The TSX Group Inc. has announced enhancements to its market-on-close facility.

It reports that on July 29 the Ontario Securities Commission approved amendments to its rules that will enhance MOC. Those amendments will take effect as of August 26.

First, the Price Movement Extension session will be increased from five minutes to 10 minutes, and will now last from 4:00 pm to 4:10 pm. The TSX says that extending the PME session by five minutes, “will provide market participants additional time to source liquidity in response to a significant price movement at the close.”

Also effective August 26, volatility parameters will be reduced by 5%. The exchange says that the reduction in the parameters, “is intended to provide the market with an alert to a potential price swing at the close.”

Finally, the TSX says it will roll out MOC eligibility to the symbols of the S&P/TSX Composite Index beginning September 2, in preparation for the quarter end index rebalancing on September 16.

It will enable MOC eligibility in two phases: the S&P/TSX Mid Cap Index will become MOC eligible effective September 6; and, the S&P/TSX Small Cap Index will become MOC eligible effective September 12.

Other amendments approved by the OSC will come into effect at a later date.