Earlier this week, the Investment Industry Regulatory Organization of Canada (IIROC) published Notice 12-0207 setting out its circuit breakers for the third quarter of 2012, which are set in coordination with those in U.S. markets. In the U.S., trading halts occur based on trigger levels of 10%, 20% and 30% drops of the Dow Jones Industrial Average, calculated at the beginning of each quarter using the previous month's average closing value. The NYSE thresholds for Q3 2012 are 1,250 points, 2,500 points and 3,750 points respectively.
It is IIROC's policy that it will coordinate trading halts with U.S. markets, but for days when Canadian markets are open and American markets are closed, IIROC has published related triggers based on drops in the S&P/TSX Composite Index. The TSX trigger levels are: Level 1 (10%) - 1,150 points; Level 2 (20%) - 2,300 points and Level 3 (30%) - 3,400 points, and result in trading halts ranging from 30 minutes to the balance of the trading session, depending on the time of day and magnitude of the market decline.
Note: The thresholds in the original IIROC notice were inadvertently transposed. An updated notice is expected soon.