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Monthly DMM Activity Report

FEBRUARY 2020

TSX-Listed Securities - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 159 89 214
Obligation Pas Rate (%) 51.786 23.359 46.799
Quoted Spread (%) 1.316 2.058 3.913
Quoted Size 1305.357 839.342 1383.004
NBB Presence (%) 10.571 15.213 34.906
NBO Presence (%) 10.46 15.929 41.987
Daily Traded Volume 69865.34 26283.639 18718.8
DMM Participation (%) 9.011 8.529 7.371
MMVA Utilization (%) 0.744 0.286 0.045

TSX-Listed Securities - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 159 89 214
Obligation Pas Rate (%) 51.619 24.66 46.749
Quoted Spread (%) 1.299 1.691 4.247
Quoted Size 1301.444 1594.954 1313.36
NBB Presence (%) 18.642 37.91 41.813
NBO Presence (%) 18.894 41.235 47.465
Daily Traded Volume 36415.166 28059.319 24864.18
DMM Participation (%) 40.898 44.602 8.021
MMVA Utilization (%) 1.331 0.6 0.024

Exchange Traded Funds - NEO-L

Tier 1 Tier 2 Tier 3
Assigned Securities 52 175 589
Obligation Pas Rate (%) 52.935 60.571 65.651
Quoted Spread (%) 0.313 0.315 0.414
Quoted Size 17587.338 8772.952 5543.023
NBB Presence (%) 35.58 34.401 54.239
NBO Presence (%) 50.909 46.643 59.718
Daily Traded Volume 64547.338 10566.841 2343.032
DMM Participation (%) 23.862 28.399 39.478
MMVA Utilization (%) 4.371 3.858 3.571

Exchange Traded Funds - NEO-N

Tier 1 Tier 2 Tier 3
Assigned Securities 52 175 589
Obligation Pas Rate (%) 53.34 60.301 64.709
Quoted Spread (%) 0.372 0.35 0.446
Quoted Size 16905.586 8384.975 5432.849
NBB Presence (%) 18.183 19.42 35.309
NBO Presence (%) 30.233 28.226 40.063
Daily Traded Volume 39428.992 10536.285 2386.257
DMM Participation (%) 17.204 20.642 32.252
MMVA Utilization (%) 3.83 2.522 1.415

TSXV-Listed - NEO-L

Tier 2 Tier 3
Assigned Securities 4 206
Obligation Pas Rate (%) 0 9.495
Quoted Spread (%) 0 14.806
Quoted Size 0 6173.327
NBB Presence (%) 0 19.896
NBO Presence (%) 0 14.543
Daily Traded Volume 16901.227 44226.591
DMM Participation (%) 4.094 2.316
MMVA Utilization (%) 0 0.012

TSXV-Listed - NEO-N

Tier 2 Tier 3
Assigned Securities 4 206
Obligation Pas Rate (%) 0 9.47
Quoted Spread (%) 0 15.08
Quoted Size 0 6117.88
NBB Presence (%) 0 12.891
NBO Presence (%) 0 10.582
Daily Traded Volume 35798.684 57943.87
DMM Participation (%) 16.503 2.106
MMVA Utilization (%) 0 0.005

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 11000
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 VIRTU FINANCIAL CANADA ULC W.D. LATIMER CO.
Assigned Securities 251 8 15 387 376 164 102 213
ObligationPass Rate (%) 75.594 0 0.175 58.735 44.792 48.089 90.052 0
NBBO Presence (%) 38.087 0 18.825 49.941 39.889 34.342 9.976 0
DMM Participation (%) 29.73 0.133 0.044 29.482 27.24 8.419 6.277 0.018

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.