15 2.6 Market on Close (MOC) The Market on Close (MOC) facility is an electronic call market that establishes the closing price for eligible listed stocks on Toronto Stock Exchange and TSX Venture Exchange. The MOC facility is a value added service for Toronto Stock Exchange (TSX) / TSX Venture Exchange (TSXV) providing equal access and opportunity in setting the closing price, increased price discovery efficiency, and reducing the volatility of the closing price for symbols eligible for the MOC facility. The facility provides a fair benchmark for the fund management industry and provides a mechanism to minimize tracking error caused by deviations from the closing price. Derivative traders also benefit from the MOC facility as they require reliable benchmark closing prices for index related securities for basis, swaps, and options trades. The MOC facility was introduced to TSX in 2004 and has since been widely adopted as an efficient and effective mechanism to establish the closing price. The facility was further extended to TSXV in 2012 to aid in portfolio and index rebalancing activities for recent Venture indices and index tracking ETFs. As of Oct 18, 2021, the facility has been modernized to improve transparency, better align with global markets and improve consistency of execution. For details on the new MOC model, please refer to the TSX MOC Detailed Guide. Initially the MOC facility was introduced on TSX for the constituents of the S&P/TSX Composite Index. With the increase in the number of indices and the increase in the number of ETFs, there has been steady growth in the symbols added to the MOC facility. Currently TSX and TSX Venture support a MOC session, available for specified securities. TSX Alpha does not support a MOC session. 2.6.1 MOC-Eligible Securities All TSX listed equities are eligible for the TSX MOC Facility, with the exception of ETFs, rights, warrants, notes, debentures, sustainable bonds and exchangeables. The TSXV MOC facility includes constituents of industry recognized indices as well as certain symbols that are MOC eligible based on participant demand and feedback. 2.6.2 Participating in MOC The MOC book is independent and runs in parallel with the CLOB. Orders in the MOC book are not disseminated publically. MOC trades occur as a result of interaction between the four following types of orders: 1. MOC orders: are priced at “market” and only execute at the MOC calculated closing price. MOC orders are entered into the MOC book during Post Open and Imbalance period (7:00 am - 3:56 pm2) and are queued in time priority. MOC orders cannot be cancelled after the imbalance is published at 3:50 pm and may be board lot, mixed lot or odd lot sized orders with regular settlement terms. Odd lot MOC orders are executed only if there is a board lot MOC fill first. MOC orders may be marked short, for jitney purposes, and/or anonymous. 2. Limit on Close (LOC) orders: are limit orders that only trade at the calculated closing price. LOC orders may be board lot, mixed lot or odd lot sized orders. LOC orders are accepted up to the close on either side of the order book without restrictions on their limit price. LOC orders received during the Freeze Period (3:46 pm2 – 4:00 pm) are designated as “Pegged LOC” orders. Pegged LOC orders are “pegged” to the MOC Reference Price such that the price is re-priced to the MOC Reference Price if it is more aggressive (buy orders with a price greater than the Reference Price, and sell orders with a price lower than the Reference Price). For Pegged LOC orders less aggressive than the Reference Price, the limit price remains as entered and there is no difference from a normal LOC order. Cancelling and modifying LOC orders Post Open (9:00 am – 3:50 pm): LOC orders may be cancelled or modified. MOC Imbalance (3:50 pm – 3:56 pm2): No LOC order cancels permitted. Modifications to LOC order price only permitted to more aggressive price. MOC Freeze (3:56 pm2 – 4:00 pm): No LOC order cancels or modifications permitted. PME (4:00 pm - 4:10 pm): MOC market and MOC limit orders entered before 4 pm cannot be cancelled or modified; Post imbalance LOC orders may be cancelled or modified. 2. Note that the MOC Freeze period starts at a random time between 3:56pm – 3:57pm, which is the end of the Imbalance period.
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