Business Specifications for the Climate-Related Risk Returns for Deposit-Taking Institutions

Purpose

The purpose of the Climate Risk Returns is to collect standardized climate-related emissions and exposure data, directly from all institutions to enable OSFI to carry out evidence-based policy development, regulation, and prudential supervision as it pertains to climate risk management.

These returns capture data to enable quantification of the Deposit-Taking Institutions’ (DTIs’) 1) potential and realized physical risk exposures; and 2) potential transition risk exposures, as at fiscal year-end.

More specifically, these returns collect data on:

  • asset exposures that are subject to physical risk, by geophysical location
  • absolute greenhouse gas (GHG) emissions (Scopes 1, 2 and 3)

The data collection is confidential and will not be released publicly.

Application

These returns apply to all DTIs, except for foreign bank branches.

Frequency

Annual.

Filing Format

Returns are to be filed through RRS in .CSV format.

Implementation Date

These Returns are effective on or after October 31, for the following fiscal years:

  • 2024, for Domestic Systemically Important Banks (DSIBs)
  • 2025, for Small and medium size banks (SMSBs)

Reporting Date

The returns must be completed on a fiscal year-end basis and filed within 180 days of the fiscal year-end date.

For example, a DSIB with an October 31 fiscal year-end would complete its first return for the 2024 fiscal year, using data as at October 31, 2024 and file it by the end of April 2025. An SMSB with a December 31 fiscal year end would complete its first return for the 2025 fiscal year, using data as at December 31, 2025 and file it by the end of June 2026.

Contact Agency

Office of the Superintendent of Financial Institutions (OSFI).

Contact Person

For business and/or interpretation questions on the final version of the return, contact us through the Climate Risk Return email address: ClimateRiskReturn-ReleveRisquesClimatiques@osfi-bsif.gc.ca.

Key Terms and Definitions

Key Term Definition
Absolute emissions

Volume of greenhouse gas (GHG) emissions expressed in tonnes of carbon dioxide-equivalent (CO2-e). For the purposes of this return, "absolute emissions" refers to generated emissions and not values relating to avoided emissions or emission removals.

Asset class

A group of financial instruments that have similar financial characteristics.

Carbon dioxide-equivalent (CO2-e)

The universal unit of measurement to show the global warming potential (GWP) of each of the seven greenhouse gases, expressed in terms of the GWP of one unit of carbon dioxide for 100 years. This unit is used to evaluate releasing different greenhouse gases against a common basis.

Exposure

The book value of a facility or a position, or asset class thereof.

Financed Emissions

Absolute greenhouse gas (GHG) emissions that DTIs and investors finance through their loans and investments. See absolute emissions.

Greenhouse gas (GHG) emissions

Emissions of the seven greenhouse gases listed in the Kyoto Protocol–carbon dioxide (CO2); methane (CH4); nitrous oxide (N2O); hydrofluorocarbons (HFCs); nitrogen trifluoride (NF3); perfluorocarbons (PFCs); and sulphur hexafluoride (SF6).

Peril

The four types of climate-related perils that may impact DTIs are : 1) wildfire, 2) flood, 3) Severe convective storms, and 4) hurricanes.

  1. Wildfire: A wide-area destructive fire that spreads quickly over (typically) woodland or brush.
  2. Flood: Damage caused by precipitation and/or water flows over land.

    Floods can include:

    • coastal or storm surges,
    • riverine or fluvial floods,
    • flash, surface, or pluvial floods, and
    • sewer backup
  3. Severe convective storms: Severe wind caused by severe convective weather activity including straight-line wind thunderstorms, tornadoes and hail. Severe convective storms are separate weather events from hurricanes.
  4. Hurricane: damage caused by hurricane winds, storm surge, and precipitation-induced flooding.
Physical risks

Risks resulting from climate change that can be event-driven (acute) or from longer-term shifts (chronic) in climate patterns. These risks may carry financial implications for entities, such as direct damage to assets, and indirect effects of supply-chain disruption. DTIs’ financial performance may also be affected by changes in water availability, sourcing and quality; and extreme temperature changes affecting entities’ premises, operations, supply chain, transportation needs and employee safety.

Scope 1 greenhouse gas (GHG) emissions

Direct GHG emissions that occur from sources owned or controlled by the DTI —i.e., GHG emissions from combustion in owned or controlled boilers, furnaces, vehicles, etc.

Scope 2 greenhouse gas (GHG) emissions

Indirect greenhouse gas (GHG) emissions from the generation of purchased or acquired electricity, steam, heating, or cooling consumed by the DTI.

Scope 3 greenhouse gas (GHG) emissions

All other indirect GHG emissions (not included in Scope 2) that occur in the value chain of the reporting company.

For the purposes of this return, Scope 3 emissions include the following categories (consistent with the GHG Protocol):

(1) to (14) – DTI’s Own Emissions/Non-Financed Emissions

Upstream:

  1. purchased goods and services;
  2. capital goods;
  3. fuel- and energy-related activities not included in Scope 1 emissions or Scope 2 emissions;
  4. upstream transportation and distribution;
  5. waste generated in operations;
  6. business travel;
  7. employee commuting;

Downstream:

  1. upstream leased assets;
  2. downstream transportation and distribution;
  3. processing of sold products;
  4. use of sold products;
  5. end-of-life treatment of sold products;
  6. downstream leased assets;
  7. franchises;
  8. Investments (a.k.a “Financed Emissions”)
    1. (scope 1 and 2) emissions of a DTI’s investees
    2. (scope 1 and 2) emissions of a DTI’s borrowers

See definitions of "Financed Emissions" above.

Transition risks

Moving to a lower-carbon economy may entail extensive policy, legal, technology and market changes to address mitigation and adaptation requirements relating to climate change. Depending on the nature, speed and focus of these changes, transition risks may pose varying levels of financial and reputational risk to DTIs.

Value chain

The full range of activities, resources and relationships related to a DTI’s business model and the external environment in which it operates.

Units of Measurement for Reporting

Financial Figures

Reported financial figures, such as outstanding loan balances or investment security values, should be expressed in Canadian Dollars or Canadian Dollar Equivalent, with no commas or other separators, unless otherwise specified.

Greenhouse gas (GHG) Emissions

All reporting on Absolute GHG Emissions, including Scope 1, Scope 2 and Scope 3 emissions should be reported in metric tons of carbon dioxide-equivalent (tCO2-e).

Probabilities and Percentages

All probabilities and percentages should be reported as their decimal equivalents. For example, a probability of default (PD) of 1.09% should be reported as 0.01090.

Greenhouse gas emissions accounting

Regarding calculation of GHG emissions, the DTI is expected to use the latest GHG Protocol Corporate Accounting and Reporting Standard and the latest GHG Protocol Corporate Value Chain (Scope 3) Accounting and Reporting Standard.

Regarding calculation of the portion(s) of Scope 3 GHG emissions, pertaining to the DTI’s Financed GHG emissions, the DTI is expected to use the latest Partnership for Carbon Accounting Financials’ (PCAF’s) Global GHG Accounting and Reporting Standard for the Financial Industry (PCAF Standard).

OSFI recognizes that there is often a lag between financial reporting and required data becoming available, such as a bank’s counterparty emissions data. Accordingly, for Financed GHG Emissions, the DTI may use the most recently available emissions-related data from entities within its value chain alongside its own current year financial data. For example, when filing for fiscal year 2024, use financial data for fiscal year 2024 and GHG emissions data for fiscal year 2023.

Structure of the Climate-Related Risk Returns for DTIs

Tabular Structure of the Climate-Related Data Return Templates

Each data return is structured to contain three types of data fields:

  • Sub-Table Field
  • Categorical Data Fields
  • Calculated Data Fields

An illustration, using an example from the structure of the DC1 (OSFI 1000) Return, is shown below.

The three types of data fields in the DC1 Return. A text description follows.
  1. Sub-Table Field: This data field is used to report the Sub-Table of the return (return_subtable). See the section Return Sub-Tables below for further details.
  2. Categorical Data Fields: These data fields are used to report qualitative data that are mutually exclusive. Categorical fields used in the Climate-Related Risk Returns for DTIs has submission keys as follows: asset_class, region, sector, credit_quality and fsa.
  3. Calculated Data Fields: The data reported in these fields are to be calculated to reflect the maximum granularity established by the applicable Categorical Data Fields, unless otherwise noted. Referencing the illustration above, the number of loans reported as 1149 in the first row in the field number_assets would represent (be calculated as) the count of assets (loans) in the Forward Sortation Area (fsa) A1A that are of the asset_class code ‘5’ (‘PSE’).

Reference Format

Submission keys that identify each data field being collected are included in the first row of each template. For ease of identification within this document, submission keys are formatted in lower case with underscored spacing, such as return_subtable.

For categorical fields, categorical codes and their related values are listed in single quotes, such as code ‘19’ and ‘Commercial Real Estate’ respectively.

Categorical Field Selections

Tables listing the comprehensive list of the codes (range of expected values) applicable to each of the categorical fields, other than fsa, are provided in the appendices to this document as follows:

These tables correspond to those included in the input templates for the DC1 (OSFI 1000) and DC2 (OSFI 1001) returns.

Return Sub-Tables

For reporting purposes, each return consists of a single data table that are divided into sub-tables that group related reporting data elements. The sub-tables for each of the returns are as follows:

DTI Physical Risk Return DC1 (OSFI 1000)
Return Sub-Table Name Return Sub-Table Code Applicable DTIs
Exposures and Credit Risk Metrics – In Canada by FSA DC1-A DSIBs, SMSBs
Exposures and Credit Risk Metrics – Outside of Canada by Region DC1-B DSIBs, SMSBs
 
DTI Transition Risk Return DC2 (OSFI 1001)
Return Sub-Table Name Return Sub-Table Code Applicable DTIs
Entity-level DTI’s Own GHG Emissions by Scope DC2-A DSIBs, SMSBs
Financed GHG Emissions by Asset Class DC2-B DSIBs, SMSBs

Field Applicability by Sub-Table

The fields applicable for each Sub-Table are outlined in the Field Applicability Matrices document (XLSX, 167 KB). As shown in the Field Applicability Matrices, the calculated fields are to be reported based upon the Return Sub-Table and the asset_class field value for both the DC1 (OSFI 1000) and DC2 (OSFI 1001) returns. Non-applicable fields should be reported as blank on each row.

Instructions for the Physical Risk Return DC1 (OSFI 1000)

This return collects foundational risk exposures and select credit risk data at an FSA level of geophysical granularity on loans subject to potential climate-related physical risk from DTIs within Canada, and at a regional level of granularity outside of Canada. The data collected will be combined with other climate peril data to assess DTIs’ exposures to physical risk.

Overview of Return Data Fields

The following fields are included in the DC1 (OSFI 1000) return template:

Sub-Table Field

return_subtable

Categorical Data Fields

  • asset_class
  • region
  • fsa

Calculated Fields

  • number_assets
  • balance_authorized
  • balance_outstanding
  • weighted_average_pd
  • weighted_average_lgd

The above fields are to be reported by completing the template contained in the technical specifications document provided at DC1 (OSFI 1000) Technical Specifications (XLSX, 55 KB), following the instructions below for reporting loan exposures and credit metrics applicable in Canada and outside of Canada.

Field Applicability by Sub-Table

The fields applicable for each Sub-Table are outlined in the Field Applicability Matrices (See Link: Field Applicability Matrices document (XLSX, 167 KB)).

Sub-Table DC1-A: Exposures and Credit Risk Metrics – In Canada

Report on all fields in the template for loans to borrowers and/or secured on assets residing in Canada on each row, per the instructions by submission key below.

Sub-Table Field

  • return_subtable – Set field value to ‘DC1-A’

Categorical Data Fields

  • asset_class – Report the applicable asset_class code per table in Appendix I – Asset Classes.
  • region – Report the province or territory of Canada of the reported fsa if applicable.
  • fsa – Report the 3-digit Forward Sortation Area (FSA) location reference of the borrowers/assets, for Canadian addresses only. If the DTI’s reported assets, such as borrowings that are tied to physical location of assets for certain large accounts, such as corporates, banks or sovereign borrowers (e.g. Government of Canada) that cannot be specifically divided across multiple FSAs using available client data, DTIs should report using the code ‘ZZZ’ for the FSA.

Calculated Data Fields

  • number_assets – Report the count of the assets (e.g., non-residential mortgage loans) outstanding for a given asset_class in each reported fsa
  • balance_authorized – Report the sum of the maximum gross dollar amounts of exposure authorized within a given asset_class in each reported fsa
  • balance_outstanding – The sum of gross amounts of exposures outstanding for a given asset_class in each reported fsa
  • weighted_average_pd – Report the exposure weighted average probability of default for the asset_class in each reported fsa where applicable.

    Note:

    • DTIs applying the IRB approach to credit risk should report the regulatory capital PD weighted by outstanding amount
    • DTIs not applying the IRB approach to credit risk should report the IFRS 9 PD weighted by outstanding amount
  • weighted_average_lgd – Report the exposure weighted average LGD for the asset_class in each reported fsa

    Note:

    • DTIs applying the IRB approach to credit risk should report the regulatory capital LGD weighted by outstanding amount
    • DTIs not applying the IRB approach to credit risk should report the IFRS 9 LGD weighted by outstanding amount

Amounts reported for balance_authorized and balance_outstanding should be calculated as the sums of each type of exposure at the appropriate level of granularity. weighted_average_pd and weighted_average_lgd reported should reflect the exposure weighted average for each asset_class for each fsa.

Sub-Table DC1-B: Exposures and Credit Risk Metrics – Outside Canada (By Region)

Report on all fields in the template for loans to borrowers and/or secured on assets residing outside Canada. Report all fields in the template, per the instructions by submission key below. However, the fsa data field should be reported as blank on each reported row.

Sub-Table Field

  • return_subtable – Set field value to ‘DC1-B’ on each row reported

Categorical Data Fields

  • asset_class – Report the applicable asset_class code per table in Appendix I – Asset Classes.
  • region – Report the applicable code for each region of the USA and the ‘Other’ geographic region per the table in Appendix II – Regions on each row reported. If the DTI’s reported assets, such as borrowings that are tied to physical location of assets by for large client accounts in the USA, such as corporates, banks or sovereign borrowers that cannot be specifically divided across multiple regions using available client data, DTIs should report using the region ‘USA-Other’.
  • fsa – Report as blank (this field is applicable In Canada only)

Calculated Data Fields

  • number_assets – Report the count of the loans outstanding for a given asset_class in each reported region
  • balance_authorized – Report the sum of the maximum gross dollar amounts of exposure authorized within a given asset_class in each reported region
  • balance_outstanding – The sum of gross amounts of exposures outstanding for a given asset_class in each reported region
  • weighted_average_pd – Report the exposure weighted average probability of default for the asset_class in each reported region

    Note:

    • DTIs applying the IRB approach to credit risk should report the regulatory capital PD weighted by outstanding amount
    • DTIs not applying the IRB approach to credit risk should report the IFRS 9 PD weighted by outstanding amount
  • weighted_average_lgd – Report the exposure-weighted average LGD for each applicable asset_class in each reported region

    Note:

    • DTIs applying the IRB approach to credit risk should report the regulatory capital LGD weighted by outstanding amount
    • DTIs not applying the IRB approach to credit risk should report the IFRS 9 LGD weighted by outstanding amount

Amounts reported for balance_authorized and balance_outstanding should be calculated as the sum of each type of exposure for each asset_class for each region that is outside of Canada. weighted_average_pd and weighted_average_lgd should be calculated to reflect the exposure weighted average for each applicable asset_class for each region that is outside of Canada.

Additional Reporting Guidance

The technical specifications document for the DC1 (OSFI 1000) return, that includes a template sheet, field definitions and reference tables is available at DC1 (OSFI 1000) Technical Specifications (XLSX, 55 KB). For a reference example of a completed template that contains an abbreviated listing of completed rows following the above DC1 (OSFI 1000) template instructions, see the sample DC1 (OSFI 1000) Return template (CSV, 6 KB).

Instructions for the Transition Risk Return DC2 (OSFI 1001)

This return collects entity-level absolute GHG emissions by scope, including Scope 3 Financed GHG Emissions that are assigned to Investment Securities and Loans.

Overview of Return Data Fields

The following fields are included in the DC2 (OSFI 1001) Return templates:

Sub-Table Field

return_subtable

Categorical Data Fields

  • asset_class
  • sector
  • region
  • credit_quality

Calculated Fields

  • scope_1_dti_own_emissions
  • scope_2_dti_own_emissions
  • scope_3_dti_own_emissions
  • scope_1_counterparty_absolute_emissions
  • scope_2_counterparty_absolute_emissions
  • weighted_avg_scope_1_counterparty_data_quality_score
  • weighted_avg_scope_2_counterparty_data_quality_score
  • weighted_avg_counterparty_data_quality_score
  • asset_balance
  • weighted_average_maturity
  • balance_5_maturity
  • balance_10_maturity

The above fields are to be reported by completing the template contained in the technical specifications document provided at DC2 (OSFI 1001) Technical Specifications (XLSX, 59 KB), following the instructions below for reporting loan exposures and credit metrics applicable in Canada and outside of Canada.

Field Applicability by Sub-Table

The fields applicable for each Sub-Table are outlined in the Field Applicability Matrices (See Link: Field Applicability Matrices document (XLSX, 167 KB)).

Sub-Table DC2-A: Entity-level GHG Emissions by Scope

Report emissions by scope for each row using the instructions by submission key below.

Sub-Table Field

  • return_subtable – Report field value as ‘DC2-A’

Categorical Data Fields

  • asset_class – Set field value to code ‘26’ (‘Unattributable – GHG emissions unattributable to a specific asset’) for each row reported; reporting on other asset categories is not applicable for Sub-Table DC2-A (see Field Applicability by Sub-Table section above for details)
  • sector – Not applicable; report as blank
  • region – Report the region code applicable province or territory of Canada, Region of USA or ‘Other’ geographic region per the table in Appendix II – Regions
  • credit_quality – Not applicable; report as blank

Calculated Data Fields

  • scope_1_dti_own_emissions – Report the DTI’s Own Scope 1 Absolute GHG Emissions (in tCO2-Equivalent) produced within each reported region
  • scope_2_dti_own_emissions – Report the DTI’s Own Scope 2 Absolute GHG Emissions (in tCO2-Equivalent) within each reported region
  • scope_3_dti_own_emissions – Report the DTI’s Own Scope 3 Absolute GHG Emissions (in tCO2-Equivalent) within each reported region
  • Report the following fields as blank on each row:
    • asset_balance
    • weighted_average_maturity
    • balance_5_maturity
    • balance_10_maturity

Sub-Table DC2-B: Financed GHG Emissions by Asset Class

For purposes of reporting Scope 3 Financed Emissions, report on each row using the instructions by submission key below.

Sub-Table Field

  • return_subtable – Set field value to ‘DC2-B’

Categorical Data Fields

  • asset_class – Report on each of the defined asset categories (see table in Appendix I – Asset Classes for reference). Do not report using asset_class code ‘26’ (‘Unattributable – GHG emissions unattributable to a specific asset’) for reporting on Financed GHG Emissions. For each selection within the asset_class, certain categorical fields may be applicable (see Field Applicability by Sub-Table section above for reference).
  • sector – If applicable per the Field Applicability Matrices, report the applicable sector code for each asset_class per the table in Appendix III – Sectors; otherwise report the sector field for each of the non-applicable rows as blank
  • region – If applicable region code for the applicable asset_class per the Field Applicability Matrices, report the applicable province or territory of Canada, Region of USA or ‘Other’ geographic region per the table in Appendix II – Regions; If the DTI’s reported assets, such as borrowings that are tied to physical location of assets by for certain large accounts, such as corporates, banks or sovereign borrowers that cannot be specifically divided across multiple regions using available client data, filers should report using ‘Canada-Other’ and/or ‘USA-Other’ in the region field.
  • credit_quality – If applicable for the asset_class per the Field Applicability Matrices, report the applicable credit_quality code for each row per the table in Appendix IV – Credit Quality Ratings; otherwise, report the credit_quality field for the non-applicable rows as blank

Calculated Fields

  • scope_1_counterparty_absolute_emissions – Report the applicable amount of the DTI’s Counterparty Scope 1 Absolute GHG Financed Emissions for each asset_class by each region category (if applicable) by each sector category (if applicable) by each credit_quality category (if applicable).
  • scope_2_counterparty_absolute_emissions – Report the applicable amount of the DTI’s Counterparty Scope 2 Absolute GHG Financed Emissions for each asset_class by each region category (if applicable) by each sector category (if applicable) by each credit_quality category (if applicable).
  • weighted_avg_scope_1_counterparty_data_quality_score – Report the PCAF Data quality score for the DTI's Counterparty Total Absolute Emissions (Scope 1) weighted by outstanding amount for each asset_class by each region category (if applicable) by each sector category (if applicable) by each credit_quality category (if applicable).
  • weighted_avg_scope_2_counterparty_data_quality_score – Report the PCAF Data quality score for the DTI's Counterparty Total Absolute Emissions (Scope 2) weighted by outstanding amount for each asset_class by each region category (if applicable) by each sector category (if applicable) by each credit_quality category (if applicable).
  • weighted_avg_counterparty_data_quality_score – Report the PCAF Data quality score for the DTI's Counterparty Total Absolute Emissions (Scope 1) and (Scope 2) weighted by outstanding amount for each asset_class by each region category (if applicable) by each sector category (if applicable) by each credit_quality category (if applicable).
  • asset_balance – Report the applicable amount outstanding in dollar for each asset_class by each region category (if applicable) split by each sector category (if applicable) by each credit_quality category (if applicable).
  • weighted_average_maturity – Report the applicable exposure weighted remaining maturity, measured in years, for each asset_class split by each region category by each sector category (if applicable) by each credit_quality category (if applicable).
  • balance_5_maturity – Report the dollar amount of the asset_balance with a remaining maturity of between 5 and 10 years.
  • balance_10_maturity – Report the dollar amount of the asset_balance with a remaining maturity greater than 10 years.

Additional Reporting Guidance

The technical specifications document for the DC2 (OSFI 1001) return, that includes a template sheet, field definitions and reference tables is available at DC2 (OSFI 1001) Technical Specifications (XLSX, 59 KB). For a reference example of a completed template that contains an abbreviated listing of completed rows following the above DC2 (OSFI 1001) template instructions, see the sample DC2 (OSFI 1001) Return template (CSV, 6 KB).

Appendix I – Asset Classes

The coding selections below reflect the asset classifications of the Capital Adequacy Requirements (CAR) Guideline.

DC1 (OSFI 1000) – Physical Risk Returns

The coding provided in the table below should be used for the asset_class field when completing the following DC1 (OSFI 1000) Returns:

  • Sub-Table DC1-A: Exposures and Credit Risk Metrics – In Canada by FSA
  • Sub-Table DC1-B: Exposures and Credit Risk Metrics – Outside of Canada

Report in the asset_class field using the codes shown below.

asset_class Asset Class Names
1 Sovereign and central bank - Bond
2 Sovereign and central bank - Loan
5 Public Sector Entities (PSE)
6 Multilateral Development Banks (MDB)
7 Bank
8 Covered bonds
9 Securities firms and other financial institutions
10 Corporate - Securities
11 Corporate - Loans
12 Subordinated debt, equity and other capital instruments
13 Regulatory Retail
14 Other Retail - Auto Loan
15 Residential Real Estate - Mortgage - CMHC Insured
16 Residential Real Estate - Mortgage - Other Insured
17 Residential Real Estate - Mortgage - Not Insured
18 Residential Real Estate - HELOC
19 Commercial Real Estate
20 Land acquisition, development and construction
21 Reverse Mortgages
22 Mortgage-backed securities
23 Equity investment in fund - Public Equity
24 Equity investment in fund - Private Equity
25 Securitization

DC2 (OSFI 1001) – Transition Risk Returns

Sub-Table DC2-A: Entity-level DTI Own GHG Emissions by Scope (Canada and outside of Canada)

The ‘Unattributable – GHG emissions unattributable to a specific asset’ asset class is to be used for reporting on entity-wide emissions in the DC2 return sub-table 'DC2-A' only, and it is not intended to be used in lieu of reporting emissions by specific asset classes in DC2 return sub-table 'DC2-B'.

The coding provided in the table below should be used for the the asset_class field when completing the DC2 (OSFI 1001) Returns.

asset_class Asset Class Names
26 Unattributable – GHG emissions unattributable to a specific asset

Sub-Table DC2- B: Financed GHG Emissions by Scope (Canada and outside of Canada)

The coding selections below reflect the asset classifications of the Capital Adequacy Requirements (CAR) Guideline except:

  • “Sovereign and central bank – bond” excludes sub-sovereigns, central banks and supranationals
  • “Sovereign and central bank – loan” excludes sub-sovereigns, central banks and supranationals

Sub-table DC2-B should be completed using the selected coding included in the table below.

asset_class Asset Class Names
3 Sovereign and central bank - Bond (excluding sub-sovereigns, central banks and supranationals)
4 Sovereign and central bank - Loan (excluding sub-sovereigns, central banks and supranationals)
10 Corporate - Securities
11 Corporate - Loans
12 Subordinated debt, equity and other capital instruments
14 Other Retail - Auto Loan
15 Residential Real Estate - Mortgage - CMHC Insured
16 Residential Real Estate - Mortgage - Other Insured
17 Residential Real Estate - Mortgage - Not Insured
19 Commercial Real Estate
21 Reverse Mortgages
23 Equity investment in fund - Public Equity

Appendix II – Regions

The categorical codes shown in the table below are to be used for the region field when completing the DC1 (OSFI 1000) Return and the DC2 (OSFI 1001) Return. The name for each region, along with a Region Description that lists the constituent region(s) associated to each Region code are also listed in the table below. For example, the region code ‘US2’, described as ‘USA Midwest’ is constituted of a grouping of states of the USA including: ‘IA’, ‘IL’, ‘IN’, ‘KS’, ‘MI’, ‘MN’, ‘MO’, ‘ND’, ‘NE’, ‘OH’, ‘SD’, and ‘WI’.

Report in the region field using the codes shown below.

region Region Name Region Description
AB Alberta, Canada Alberta, Canada
BC British Columbia, Canada British Columbia, Canada
MB Manitoba, Canada Manitoba, Canada
NB New Brunswick, Canada New Brunswick, Canada
NL Newfoundland and Labrador, Canada Newfoundland and Labrador, Canada
NT Northwest Territories, Canada Northwest Territories, Canada
NS Nova Scotia, Canada Nova Scotia, Canada
NU Nunavut, Canada Nunavut, Canada
ON Ontario, Canada Ontario, Canada
PE Prince Edward Island, Canada Prince Edward Island, Canada
QC Quebec, Canada Quebec, Canada
SK Saskatchewan, Canada Saskatchewan, Canada
YK Yukon, Canada Yukon, Canada
C1 Canada-Other Unattributable to a single location in Canada
U1 USA West Region of USA that includes the following US States: AK, CA, CO, HI, ID, MT, NV, OR, UT, WA, WY
U2 USA Midwest Region of USA that includes the following US States: IA, IL, IN, KS, MI, MN, MO, ND, NE, OH, SD, WI
U3 USA Northeast Region of USA that includes the following US States: CT, MA, ME, NH, NJ, NY, PA, RI, VT
U4 USA Southwest Region of USA that includes the following US States: AZ, NM, OK, TX
U5 USA Southeast Region of USA that includes the following US States: AL, AR, DE, FL, GA, KY, LA, MD, MS, NC, SC, TN, VA, WV as well as DC
U6 USA-Other Unattributable to a single location in the USA
ZZ Other All other regions worldwide
ZZZ FSA level reporting Unattributable to a single FSA in Canada for DC1-A reporting

Appendix III – Sectors

The coding selections shown in Table 1 below are to be used for the sector field when completing the DC2 Return.

Table 1 lists 25 Sectors, most of which are sensitive to the transition toward a low-carbon economy, starting with Sector codes ‘1’ (‘ELEC-RNEW – Electricity Production from Renewable Sources and Nuclear ’) and ending with codes ‘25’ (‘OTHR’- ‘Other Industries).

Within the table, each sector code has a sector name, a sector description and the corresponding 2022 North American Industry Classification System (NAICS) code(s).

The sectorial assignment is based on “leading NAICS codes” which is defined as follows: if a NAICS code belongs to a sector, all the NAICS codes that start with the same digits also belong to that sector. For example, 111 is the NAICS code for Crop Production and therefore, all the NAICS codes that start with the digits 111 also belong to this sector, e.g., 1113 is the NAICS code for Fruit and Tree Nut Farming and belongs to the Crop Production sector.

Note that there are codes which are used for more than one sector, i.e., 213119 for EINT-MINE and COAL (for a complete list see Table 2 – NAICS codes with multiple sectors). This is because there is no further granularity available for these NAICS codes. Exposures to counterparties that are mapped to one of these NAICS codes would be classified to one of the sectors based on the nature of the counterparty.

Report the sector field using the codes shown below (Table 1).

Table 1 – OSFI designated Sectors
Code Sector Sector Description Industry NAICS Code (Canada 2022) NAICS Code (US 2022)
1 ELEC-RNEW Electricity Production from Renewable Sources and Nuclear Electricity Support and Distribution 221113, 221119 221113, 221114, 221115, 221116, 221117, 221118
2 ELEC-FOSS Fossil Fuel Electricity Production Electricity Support and Distribution 221112 221112
3 ELEC-HYDR Hydro Electricity Production Electricity Support and Distribution 221111 221111
4 ELEC-OTHR Electricity Support and Distribution Electricity Support and Distribution 22112, 23713, 335 22112, 23713, 335
5 EINT-MANF Manufacturing Energy Intensive Industries 325, 327, 331, 332 325, 327, 331, 332
6 EINT-MINE Mining Energy Intensive Industries 2122, 2123, 213117, 213119 2122, 2123, 213114, 213115
7 EINT-PAPR Paper and Pulp Energy Intensive Industries 322 322
8 EINT-WATR Water and Sewage System and Waste Management Energy Intensive Industries 2213, 23711, 562 2213, 23711, 562
9 COAL Coal Industry and Support Fossil Fuels 2121, 213117, 213119 2121, 213113
10 RFND Fossil Fuel Refinery Fossil Fuels 324, 326, 412, 457, 486 324, 326, 4247, 457, 486
11 GAS Natural Gas Industry and Support Fossil Fuels 21111, 213111, 213118, 2212, 23712 21113, 213111, 213112, 2212, 23712
12 OIL-EXTR Oil Extraction Fossil Fuels 21111, 213111 21112, 213111
13 OIL-OTHR Oil Extraction Support Fossil Fuels 213118, 23712 213112, 23712
14 OIL-SAND Sand Oil Extraction and Support Fossil Fuels 21114 21112
15 TRNS-AIR Air Transportation Transportation 481, 4881 481, 4881
16 TRNS-RAIL Rail Transportation Transportation 482 482
17 TRNS-OTHR Other Transportation Transportation 336, 483, 484, 485, 487, 4882, 4883, 4884, 4885, 4889 336, 483, 484, 485, 487, 4882, 4883, 4884, 4885, 4889
18 CROP Crop Production and Support Agriculture and Forestry 111, 1151, 41112 111, 1151
19 LIVE Livestock Production and Support Agriculture and Forestry 112, 1152, 41111 112, 1152
20 FORS Forestry and Support Agriculture and Forestry 113, 1153, 321 113, 1153, 321
21 FINC Finance and Insurance Other Sectors 52 52
22 FOOD Food and Beverage industry and support Other Sectors 114, 311, 312, 4131, 4132, 445 114, 311, 312, 4244, 4248, 445
23 REST Real Estate Other Sectors 53 53
24 SERV Service Sectors Other Sectors 323, 41113, 41119, 4133, 4134, 414, 415, 416, 417, 418, 419, 441, 444, 449, 455, 456, 458, 459, 49, 51, 54, 55, 561, 61, 62, 71, 72, 81, 91 323, 423, 4241, 4242, 4243, 4245, 4246, 4249, 425, 441, 444, 449, 455, 456, 458, 459, 49, 51, 54, 55, 561, 61, 62, 71, 72, 81, 92
25 OTHR Other Industries Other Sectors 236, 2372, 2373, 2379, 238, 313, 314, 315, 316, 333, 334, 337, 339 236, 2372, 2373, 2379, 238, 313, 314, 315, 316, 333, 334, 337, 339
Table 2 – NAICS codes with multiple sectors
Code Sector Code 1 Sector Code 2
213117 COAL EINT - MINE
213119 COAL EINT - MINE
21111 OIL - EXTR GAS
21112 OIL - EXTR OIL - SAND
213111 OIL - EXTR GAS
213112 OIL - EXTR GAS
213118 OIL - OTHR GAS
23712 OIL - OTHR GAS

Appendix IV – Credit Quality Ratings

Externally-assigned ratings of long-term borrower creditworthiness are assigned on debt security issuers and wholesale borrowers including corporates, banks and sovereigns. To facilitate comparison, ratings from several recognized credit rating organizations should be mapped into the credit_quality categories shown in the table below. For reporting purposes on the DC2 (OSFI 1001) return, borrowers should be grouped within each credit_quality category; borrowers are not to be reported individually.

Report in the credit_quality field using the codes shown below.

credit_quality S&P DBRS Moody’s Fitch KBRA
1 AAA to AA- AAA to AA (low) Aaa to Aa3 AAA to AA- AAA to AA-
2 A+ to A- A (high) to A (low) A1 to A3 A+ to A- A+ to A-
3 BBB+ to BBB- BBB (high) to BBB (low) Baa1 to Baa3 BBB+ to BBB- BBB+ to BBB-
4 BB+ to BB- BB (high) to BB (low) Ba1 to Ba3 BB+ to BB- BB+ to BB-
5 B+ to B- B (high) to B (low) B1 to B3 B+ to B- B+ to B-
6 Below B- CCC or lower Below B3 Below B- Below B-
7 Not Rated Not Rated Not Rated Not Rated Not Rated