FLAHERTY & CRUMRINE DYNAMIC PREFERRED AND INCOME FUND

To the Shareholders of Flaherty & Crumrine Dynamic Preferred and Income Fund (“DFP”):

Increased volatility was a common theme in most markets during the first fiscal quarter¹, and the preferred securities market was no exception. Total return² on net asset value (“NAV”) was -3.3% for the quarter, while total return on market price was 0.6%.

As we mentioned in our last letter, markets entered a new phase with “liftoff” in December. The Federal Reserve’s 0.25% hike in short-term interest rates was its first step in slowly removing unprecedented levels of monetary accommodation. However, other parts of the world, notably Europe and Japan, are still easing monetary policy by increasing quantitative easing (QE) programs and pushing short-term interest rates into negative territory. With concerns over economic growth in China adding to the equation, investors are struggling to figure out how all the pieces fit together going forward. Understandably, markets are factoring in a possibility of policy mistakes along the way, as these are uncharted territories for everyone. The result has been increased volatility in most markets, including commodities (oil, natural gas, and metals), stocks, U.S. Treasuries, corporate bonds, and preferred securities.

Reduced probabilities for future rate increases in the U.S., and negative rates in some regions, triggered an absolute rout in bank common stocks—with the average U.S. bank stock returning -20% during the fiscal period. Preferred securities fared much better but cheapened in sympathy (as did more-senior bank securities). Bank earnings should benefit from higher interest rates, but any upside to future earnings that investors had been hoping for (and pricing into stock prices) has been scaled back from earlier projections.

European bank common stocks were among the worst performers, and this had a related impact on the contingent capital securities market (these “CoCos” are the non-U.S. version of preferreds). Deutsche Bank was in the headlines yet again—this time with concerns about its ability to pay coupons on CoCos and preferred securities. The market reacted very negatively, and CoCo prices were dragged down substantially across the board. Once again, U.S. preferreds fared better but still cheapened in sympathy.

There is a lot for investors in all markets to consider, but as it relates to preferreds, we suggest taking a step back to reflect on a longer-term view of favorable fundamentals.

Bank earnings are certainly important to investors, since dividends are paid out of earnings and profits. However, growth in earnings, while critical to common stock valuation, is not a critical determinant of creditworthiness and preferred-stock valuation. We focus much more on a bank’s capital—on its ability to absorb losses while still being able to pay preferred dividends—than on earnings growth. On this front, the news is positive as the common equity capital at banks in which we invest continues to build, which supports debt and preferred stock that are senior to common equity.

 

 

1	December 1, 2015—February 29, 2016

2	Following the methodology required by the Securities and Exchange Commission, total return assumes dividend reinvestment.

---

Low interest rates will have mixed implications for both issuers of and investors in preferred securities, but overall they should benefit prices of preferred securities as a global search for yield continues. We also believe recent concerns around CoCos (which represented 1.7% of the Fund as of period end) will turn out to be noise, as issuers and regulators consider CoCos a necessary market that they are loath to damage by not paying coupons.

Global economic recovery will be slow, and policy mistakes are likely to be made. As we have said before, income (coupons) can make up for quite a bit of principal change over time—and preferreds continue to offer higher yields than many other fixed-income securities. While volatility may be with us for some time, and the ride may be bumpy, we believe total returns will be competitive over time for preferred investors.

As always, we encourage you to visit the Fund’s website, www.preferredincome.com for timely and important information.

Sincerely,

The Flaherty & Crumrine Portfolio Management Team

March 31, 2016

 

2

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

PORTFOLIO OVERVIEW

February 29, 2016 (Unaudited)

 

 

% of Net Assets****†
Holdings Generating Qualified Dividend Income (QDI) for Individuals			64%
Holdings Generating Income Eligible for the Corporate Dividends Received Deduction (DRD)			49%

 

****	This does not reflect year-end results or actual tax categorization of Fund distributions. These percentages can, and do, change, perhaps significantly, depending on market conditions. Investors should consult their tax advisor regarding their personal situation.

†	Net Assets includes assets attributable to the use of leverage.

 

3

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

PORTFOLIO OF INVESTMENTS

February 29, 2016 (Unaudited)

 

 

Shares/$ Par						Value
	Preferred Securities — 95.7%
				Banking — 52.1%
	7,000			AgStar Financial Services ACA, 6.75%, 144A****		$	7,758,625	*(1)
	103,166			Astoria Financial Corp., 6.50%, Series C			2,688,764	*(1)
				Bank of America Corporation:
$	9,107,000			6.50%, Series Z			9,300,524	*(1)
$	7,350,000			8.00%, Series K			7,359,187	*(1)
$	13,105,000			8.125%, Series M			13,121,381	*(1)
	60,000			Barclays Bank PLC, 7.10%, Series 3			1,500,000	**(2)
$	7,800,000			BNP Paribas, 7.375%, 144A****			7,302,750	**(1)(2)
	41,704			Capital One Financial Corporation, 6.70%, Series D			1,107,762	*
				Citigroup, Inc.:
	1,170,807			6.875%, Series K			31,172,736	*(1)
	65,022			7.125%, Series J			1,733,246	*
$	5,000,000			Citizens Financial Group, Inc., 5.50%,144A****			4,690,000	*(1)
				CoBank ACB:
	38,100			6.20%, Series H, 144A****			3,821,906	*
	3,450			6.25%, Series F, 144A****			355,781	*
	893,035			Fifth Third Bancorp, 6.625%, Series I			25,312,005	*(1)
	5,000			First Horizon National Corporation, 6.20%, Series A			127,656	*
	34,219			First Niagara Financial Group, Inc., 8.625%, Series B			904,665	*(1)
	25,000			First Republic Bank, 6.20%, Series B			670,313	*
				Goldman Sachs Group:
	10,000			5.50%, Series J			247,813	*
$	1,170,000			5.70%, Series L			1,121,738	*
	48,609			5.95%, Series I			1,224,339	*(1)
	531,522			6.375%, Series K			14,127,855	*(1)
				HSBC PLC:
$	4,458,000			HSBC Capital Funding LP, 10.176%, 144A****			6,470,564	(1)(2)
	44,800			HSBC Holdings PLC, 8.00%, Series 2			1,152,202	**(2)
	340,800			HSBC USA, Inc., 6.50%, Series H			8,551,967	*(1)
				ING Groep NV:
	160,000			6.375%			4,016,000	**(1)(2)
	38,082			7.05%			986,564	**(2)
	3,201			7.20%			83,426	**(1)(2)
				JPMorgan Chase & Company:
$	10,700,000			6.00%, Series R			10,619,750	*(1)
$	8,000,000			6.75%, Series S			8,490,000	*(1)
$	3,331,000			7.90%, Series I			3,326,836	*
$	14,022,000			Lloyds Banking Group PLC, 6.657%, 144A****			15,240,161	**(1)(2)

 

4

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 29, 2016 (Unaudited)

 

 

Shares/$ Par						Value
	Preferred Securities — (Continued)
				Banking — (Continued)
				M&T Bank Corporation:
$	15,425,000			6.450%, Series E		$	16,273,375	*(1)
$	6,789,000			6.875%, Series D, 144A****			6,818,872	*(1)
				Morgan Stanley:
	674,994			6.875%, Series F			18,238,338	*(1)
	241,200			7.125%, Series E			6,791,300	*(1)
				PNC Financial Services Group, Inc.:
	451,824			6.125%, Series P			12,820,506	*(1)
$	11,748,000			6.75%, Series O			12,582,108	*(1)
$	8,625,000			RaboBank Nederland, 11.00%, 144A****			10,211,655	(1)(2)
	627,170			Regions Financial Corporation, 6.375%, Series B			16,169,258	*(1)
				Royal Bank of Scotland Group PLC:
$	4,825,000			RBS Capital Trust II, 6.425%			4,993,875	**(1)(2)
	13,000			6.60%, Series S			315,510	**(2)
	538,500			7.25%, Series T			13,505,580	**(1)(2)
$	5,000,000			Societe Generale SA, 8.00%, 144A****			4,587,345	**(1)(2)
	110,317			State Street Corporation, 5.90%, Series D			2,909,611	*(1)
	288,008			SunTrust Banks, Inc., 5.875%, Series E			7,407,220	*(1)
	97,150			US Bancorp, 6.50%, Series F			2,814,319	*(1)
	50,000			Valley National Bancorp, 6.25%, Series A			1,367,500	*
				Wells Fargo & Company:
	180,300			5.85%, Series Q			4,614,562	*(1)
$	9,025,000			7.98%, Series K			9,295,750	*(1)
				Zions Bancorporation:
	10,000			6.30%, Series G			250,625	*
$	10,000,000			7.20%, Series J			10,225,000	*(1)
							356,778,825
				Financial Services — 0.8%
	60,000			Charles Schwab Corporation, 6.00%, Series C			1,548,750	*
				Deutsche Bank:
	89,000			Deutsche Bank Contingent Capital Trust III, 7.60%			2,163,813	**(1)(2)
	8,103			Deutsche Bank Contingent Capital Trust V, 8.05%			203,335	**(1)(2)
				HSBC PLC:
	72,515			HSBC Finance Corporation, 6.36%, Series B			1,817,407	*
							5,733,305

 

5

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 29, 2016 (Unaudited)

 

 

Shares/$ Par						Value
	Preferred Securities — (Continued)
				Insurance — 27.8%
	390,981			Allstate Corp., 6.625%, Series E		$	10,764,215	*(1)
				American International Group:
$	280,000			AIG Life Holdings, Inc., 7.57%, 144A****			336,700
$	497,000			AIG Life Holdings, Inc., 8.125%, 144A****			647,343
$	350,000			American International Group, Inc., 8.175% 05/15/58			437,500
$	1,010,000			Aon Corporation, 8.205% 01/01/27			1,229,675
	317,980			Arch Capital Group, Ltd., 6.75%, Series C			8,555,665	**(1)(2)
	4,500			Aspen Insurance Holdings Ltd., 7.401%			110,110	**(2)
				AXA SA:
$	6,550,000			6.379%, 144A****			6,821,497	**(1)(2)
$	8,500,000			8.60% 12/15/30			11,071,250	(1)(2)
	646,952			Axis Capital Holdings Ltd., 6.875%, Series C			17,063,359	**(1)(2)
	6,000			Delphi Financial Group, 7.376% 05/15/37			149,625
				Endurance Specialty Holdings:
	47,000			6.35%, Series C			1,234,690	**(2)
	181,000			7.50%, Series B			4,598,540	**(2)
$	988,000			Everest Re Holdings, 6.60% 05/15/37			852,150	(1)
	137,500			Hartford Financial Services Group, Inc., 7.875%			4,391,406
				Liberty Mutual Group:
$	17,950,000			7.80% 03/15/37, 144A****			19,677,688	(1)
$	8,195,000			10.75% 06/15/58, 144A****			11,903,238	(1)
				MetLife:
$	3,759,000			MetLife, Inc., 10.75% 08/01/39			5,563,320	(1)
$	17,200,000			MetLife Capital Trust X, 9.25% 04/08/38, 144A****			22,403,000	(1)
				PartnerRe Ltd.:
	77,450			5.875%, Series F			2,013,700	**(2)
	37,556			6.50%, Series D			1,036,313	**(2)
	252,464			7.25%, Series E			7,274,119	**(1)(2)
				Prudential Financial, Inc.:
$	5,574,000			5.625% 06/15/43			5,514,080	(1)
$	6,375,000			5.875% 09/15/42			6,478,721	(1)
$	9,070,000			8.875% 06/15/38			9,939,813	(1)
				QBE Insurance:
$	10,900,000			QBE Capital Funding III Ltd., 7.25% 05/24/41, 144A****			11,908,250	(1)(2)
				Unum Group:
$	1,750,000			Provident Financing Trust I, 7.405% 03/15/38			2,019,341

 

6

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 29, 2016 (Unaudited)

 

 

Shares/$ Par						Value
	Preferred Securities — (Continued)
				Insurance — (Continued)
				W.R. Berkley Corporation:
	233,946			5.625%		$	5,929,081	(1)
	1,530			5.90%			38,173
				XL Group PLC:
$	14,850,000			XL Capital Ltd., 6.50%, Series E			10,432,125	(1)(2)
							190,394,687
				Utilities — 2.6%
				Commonwealth Edison:
$	2,000,000			COMED Financing III, 6.35% 03/15/33			2,098,354
	121,452			Integrys Energy Group, Inc., 6.00%			3,104,617	(1)
				PPL Corp:
$	8,500,000			PPL Capital Funding, Inc., 6.70% 03/30/67, Series A			6,380,670	(1)
$	5,500,000			Puget Sound Energy, Inc., 6.974% 06/01/67, Series A			4,001,250	(1)
$	2,000,000			Southern California Edison Co., 6.25%, Series E			2,181,000	*
							17,765,891
				Energy — 5.7%
$	9,780,000			DCP Midstream LLC, 5.85% 05/21/43, 144A****			5,232,300	(1)
$	15,133,000			Enbridge Energy Partners LP, 8.05% 10/01/37			10,328,272	(1)
				Enterprise Products Operating L.P.:
$	3,675,000			7.034% 01/15/68, Series B			3,600,765	(1)
$	3,750,000			8.375% 08/01/66, Series A			2,821,875
	367,950			Kinder Morgan, Inc., 9.75%, Series A			16,693,892	*
							38,677,104
				Real Estate Investment Trust (REIT) — 4.4%
	425,148			Alexandria Real Estate, 6.45%, Series E			11,092,111	(1)
	88,280			Equity CommonWealth, 7.25%, Series E			2,226,316
				National Retail Properties, Inc.:
	45,300			5.70%, Series E			1,157,981
	127,879			6.625%, Series D			3,316,862

 

7

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 29, 2016 (Unaudited)

 

 

Shares/$ Par						Value
	Preferred Securities — (Continued)
				Real Estate Investment Trust (REIT) — (Continued)
				PS Business Parks, Inc.:
	22,908			5.70%, Series V		$	589,881
	20,867			5.75%, Series U			525,222
	287,476			6.00%, Series T			7,307,640	(1)
	113,810			6.45%, Series S			2,948,396	(1)
	47,489			Regency Centers Corporation, 6.625%, Series 6			1,246,586
							30,410,995
				Miscellaneous Industries — 2.3%
				BHP Billiton Limited:
$	1,400,000			BHP Billiton Finance U.S.A., Ltd., 6.75% 10/19/75, 144A****			1,354,500	(2)
$	3,086,000			General Electric Company, 5.00%, Series D			3,136,148	*(1)
$	10,800,000			Land O’ Lakes, Inc., 8.00%, 144A****			11,164,500	*(1)
							15,655,148
				Total Preferred Securities (Cost $663,520,088)			655,415,955
	Corporate Debt Securities — 2.4%
				Banking — 1.9%
	422,286			Texas Capital Bancshares Inc., 6.50% 09/21/42, Sub Notes			10,227,260	(1)
	100,000			Zions Bancorporation, 6.95% 09/15/28, Sub Notes			2,787,500
							13,014,760
				Communication — 0.4%
	107,483			Qwest Corporation, 7.375% 06/01/51			2,717,310
							2,717,310
				Miscellaneous Industries — 0.1%
	25,000			eBay, Inc., 6.00% 02/01/56			621,250
							621,250
				Total Corporate Debt Securities (Cost $16,299,932)			16,353,320

 

8

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

PORTFOLIO OF INVESTMENTS (Continued)

February 29, 2016 (Unaudited)

 

 

Shares/$ Par						Value
	Common Stock — 0.2%
				Energy — 0.2%
	63,080			Kinder Morgan, Inc.		$	1,141,117	*
							1,141,117
				Total Common Stock (Cost $952,508)			1,141,117
	Money Market Fund — 0.6%
				BlackRock Liquidity Funds:
	4,505,550			T-Fund, Institutional Class			4,505,550
				Total Money Market Fund (Cost $4,505,550)			4,505,550

Total Investments (Cost $685,278,078***)			98.9%				677,415,942
Other Assets And Liabilities (Net)			1.1%				7,248,932
Total Managed Assets			100.0%	‡		$	684,664,874
Loan Principal Balance							(241,300,000	)
Total Net Assets Available To Common Stock						$	443,364,874

 

*	Securities eligible for the Dividends Received Deduction and distributing Qualified Dividend Income.

**	Securities distributing Qualified Dividend Income only.

***	Aggregate cost of securities held.

****	Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At February 29, 2016, these securities amounted to $158,706,675 or 23.2% of total managed assets.

(1)	All or a portion of this security is pledged as collateral for the Fund’s loan. The total value of such securities was $413,898,608 at February 29, 2016.

(2)	Foreign Issuer.

‡	The percentage shown for each investment category is the total value of that category as a percentage of total managed assets.

 

9

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

STATEMENT OF CHANGES IN NET ASSETS AVAILABLE TO COMMON STOCK⁽¹⁾

For the period from December 1, 2015 through February 29, 2016 (Unaudited)

 

 

		Value
OPERATIONS:
Net investment income		$	8,799,762
Net realized gain/(loss) on investments sold during the period			(228,944	)
Change in net unrealized appreciation/(depreciation) of investments			(23,922,045	)
Net decrease in net assets resulting from operations			(15,351,227	)
DISTRIBUTIONS:
Dividends paid from net investment income to Common Stock Shareholders(2)			(9,195,256	)
Total Distributions to Common Stock Shareholders			(9,195,256	)
NET DECREASE IN NET ASSETS AVAILABLE TO COMMON STOCK
FOR THE PERIOD		$	(24,546,483	)
NET ASSETS AVAILABLE TO COMMON STOCK:
Beginning of period		$	467,911,357
Net decrease in net assets during the period			(24,546,483	)
End of period		$	443,364,874

 

(1)	These tables summarize the three months ended February 29, 2016 and should be read in conjunction with the Fund’s audited financial statements, including notes to financial statements, in its Annual Report dated November 30, 2015.

(2)	May include income earned, but not paid out, in prior fiscal year.

 

10

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

FINANCIAL HIGHLIGHTS⁽¹⁾

For the period from December 1, 2015 through February 29, 2016 (Unaudited)

For a Common Stock share outstanding throughout the period

 

 

PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period		$	24.43
INVESTMENT OPERATIONS:
Net investment income			0.46
Net realized and unrealized gain/(loss) on investments			(1.27	)
Total from investment operations			(0.81	)
DISTRIBUTIONS TO COMMON STOCK SHAREHOLDERS:
From net investment income			(0.48	)
Total distributions to Common Stock Shareholders			(0.48	)
Net asset value, end of period		$	23.14
Market value, end of period		$	22.64
Common Stock shares outstanding, end of period			19,156,782
RATIOS TO AVERAGE NET ASSETS AVAILABLE TO COMMON STOCK SHAREHOLDERS:
Net investment income†			7.80	%*
Operating expenses including interest expense			1.82	%*
Operating expenses excluding interest expense			1.16	%*
SUPPLEMENTAL DATA:††
Portfolio turnover rate			2	%**
Total managed assets, end of period (in 000’s)		$	684,665
Ratio of operating expenses including interest expense to total managed assets			1.19	%*
Ratio of operating expenses excluding interest expense to total managed assets			0.76	%*

 

 

(1)	These tables summarize the three months ended February 29, 2016 and should be read in conjunction with the Fund’s audited financial statements, including notes to financial statements, in its Annual Report dated November 30, 2015.

*	Annualized.

**	Not annualized.

†	The net investment income ratio reflects income net of operating expenses, including interest expense.

††	Information presented under heading Supplemental Data includes loan principal balance.

 

11

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

FINANCIAL HIGHLIGHTS (Continued)

Per Share of Common Stock (Unaudited)

 

 

		Total Dividends Paid				Net Asset Value				NYSE Closing Price				Dividend Reinvestment Price(1)
December 31, 2015		$	0.1600			$	24.20			$	22.90			$	22.87
January 29, 2016			0.1600				23.73				23.19				22.85
February 29, 2016			0.1600				23.14				22.64				22.68

 

(1)

Whenever the net asset value per share of the Fund’s Common Stock is less than or equal to the market price per share on the reinvestment date, new shares issued will be valued at the higher of net asset value or 95% of the then current market price. Otherwise, the reinvestment shares of Common Stock will be purchased in the open market.

 

12

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

NOTES TO FINANCIAL STATEMENTS (Unaudited)

 

 

1.	Aggregate Information for Federal Income Tax Purposes

At February 29, 2016, the aggregate cost of securities for federal income tax purposes was $691,398,086, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $20,510,936 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $34,493,080.

 

2.	Additional Accounting Standards

Fair Value Measurements: The Fund has analyzed all existing investments to determine the significance and character of all inputs to their fair value determination. The levels of fair value inputs used to measure the Fund’s investments are characterized into a fair value hierarchy. Where inputs for an asset or liability fall into more than one level in the fair value hierarchy, the investment is classified in its entirety based on the lowest level input that is significant to that investment’s valuation. The three levels of the fair value hierarchy are described below:

 

•       Level 1		–		quoted prices in active markets for identical securities
•       Level 2		–		other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
•       Level 3		–		significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. Transfers in and out of levels are recognized at market value at the end of the period.

 

13

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Flaherty & Crumrine Dynamic Preferred and Income Fund Incorporated

NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)

 

 

A summary of the inputs used to value the Fund’s investments as of February 29, 2016 is as follows:

 

		Total Value at February 29, 2016				Level 1 Quoted Price				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs
Preferred Securities
Banking		$	356,778,825			$	301,432,547			$	55,346,278			$	—
Financial Services			5,733,305				5,733,305				—				—
Insurance			190,394,687				113,838,117				76,556,570				—
Utilities			17,765,891				9,485,287				8,280,604				—
Energy			38,677,104				23,116,532				15,560,572				—
Real Estate Investment Trust (REIT)			30,410,995				30,410,995				—				—
Miscellaneous Industries			15,655,148				4,490,648				11,164,500				—
Corporate Debt Securities
Banking			13,014,760				13,014,760				—				—
Communication			2,717,310				2,717,310				—				—
Miscellaneous Industries			621,250				621,250				—				—
Common Stock
Energy			1,141,117				1,141,117				—				—
Money Market Fund			4,505,550				4,505,550				—				—
Total Investments		$	677,415,942			$	510,507,418			$	166,908,524			$	—

During the reporting period, there were no transfers into Level 1 from Level 2 or into Level 2 from Level 1.

The fair values of the Fund’s investments are generally based on market information and quotes received from brokers or independent pricing services that are approved by the Board of Directors and are unaffiliated with the Adviser. To assess the continuing appropriateness of security valuations, management, in consultation with the Adviser, regularly compares current prices to prior prices, prices across comparable securities, actual sale prices for securities in the Fund’s portfolio, and market information obtained by the Adviser as a function of being an active market participant.

Securities with quotes that are based on actual trades or actionable bids and offers with a sufficient level of activity on or near the measurement date are classified as Level 1. Securities that are priced using quotes derived from implied values, indicative bids and offers, or a limited number of actual trades—or the same information for securities that are similar in many respects to those being valued—are classified as Level 2. If market information is not available for securities being valued, or materially-comparable securities, then those securities are classified as Level 3. In considering market information, management evaluates changes in liquidity, willingness of a broker to execute at the quoted price, the depth and consistency of prices from pricing services, and the existence of observable trades in the market.

 

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