15 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 (3:56 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. 3. CLOB orders: Regular limit orders and non-pegged dark orders that have been placed in the central limit order book and remain open in the book at 4:00 pm are eligible to be drawn into the MOC facility in order to satisfy the MOC imbalance. Note that LOC orders and CLOB orders compete equally to satisfy the MOC imbalance. Non-displayed portions of CLOB orders (icebergs) are allocated after other visible CLOB or LOC orders at the same price, but before dark orders. 2.6.3 MOC Imbalance Determination MOC orders and LOC orders that are priced equal to or more aggressive than the reference price at the time of the calculation are considered when determining the MOC imbalance. The reference price for the imbalance calculation that is published every 10 seconds between 3:50 pm – 4:00 pm is the TSX or TSXV Best Bid and Offer mid-point. The reference price for the 4:00 pm imbalance calculation (if necessary) is the TSX or TSXV last sale price. The imbalance side and size are determined as the difference between the aggregate eligible buy MOC/LOC volume and aggregate eligible sell MOC/LOC volume. 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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