Specialty Price Crosses

With the introduction of four new specialty cross types from TSX Markets, market participants now enjoy more ways to take advantage of market opportunities. These improvements are designed to decrease costs associated with advanced trading techniques. Each specialty cross type provides distinct market advantages and these crosses are not subject to interference. In addition, because specialty cross types are flagged publicly, they offer the marketplace better transparency for large specialized transactions.

Basis Cross

A trade whereby a basket of securities or an index participation unit is transacted at prices achieved through the execution of related exchange-traded derivative instruments which may include index futures, index options and index participation units in an amount that will correspond to an equivalent market exposure.

VWAP Cross

A transaction for the purpose of executing a trade at a volume-weighted average price of a security traded for a continuous period on or during a trading day on Toronto Stock Exchange.

Contingent Cross

A trade resulting from a paired order placed by a Participant on behalf of a client to execute an order on a security that is contingent on the execution of a second order placed by the same client for an offsetting volume of a related security.

Special Trading Session (STS) Cross

A closing price cross resulting from an order placed by a Participant on behalf of a client for execution in the Special Trading Session at the last sale price.

Using the Specialty Cross Types

Although the specialty cross types may be executed anonymously, brokers must report each cross using the appropriate marker (i.e. basis cross marker, VWAP cross marker, etc). This alerts the Toronto Stock Exchange system that the cross can fall outside of normal market parameters. Each trade appears on all real-time TSX trade data. (In addition TSX Datalinx offers reports detailing the Specialty Price Crosses executed on a daily or monthly basis.)

Basis Cross, VWAP Cross and Contingent Cross

• Available in the regular session (9:30 a.m. - 4:00 p.m.) and during the extended session (from 4:15 - 5:00 p.m.)
• Report trade using appropriate marker (basis cross, VWAP cross or contingent cross)
• May only be entered as a boardlot trade (oddlot or mixedlot crosses are not accepted)
• Basis and VWAP crosses will not set last sale price
• Basis and VWAP crosses may be printed to three decimal places
• Basis and VWAP crosses may be printed outside the quote (subject to regulatory restrictions)

Special Trading Session (STS) Cross

• Available only during extended session (from 4:15 - 5:00 p.m.)
• Can only be printed at the last sale price
• Cannot change last sale price
• Report trade using new STS cross marker
• May only be entered as a boardlot trade (oddlot or mixedlot crosses are not accepted)

All specialty cross trades are short sale rule exempt (i.e. these crosses can be entered short even if the trade will result in a downtick).

Page Last Updated: June 17, 2008