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Monthly DMM Activity Report

MAY 2019

TSX-Listed Securities - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 86 78 279
Obligation Pas Rate (%) 70.19 66.434 52.943
Quoted Spread (%) 1.301 2.517 4.016
Quoted Size 1036.306 639.542 542.927
NBB Presence (%) 4.834 3.431 12.64
NBO Presence (%) 3.273 4.32 24.176
Daily Traded Volume 48042.491 26543.397 15479.147
DMM Participation (%) 5.802 4.525 4.808
MMVA Utilization (%) 0.289 0.186 0.069

TSX-Listed Securities - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 86 78 279
Obligation Pas Rate (%) 70.19 66.783 52.878
Quoted Spread (%) 1.273 2.217 3.954
Quoted Size 1203.099 837.671 588.322
NBB Presence (%) 21.143 34.053 25.602
NBO Presence (%) 19.285 36.919 35.362
Daily Traded Volume 36207.59 18866.095 11503.956
DMM Participation (%) 28.252 37.916 25.462
MMVA Utilization (%) 2.426 2.405 1.034

Exchange Traded Funds - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 695
Obligation Pas Rate (%) 24.026 66.477 78.033
Quoted Spread (%) 0.1 0.354 0.416
Quoted Size 16444.919 7770.667 6395.818
NBB Presence (%) 48.254 29.653 47.447
NBO Presence (%) 47.175 35.69 54.294
Daily Traded Volume 109598.364 31123.888 5599.289
DMM Participation (%) 36.307 43.415 29.681
MMVA Utilization (%) 2.423 5.142 4.295

Exchange Traded Funds - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 695
Obligation Pas Rate (%) 24.026 66.477 79.459
Quoted Spread (%) 0.115 0.376 0.45
Quoted Size 15494.378 7683.425 6373.756
NBB Presence (%) 29.491 17.366 32.008
NBO Presence (%) 30.803 23.301 36.979
Daily Traded Volume 48931.818 18058.365 5485.655
DMM Participation (%) 19.479 31.2 23.146
MMVA Utilization (%) 1.243 3.264 2.329

TSXV-Listed - NEO-L

Tier 3
Assigned Securities 182
Obligation Pas Rate (%) 1.66
Quoted Spread (%) 3.575
Quoted Size 1187.292
NBB Presence (%) 24.306
NBO Presence (%) 28.116
Daily Traded Volume 30751.435
DMM Participation (%) 0.686
MMVA Utilization (%) 0.03

TSXV-Listed - NEO-N

Tier 3
Assigned Securities 182
Obligation Pas Rate (%) 1.609
Quoted Spread (%) 2.666
Quoted Size 2886.794
NBB Presence (%) 49.718
NBO Presence (%) 53.061
Daily Traded Volume 27252.099
DMM Participation (%) 2.69
MMVA Utilization (%) 0.174

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 7428.571
DMM Participation (%) 17.308
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 15 287 364 127 291
ObligationPass Rate (%) 86.932 3.864 0 73.417 81.766 73.747 0
NBBO Presence (%) 37.068 0 0 51.365 22.408 36.961 0
DMM Participation (%) 22.131 0.069 0.398 42.203 21.667 12.251 0.062

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.