Notice of Approval - Amendments to Trading Policies - Definition of “Closing Price” - Aequitas NEO Exchange Inc.

Neo Exchange Inc. rule review and notices

 
In accordance with the Process for the Review and Approval of Rules and the Information Contained in Form 21-101F1 and the Exhibits Thereto, Aequitas NEO Exchange Inc. (“NEO Exchange”) has adopted and the Ontario Securities Commission has approved amendments to NEO Exchange’s Trading Policies (the “Amendments”).

Summary of the Amendments

The closing price calculation (“Closing Price”) for NEO Exchange-listed securities will change as provided in the following amendments to Section 1.01 of the Trading Policies:

  • the definition of “Closing Price” will change, and
  • definitions of “Time-Weighted Average Price NBBO Midpoint” or “TWAP NBBO Midpoint”, “Weighted Closing Price”, and “Weighted Closing Price Eligible Security” will be added to Section 1.01.

The Amendments provide that the Closing Price will be calculated as follows:

  • For NEO Exchange-listed securities with a Closing Call, the Closing Price will continue to be the price set in the Closing Call. However, if there is no trade in the Closing Call for such securities, NEO Exchange will set the Closing Price to the consolidated last sale price across all marketplaces that trade NEO Exchange-listed securities (“LSP”)1 nearest to 4:00 PM, unless they are Exchange Traded Funds (see below).
  • For NEO Exchange-listed securities without a Closing Call that are not Exchange Traded Funds, the Closing Price will be the LSP nearest to 4:00 PM.
  • For NEO-listed Exchange Traded Funds, NEO Exchange will set the Closing Price to the time-weighted NBBO midpoint calculation over the last 15 minutes of trading (the “TWAP NBBO Midpoint”) if there is no LSP in that time period (i.e., weighting the LSP at 0% and the midpoint at 100%). If the ETF has traded during that time period then the Closing Price will be the LSP nearest to 4:00 PM (i.e., weighting the LSP at 100% and the midpoint weight at 0%).

The Amendments were published for comment on August 16, 2018, and one comment letter was received. A summary of the comments and NEO Exchange’s response, as well as a copy of the approved Amendments, can be found at www.osc.gov.on.ca.

The Amendments will be effective in December 2018, following notice by the Exchange.

1       More specifically, the UMIR definition of “last sale price”.