1. Actively-Traded Securities

We continue to believe that it is important that SSCBs are not applied too widely and inadvertently capture price movements that may be representative of the normal trading patterns of a particular security, such as those securities which are less liquid, lower value and historically demonstrate higher short-term volatility. We conducted an analysis on the application of the SSCB program and looked at how to better ensure that SSCBs are being applied appropriately. As a result of this analysis, IIROC has made the following changes to the determination of an actively-traded security to improve how we apply SSCBs:

• use a weighted average rather than simple average in the calculation of the trading volume and value criteria
• exclude data from the first five trading days of a newly listed security in the weighted average volume and value calculations.

1. Use of Weighted Average
   
   A listed security is considered to be “actively-traded” if the particular listed security traded, in total, on one or more marketplaces as reported on a consolidated market display during the three calendar months ending immediately preceding the determination:
   • a weighted average of at least 500 times per trading day, and
   • with a weighted average trading value of at least $ 1,200,000 per trading day.
   • For the volume and value calculations above, we use an exponentially weighted average with a half-life of3 ten days, instead of the simple average set out in Previous Guidance. Our analysis indicated that using an exponentially weighted average with a half-life factor to determine an actively-traded security:
   • places more importance on the security’s recent trading activity
   • the responsiveness of SSCB selection criteria by adding an actively-traded security to the SSCB program or removing an inactive security from the SSCB program in a more timely manner. Securities that have a recent increase in liquidity will be added to the SSCB program sooner and securities that had significant liquidity in the past but where that liquidity has since reduced and become inactive will be removed from the SSCB program sooner under this new calculation methodology.
2. Exclusion of Initial Trading Data of Newly Listed Securities

With respect to newly listed securities, we will exclude the volume and value trading data of the first five trading days from the weighted average calculation of volume and value. This approach avoids incorporating excessive trading volumes sometimes found in the initial trading phase of new listings into the determination of an actively-traded security. We believe that this method results in a better representation of the “normal” trading activity of new listings.

Our analysis indicates that these changes improve the actively-traded selection criteria and better capture securities that should be subject to SSCB protection.

A listed security not covered by the SSCB program will continue to be subject to regulatory intervention by a Market Integrity Official by exercising his or her existing authority under UMIR4.

1. List of SSCB Securities

IROC will continue to post a list of securities5 that are subject to SSCBs daily on our website. Any party that does not currently download the SSCB-eligible securities list from our website and wishes to do so should contact IIROC staff by e-mail at [email protected] to set up an SFTP account. The changes to the determination of an actively-traded security in this Notice are effective on January 27, 2020.

• 3“Half-life” is the period of time in which the exponential weight reduces to one-half.
• 4See IIROC Notice 12-0258 – Rules Notice – Guidance – UMIR – Guidance on Regulatory Intervention for the Variation or Cancellation of Trades (August 20, 2012).
• 5See List of SSCB Securities and IIROC Notice 16-0152 – Rules Notice – Technical – List of Securities Subject to Single Stock Circuit Breakers (June 29, 2016).