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Monthly DMM Activity Report

JUNE 2019

TSX-Listed Securities - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 86 78 279
Obligation Pas Rate (%) 65.988 61.987 50.045
Quoted Spread (%) 1.31 2.503 4.221
Quoted Size 1024.783 648.649 506.989
NBB Presence (%) 4.986 4.641 10.969
NBO Presence (%) 3.538 3.993 18.932
Daily Traded Volume 49491.532 32268.329 15501.093
DMM Participation (%) 5.735 3.826 4.044
MMVA Utilization (%) 0.327 0.238 0.109

TSX-Listed Securities - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 86 78 279
Obligation Pas Rate (%) 65.814 62.5 50.171
Quoted Spread (%) 1.282 2.127 3.904
Quoted Size 1126.133 831.875 573.354
NBB Presence (%) 21.661 33.293 25.983
NBO Presence (%) 19.52 32.51 33.52
Daily Traded Volume 35467.995 21758.694 13828.31
DMM Participation (%) 27.363 37.535 17.927
MMVA Utilization (%) 2.682 2.876 0.927

Exchange Traded Funds - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 711
Obligation Pas Rate (%) 23.571 65.417 78.035
Quoted Spread (%) 0.111 0.345 0.412
Quoted Size 13570.121 7503.678 6392.438
NBB Presence (%) 45.894 34.976 50.138
NBO Presence (%) 41.792 31.463 53.663
Daily Traded Volume 106188.579 34866.16 5759.905
DMM Participation (%) 22.351 45.596 31.936
MMVA Utilization (%) 1.745 3.845 4.435

Exchange Traded Funds - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 711
Obligation Pas Rate (%) 22.857 65.625 79.249
Quoted Spread (%) 0.123 0.372 0.447
Quoted Size 12679.563 7396.063 6356.087
NBB Presence (%) 32.357 21.893 33.544
NBO Presence (%) 26.783 20.493 36.13
Daily Traded Volume 31820 18040.084 5465.438
DMM Participation (%) 19.089 34.101 22.345
MMVA Utilization (%) 1.697 2.476 2.363

TSXV-Listed - NEO-L

Tier 3
Assigned Securities 177
Obligation Pas Rate (%) 1.497
Quoted Spread (%) 3.87
Quoted Size 1092.83
NBB Presence (%) 10.228
NBO Presence (%) 19.745
Daily Traded Volume 23926.603
DMM Participation (%) 0.756
MMVA Utilization (%) 0.023

TSXV-Listed - NEO-N

Tier 3
Assigned Securities 177
Obligation Pas Rate (%) 1.469
Quoted Spread (%) 2.742
Quoted Size 2033.423
NBB Presence (%) 39.024
NBO Presence (%) 47.845
Daily Traded Volume 27418.7
DMM Participation (%) 2.797
MMVA Utilization (%) 0.146

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 5333.333
DMM Participation (%) 25
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 260 10 15 302 364 128 287
ObligationPass Rate (%) 87.692 8 0 72.835 77.074 73.377 0
NBBO Presence (%) 36.838 0.229 0 50.334 22.764 38.897 0
DMM Participation (%) 22.087 0.15 0.019 42.713 20.312 12.593 0.076

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.