The Office of the Superintendent of Financial Institutions has published final Guideline B-12 on managing interest rate risk in the banking book, completing its consultation on targeted changes aligned with the Basel Committee on Banking Supervision’s 2024 amendments. The guideline updates the interest rate shock scenarios institutions use to assess exposures and clarifies how they should measure the effect of rate changes on earnings, with a constant balance sheet approach set as the minimum expectation for assessing earnings sensitivity. The revised scenarios are intended to reflect current market conditions and improve the consistency and comparability of risk assessments. Guideline B-12 also removes disclosure requirements to avoid duplication, while institutions will continue reporting the information through OSFI’s Pillar 3 framework. The guideline takes effect Nov. 1, 2026, for institutions with an Oct. 31 fiscal year-end and Jan. 1, 2027, for those with a Dec. 31 fiscal year-end. OSFI plans to finalize the related Pillar 3 disclosure amendment on Nov. 19, 2026.
2026-09-10Office of the Superintendent of Financial Institutions
Canada’s Office of the Superintendent of Financial Institutions finalizes updated interest rate risk shock scenarios and earnings measures
The Office of the Superintendent of Financial Institutions has finalized updated interest rate shock scenarios and earnings measurement expectations under Guideline B-12, aligned with the Basel Committee’s 2024 amendments. A constant balance sheet approach will be the minimum expectation for earnings sensitivity, while disclosures will move to OSFI’s Pillar 3 framework. The changes take effect Nov. 1, 2026, or Jan. 1, 2027, depending on institutions’ fiscal year-end.