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Monthly DMM Activity Report

JULY 2019

TSX-Listed Securities - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 86 78 279
Obligation Pas Rate (%) 71.247 66.608 54.616
Quoted Spread (%) 1.31 2.493 4.289
Quoted Size 1041.553 640.335 492.032
NBB Presence (%) 6.705 5.635 10.783
NBO Presence (%) 5.9 5.789 15.268
Daily Traded Volume 42423.894 19569.886 14233.256
DMM Participation (%) 7.339 6.674 3.844
MMVA Utilization (%) 0.442 0.387 0.107

TSX-Listed Securities - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 86 78 279
Obligation Pas Rate (%) 71.353 67.016 54.829
Quoted Spread (%) 1.261 2.11 3.777
Quoted Size 1205.53 865.559 583.026
NBB Presence (%) 25.746 35.553 27.797
NBO Presence (%) 24.74 33.9 33.973
Daily Traded Volume 33149.008 16388.961 13955.448
DMM Participation (%) 38.344 48.712 21.938
MMVA Utilization (%) 2.749 2.779 0.984

Exchange Traded Funds - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 718
Obligation Pas Rate (%) 22.727 65.53 76.346
Quoted Spread (%) 0.073 0.332 0.419
Quoted Size 12770.514 7424.899 6239.125
NBB Presence (%) 52.089 32.47 49.205
NBO Presence (%) 48.376 35.32 53.645
Daily Traded Volume 76229.825 28791.771 4969.207
DMM Participation (%) 18.436 44.15 32.876
MMVA Utilization (%) 0.853 4.531 4.231

Exchange Traded Funds - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 7 24 718
Obligation Pas Rate (%) 22.078 65.53 77.579
Quoted Spread (%) 0.088 0.359 0.455
Quoted Size 11279.294 7159.46 6156.601
NBB Presence (%) 36.435 20.828 32.902
NBO Presence (%) 31.12 22.574 36.265
Daily Traded Volume 20822.517 15382.979 5156.739
DMM Participation (%) 17.733 28.217 23.1
MMVA Utilization (%) 1.7 2.562 2.338

TSXV-Listed - NEO-L

Tier 3
Assigned Securities 193
Obligation Pas Rate (%) 1.092
Quoted Spread (%) 4.205
Quoted Size 415.795
NBB Presence (%) 12.306
NBO Presence (%) 6.662
Daily Traded Volume 27980.761
DMM Participation (%) 0.487
MMVA Utilization (%) 0.005

TSXV-Listed - NEO-N

Tier 3
Assigned Securities 193
Obligation Pas Rate (%) 1.167
Quoted Spread (%) 2.903
Quoted Size 600.723
NBB Presence (%) 44.365
NBO Presence (%) 37.693
Daily Traded Volume 32646.955
DMM Participation (%) 1.621
MMVA Utilization (%) 0.06

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 6000
DMM Participation (%) 4.167
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 15 309 369 142 285
ObligationPass Rate (%) 87.64 0 0 71.721 81.916 65.811 0
NBBO Presence (%) 36.583 0 0 49.421 23.654 37.222 0
DMM Participation (%) 22.596 0.036 0.056 43.134 26.796 12.151 0.052

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.