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Monthly DMM Activity Report

AUGUST 2019

TSX-Listed Securities - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 90 78 283
Obligation Pas Rate (%) 69.399 63.126 50.793
Quoted Spread (%) 1.299 2.516 4.414
Quoted Size 1037.736 638.484 518.572
NBB Presence (%) 5.247 6.044 6.665
NBO Presence (%) 6.037 6.132 13.169
Daily Traded Volume 51942.907 23041.546 17068.83
DMM Participation (%) 6.904 6.376 3.505
MMVA Utilization (%) 0.384 0.349 0.114

TSX-Listed Securities - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 90 78 283
Obligation Pas Rate (%) 69.399 63.431 50.964
Quoted Spread (%) 1.26 2.21 4.039
Quoted Size 1160.047 818.01 589.824
NBB Presence (%) 21.324 29.647 20.188
NBO Presence (%) 22.467 29.943 29.528
Daily Traded Volume 38021.326 18080.395 17196.902
DMM Participation (%) 35.475 49.939 19.277
MMVA Utilization (%) 2.581 2.313 0.914

Exchange Traded Funds - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 728
Obligation Pas Rate (%) 19.728 59.921 77.173
Quoted Spread (%) 0.076 0.377 0.445
Quoted Size 13584.655 7703.735 6271.057
NBB Presence (%) 58.492 34.445 49.389
NBO Presence (%) 55.771 35.319 54.137
Daily Traded Volume 115972.959 37380.204 6052.496
DMM Participation (%) 17.542 40.39 34.076
MMVA Utilization (%) 1.611 4.508 4.175

Exchange Traded Funds - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 728
Obligation Pas Rate (%) 19.048 59.325 78.338
Quoted Spread (%) 0.093 0.403 0.48
Quoted Size 12798.464 7153.104 6203.665
NBB Presence (%) 38.439 21.327 33.14
NBO Presence (%) 38.537 21.443 36.592
Daily Traded Volume 36319.048 20268.154 6205.023
DMM Participation (%) 17.633 30.987 26.155
MMVA Utilization (%) 0.868 3.015 2.672

TSXV-Listed - NEO-L

Tier 3
Assigned Securities 214
Obligation Pas Rate (%) 1.342
Quoted Spread (%) 3.942
Quoted Size 1221.719
NBB Presence (%) 7.749
NBO Presence (%) 7.696
Daily Traded Volume 29086.782
DMM Participation (%) 0.539
MMVA Utilization (%) 0.01

TSXV-Listed - NEO-N

Tier 3
Assigned Securities 214
Obligation Pas Rate (%) 1.342
Quoted Spread (%) 2.744
Quoted Size 1335.333
NBB Presence (%) 40.166
NBO Presence (%) 41.367
Daily Traded Volume 39843.341
DMM Participation (%) 1.417
MMVA Utilization (%) 0.06

Debt - NEO-L

Tier 1
Assigned Securities 1
Obligation Pas Rate (%) 0
Quoted Spread (%) 0
Quoted Size 0
NBB Presence (%) 0
NBO Presence (%) 0
Daily Traded Volume 9500
DMM Participation (%) 0
MMVA Utilization (%) 0

Debt - NEO-N

Tier 1
Assigned Securities 1
Obligation Pas Rate (%) 0
Quoted Spread (%) 0
Quoted Size 0
NBB Presence (%) 0
NBO Presence (%) 0
Daily Traded Volume 0
DMM Participation (%) 0
MMVA Utilization (%) 0

Trade Participation - Per DMM

BMO NESBITT BURNS CANACCORD GENUITY CIBC WORLD MARKETS NATIONAL BANK FINANCIAL RBC DOMINION SECURITIES TD SECURITIES W.D. LATIMER CO.
Assigned Securities 261 10 15 317 373 166 284
ObligationPass Rate (%) 85.882 14.524 0 74.962 77.125 55.78 0
NBBO Presence (%) 36.668 2.875 0 48.627 21.292 38.407 0
DMM Participation (%) 27.321 0.389 0.065 38.729 25.866 12.629 0.052

Trade Participation - Launch to Date NEO-L

Trade Participation - Launch to Date NEO-N

1 Change in market share compared to previous week

2 Assumes that crosses make up 12% of the overall market in terms of volume and value. Estimated by averaging the historical proportion of crosses over the last six months.