Canada's Office of the Superintendent of Financial Institutions has opened a 60-day public consultation on targeted amendments to Guideline B-12 on interest rate risk management. The proposed changes would update the interest rate shock scenarios used to measure interest rate risk so they align with recent revisions by the Basel Committee on Banking Supervision and better reflect recent market experience. OSFI is consulting on these changes alongside proposed amendments to Pillar 3 disclosure expectations for interest rate risk in the banking book. The recalibration would extend the time series used for shock calibration from December 2015 to December 2023, capturing a period of significant interest rate volatility. It also adopts the Basel Committee's updated methodology for calibrating scenarios during periods when rates are close to zero. OSFI links the changes to more accurate risk information, greater consistency across institutions, and stronger transparency and market discipline. Comments will inform final amendments to the guideline. OSFI plans to publish the final guideline, together with a non-attributed summary of comments and its responses, on September 10, 2026. The changes would take effect on November 1, 2026, or January 1, 2027, for institutions with fiscal year ends of October 31 or December 31 respectively.
Office of the Superintendent of Financial Institutions2026-05-21
Canada's Office of the Superintendent of Financial Institutions launches consultation on targeted updates to interest rate shock scenarios under Guideline B-12
The Office of the Superintendent of Financial Institutions is consulting on targeted amendments to Guideline B-12 to update interest rate shock scenarios for interest rate risk in the banking book, aligning them with recent Basel Committee revisions and market experience. The recalibration extends the calibration period to December 2023 and adopts the Basel Committee’s methodology for low-rate environments, which OSFI links to more accurate risk information and greater consistency across institutions. OSFI is consulting on these changes alongside proposed amendments to Pillar 3 disclosure expectations.