the non-financial corporation, is the concern of this thesis which examines potentiality and use of securities with maturity from one day to three years. To appreciate the potentiality of the money market, the bond market, of which it is part, is first described and pertinent characteristics of bonds in general are discussed. The specific instruments pertaining to the money market are the following: Government of Canada treasury bills and short term bonds; short term provincial and municipal issues; finance company paper; chartered bank deposit receipts, U.S. swaps and acceptances; trust company guaranteed investment certificates; investment dealer loans and buy backs; and international instruments including letters of credit and Euro-dollars. The potentiality of the money market for the non-financial corporation is further enhanced when such activity is integrated with the cash flow of the company. The cash flow itself is affected by peculiarities of the industry such as seasonal peaks and troughs, and by factors related to individual firms, such as capital structure. From published statistical data and 298 responses to the questionnaires circulated by the author, the most pertinent findings were the predominance of Federal Government, bank, and trust company paper, the small difference in yields between different qualities of paper, and that rather than formalized rules for money market activity, corporate dealings were influenced mainly by intangible factors including attitudes of the treasurer regarding safety and yields of the instruments, bargaining between buyers and sellers, limitations imposed by boards of directors and banker relationships. While the factors mentioned above must continue to affect money market decisions a formalized approach is recommended and discussed. This approach can be geared to the limitations established by the intangible factors and industry and firm peculiarities, and it objectively examines the remaining alternatives. / Business, Sauder School of / Graduate

Note: / This thesis is a critical analysis of the law relating to insider trading in three common law countries. Chapter One, addresses the merits and demerits of the regulation of insider trading and presents a review of the academic literature relating to this field. In Chapters Two, Three and Four, the law ofinsider trading in the United States, Canada and the United Kingdom is analysed and discussed on a comparative basis. Each of these chapters is in two sections. The tirst section describes the regulatory system and institutions, and the second section discusses the regulation of insider trading, highlighting the critical elements ofthis type ofregulation, such as the definition of an 'insider' and the scope of 'inside infonnation'. It concludes with a broad discussion of the differing approaches ofthese countries to insider trading. Cette thèse est un analyse critique du délit d'initiés dans trois pays 'common law'. / Dans le premier chapitre, on discute les avantages et les inconvénients de la réglementation du délit d'initiés et la littérature academique rélatif à ce sujet. Dans les Deuxième, Troisième et Quatrième Chapitres on analyse et compare le droit concernant le délit d'initiés dans les Etats-Unis, le Canada et le Royaume-Uni. Chacun de ces chapitres comprend deux parties. La première partie décrit le système réglementaire et les institutions. La deuxième partie discute le droit du délit d'initiés et les éléments critiques de ce droit (par exemple, le définition d'initié et d'information privilegiée). La Conclusion discute les approches différents de ces trois pays quant au délit d'initiés.

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This thesis is a critical analysis of the law relating to insider trading in three common law countries. Chapter One, addresses the merits and demerits of the regulation of insider trading and presents a review of the academic literature relating to this field. In Chapters Two, Three and Four, the law of insider trading in the United States, Canada and the United Kingdom is analysed and discussed on a comparative basis. Each of these chapters is in two sections. The first section describes the regulatory system and institutions, and the second section discusses the regulation of insider trading, highlighting the critical elements of this type of regulation, such as the definition of an 'insider' and the scope of 'inside information'. It concludes with a broad discussion of the differing approaches of these countries to insider trading.

Note:

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