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Monthly DMM Activity Report

JANUARY 2020

TSX-Listed Securities - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 163 101 216
Obligation Pas Rate (%) 53.118 25.547 48.51
Quoted Spread (%) 1.312 2.086 3.31
Quoted Size 1571.89 830.406 1283.271
NBB Presence (%) 7.241 8.74 40.314
NBO Presence (%) 8.228 9.411 43.129
Daily Traded Volume 66658.202 25357.212 11524.671
DMM Participation (%) 5.967 4.562 7.457
MMVA Utilization (%) 0.878 0.231 0.244

TSX-Listed Securities - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 163 101 216
Obligation Pas Rate (%) 53.261 26.91 48.333
Quoted Spread (%) 1.273 1.675 3.743
Quoted Size 1654.492 1628.356 1219.923
NBB Presence (%) 21.271 38.168 47.535
NBO Presence (%) 21.911 39.429 49.259
Daily Traded Volume 32035.657 25277.992 14625.916
DMM Participation (%) 48.042 42.544 12.077
MMVA Utilization (%) 1.82 0.627 0.067

Exchange Traded Funds - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 52 175 570
Obligation Pas Rate (%) 63.436 68.753 74.547
Quoted Spread (%) 0.301 0.319 0.419
Quoted Size 16780.06 8505.829 5513.179
NBB Presence (%) 38.772 35.787 52.489
NBO Presence (%) 50.292 46.853 57.834
Daily Traded Volume 52490.911 8201.993 1797.354
DMM Participation (%) 24.656 24.17 36.106
MMVA Utilization (%) 3.994 4.282 3.652

Exchange Traded Funds - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 52 175 570
Obligation Pas Rate (%) 62.026 67.818 73.984
Quoted Spread (%) 0.345 0.357 0.45
Quoted Size 16357.509 8159.304 5411.282
NBB Presence (%) 20.477 20.279 34.7
NBO Presence (%) 31.408 28.746 39.037
Daily Traded Volume 33840.826 8701.378 1973.715
DMM Participation (%) 21.946 16.912 28.862
MMVA Utilization (%) 3.162 2.916 1.433

TSXV-Listed - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 1 9 208
Obligation Pas Rate (%) 0 0 5.407
Quoted Spread (%) 0 0 12.861
Quoted Size 0 0 6881.229
NBB Presence (%) 0 0 16.627
NBO Presence (%) 0 0 14.524
Daily Traded Volume 74333.333 38066.624 29315.727
DMM Participation (%) 4.932 1.623 1.991
MMVA Utilization (%) 0 0.014 0.112

TSXV-Listed - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 1 9 208
Obligation Pas Rate (%) 0 0 5.474
Quoted Spread (%) 0 0 13.018
Quoted Size 0 0 7036.597
NBB Presence (%) 0 0 11.54
NBO Presence (%) 0 0 11.412
Daily Traded Volume 195500 54354.264 40834.911
DMM Participation (%) 4.431 8.321 1.387
MMVA Utilization (%) 1.667 0 0.061

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 4500
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 VIRTU FINANCIAL CANADA ULC W.D. LATIMER CO.
Assigned Securities 251 8 15 369 376 164 103 275
ObligationPass Rate (%) 81.907 0 0.303 68.594 52.02 54.03 90.278 0
NBBO Presence (%) 37.545 0 0.138 48.52 38.047 34.184 12.012 0
DMM Participation (%) 23.463 0.159 0.018 33.344 27.546 8.1 7.725 0.032

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.