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Monthly DMM Activity Report

NOVEMBER 2019

TSX-Listed Securities - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 169 153 302
Obligation Pas Rate (%) 62.681 57.482 53.714
Quoted Spread (%) 1.312 2.525 3.501
Quoted Size 1035.074 629.04 695.807
NBB Presence (%) 7.659 5.596 27.973
NBO Presence (%) 6.068 7.476 34.28
Daily Traded Volume 63275.215 31914.41 20826.674
DMM Participation (%) 4.153 2.729 4.427
MMVA Utilization (%) 0.494 0.354 0.184

TSX-Listed Securities - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 169 153 302
Obligation Pas Rate (%) 62.581 57.838 53.575
Quoted Spread (%) 1.257 2.182 3.555
Quoted Size 1165.104 879.989 694.247
NBB Presence (%) 27.082 29.825 39.865
NBO Presence (%) 24.724 33.663 45.441
Daily Traded Volume 39390.281 19823.16 17448.53
DMM Participation (%) 40.713 44.493 23.703
MMVA Utilization (%) 2.619 1.52 1.011

Exchange Traded Funds - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 51 185 754
Obligation Pas Rate (%) 28.085 58.561 74.162
Quoted Spread (%) 0.299 0.374 0.408
Quoted Size 17709.258 8232.055 6247.811
NBB Presence (%) 39.636 33.134 47.368
NBO Presence (%) 50.847 40.38 52.201
Daily Traded Volume 94015.17 17139.003 5255.584
DMM Participation (%) 19.965 29.477 32.508
MMVA Utilization (%) 1.987 4.441 4.591

Exchange Traded Funds - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 51 185 754
Obligation Pas Rate (%) 26.809 53.226 75.02
Quoted Spread (%) 0.295 0.425 0.44
Quoted Size 17675.127 8068.401 6128.468
NBB Presence (%) 18.396 17.77 30.871
NBO Presence (%) 34.773 24.511 34.326
Daily Traded Volume 32151.142 11864.698 5544.412
DMM Participation (%) 23.708 24.256 24.062
MMVA Utilization (%) 1.859 2.831 2.325

TSXV-Listed - NEO-L

Tier 2 Tier 3
Assigned Securities 9 211
Obligation Pas Rate (%) 0 0
Quoted Spread (%) 0 0
Quoted Size 0 0
NBB Presence (%) 0 0
NBO Presence (%) 0 0
Daily Traded Volume 26857.333 20577.101
DMM Participation (%) 1.785 0.683
MMVA Utilization (%) 0 0

TSXV-Listed - NEO-N

Tier 2 Tier 3
Assigned Securities 9 211
Obligation Pas Rate (%) 0 0
Quoted Spread (%) 0 0
Quoted Size 0 0
NBB Presence (%) 0 0
NBO Presence (%) 0 0
Daily Traded Volume 33683.333 31267.944
DMM Participation (%) 5.113 1.959
MMVA Utilization (%) 0 0

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 2000
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 255 10 15 350 378 168 279
ObligationPass Rate (%) 83.729 19.048 0.476 69.604 72.585 54.981 0
NBBO Presence (%) 36.62 0.005 0.043 45.046 31.156 35.208 0
DMM Participation (%) 23.386 0.162 0.061 38.66 22.873 12.066 0.057

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.