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monthly dmm Activity Report

SEPTEMBER 2018

TSX Listed Securities Lit Book

Tier 1 Tier 2 Tier 3
Assigned Securities 87 83 297
Obligation Pas Rate (%) 75.197 72.479 57.505
Quoted Spread (%) 1.316 2.573 3.584
Quoted Size 1025.828 612.032 700.724
NBB Presence (%) 1.918 3.457 26.256
NBO Presence (%) 1.639 5.129 26.301
Daily Traded Volume 30490.286 13107.092 40422.253
DMM Participation (%) 6.839 10.143 6.064
MMVA Utilization (%) 0.008 0.007 0.001

TSX Listed Securities NEO Book

Tier 1 Tier 2 Tier 3
Assigned Securities 87 83 297
Obligation Pas Rate (%) 75.499 72.733 57.469
Quoted Spread (%) 1.209 2.035 3.441
Quoted Size 1432.502 1088.915 683.322
NBB Presence (%) 28.719 37.394 41.882
NBO Presence (%) 30.405 42.093 42.455
Daily Traded Volume 40624.444 21443.456 34737.286
DMM Participation (%) 48.846 61.878 44.708
MMVA Utilization (%) 0.012 0.001 0.002

Exchange Traded Funds Lit Book

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 632
Obligation Pas Rate (%) 50.376 75 81.987
Quoted Spread (%) 1.417 0.295 0.387
Quoted Size 8899.373 8193.152 6578.201
NBB Presence (%) 51.463 42.971 55.031
NBO Presence (%) 47.661 40.089 57.706
Daily Traded Volume 78271.729 17312.067 5263.512
DMM Participation (%) 27.108 35.624 30.026
MMVA Utilization (%) 4.684 5.81 4.136

Exchange Traded Funds NEO Book

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 632
Obligation Pas Rate (%) 49.624 72.807 83.537
Quoted Spread (%) 1.294 0.331 0.419
Quoted Size 8350.773 8269.943 6517.161
NBB Presence (%) 39.005 27.329 37.67
NBO Presence (%) 36.689 25.952 39.401
Daily Traded Volume 64050.376 18968.667 5805.915
DMM Participation (%) 31.255 18.9 24.972
MMVA Utilization (%) 3.911 3.59 3.274

TSXV Listed Lit Book

Tier 3
Assigned Securities 202
Obligation Pas Rate (%) 2.216
Quoted Spread (%) 3.734
Quoted Size 1849.059
NBB Presence (%) 7.725
NBO Presence (%) 7.961
Daily Traded Volume 55724.914
DMM Participation (%) 1.552
MMVA Utilization (%) 0.01

TSXV Listed NEO Book

Tier 3
Assigned Securities 202
Obligation Pas Rate (%) 2.216
Quoted Spread (%) 2.65
Quoted Size 2810.918
NBB Presence (%) 38.938
NBO Presence (%) 39.605
Daily Traded Volume 60314.901
DMM Participation (%) 8.055
MMVA Utilization (%) 0.007

Debts Listed Lit Book

Tier 1
Assigned Securities 3
Obligation Pas Rate (%) 0
Quoted Spread (%) 0
Quoted Size 0
NBB Presence (%) 0
NBO Presence (%) 0
Daily Traded Volume 33227.273
DMM Participation (%) 7.113
MMVA Utilization (%) 0

Debts Listed NEO Book

Tier 1
Assigned Securities 3
Obligation Pas Rate (%) 0
Quoted Spread (%) 0
Quoted Size 0
NBB Presence (%) 0
NBO Presence (%) 0
Daily Traded Volume 21000
DMM Participation (%) 0
MMVA Utilization (%) 0

Trade Participation - Per DMM

BANK OF MONTREAL NESBITT BURNS CANACCORD GENUITY CORP. CIBC NATIONAL BANK FINANCIAL INC. RBC DOMINION SECURITIES TD SECURITIES INC. WD LATIMER CO. LIMITED
Assigned Securities 261 10 17 215 386 130 317
ObligationPass Rate (%) 87.225 19.211 0 81.199 86.91 81.255 0
NBBO Presence (%) 39.733 1.068 0 56.423 30.253 45.633 0
DMM Participation (%) 18.847 1.61 0.008 35.836 43.31 18.283 0.039

Trade Participation - Launch to Date Lit

Trade Participation - Launch to Date NEO

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.