Business Specifications for the Climate-Related Risk Returns for Insurers

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 Insurers’ 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:

  • underwritten physical risk exposures (claims, insurance revenue and PML) for select lines of business, 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 Insurers.

Frequency

Annual.

Filing Format

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

Implementation Date

The Returns are effective on or after October 31 for the following fiscal year-ends:

  • 2024, for IAIGsThe term "IAIGs" refers to Internationally Active Insurance Groups. "IAIGs headquartered in Canada" refers to Sun Life Assurance Company of Canada, Manufacturers Life Insurance Company, Canada Life Assurance Company, and Intact Financial Corporation.
  • 2025, for Non-IAIGs

Reporting Date

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

For example, an IAIG with a December 31 fiscal year-end would complete its first return for the 2024 fiscal year, using data as at December 31, 2024 and file it by the end of June 2025. A non-IAIG 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.

Claims Paid

The dollar amount of insured claims paid during the reporting period.

Claims Paid include loss (i.e., indemnity) and allocated loss adjustment expenses paid during the reporting period. Claims paid should be net of insureds’ deductibles and gross of Reinsurance Recoveries. Claims Paid include only amounts that were paid as a result of physical damage caused by climate-related perils<p>Claims paid on peril events pertaining to wildfire, flood, severe convective storms and hurricanes coded as relating to natural catastrophic events within many insurers’ claim management systems, potentially facilitating insurers’ gathering and summarization of such data.</p><p>OSFI is using the term “climate-related perils” to refer to the type of weather-related events (such as wildfires, floods, hurricanes, etc.).</p>. Payments due to non-natural causes, such as burst pipes or arson, as well as payments for liability-related and warranty-related claims are excluded.

See the definition of Peril below for further details on climate change-related perils.

Financed Emissions

Absolute greenhouse gas (GHG) emissions that insurers 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).

Insurance Revenue

The dollar amount of Revenue from insurance contracts for the reporting period calculated in accordance with IFRS 17 Insurance Contracts.

Insurance Classes

Insurance Classes are grouped as follows:

  1. Personal Automobile
  2. Commercial Property
  3. Other Commercial Lines
  4. Personal Property
  5. Other Personal (physical damage coverages only; liability and warranted-related exposures are excluded)

Commercial insurance classes refer to insurance offered to commercial clients (e.g., businesses and associations). Personal insurance classes refer to insurance offered to individuals.

With respect to Commercial Automobile insurance,

  • For IC1 (OSFI 1002) purposes, any commercial automobile policies should be reported under the Other commercial insurance class.
  • For IC2 (OSFI 1003) purposes, commercial automobile policies should not be reported within the insurance classes as associated GHG emissions are already subsumed in the Personal Automobile insurance classes.
Insurance-associated emissions

Greenhouse gas (GHG) emissions which are associated with specific re/insurance policies aggregated in the re/insurance portfolios of an insurer.

Peril

For purposes of the IC1 (OSFI 1002) Return, reportable perils are climate-related events that result in physical damage losses. The four types of perils used for the IC1 (OSFI 1002) Return are: 1) wildfire, 2) flood, 3) severe convective storms, and 4) hurricanes.

The definitions listed below are consistent with those of commonly available modeled perils provided by third-party catastrophe model vendors.

  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. Insurers’ 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.

Gross Probable maximum loss (PML)

The gross value of the maximum loss that could result from a peril, reported on an occurrence basis, in CAD Dollars or CAD Equivalent. Gross PML is applicable to P&C insurers only.

Net Probable maximum loss (PML)

The value of the maximum loss that could result from a peril, reported on an occurrence basis, net of all applicable reinsurance, deductibles and co-insurance expressed in CAD Dollars or CAD Equivalent.

Reinsurance Recoveries

Dollar amounts collected from the reinsurer by a ceding insurer during the reporting period related to Claims Paid. See above for the definition of Claims Paid.

Scope 1 Greenhouse Gas (GHG) Emissions

Direct GHG emissions that occur from sources owned or controlled by the insurer — 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 insurer.

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) – Insurer’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 an insurer’s investees
    2. (scope 1 and 2) emissions of an insurer’s borrowers
  9. Insurance-Associated Emissions
    1. (scope 1 and 2) emissions of an insurer’s policyholders

See definitions of "Financed Emissions" and "Insurance-Associated Emissions", above.

Insurance-Associated Emissions (see definition above) are not to be aggregated with Financed Emissions, but are to be calculated and reported distinctly from Financed emissions.

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 insurers.

Total-Insured-Value

The dollar amount of total insured value of assets under insurance coverage.

Value Chain

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

Units of Measurement for Reporting

Financial Figures

Reported financial figures, such as Insurance Revenue, Claims Paid, Reinsurance Recoveries, 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. Note, policy count is not expressed in Canadian Dollars or Canadian Dollar Equivalent.

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 figure of 1.09% should be reported as 0.01090.

Greenhouse gas emissions accounting

Regarding calculation of GHG emissions, the insurer 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 Insurer’s Financed, and/or Insurance-Associated GHG Emissions, the insurer 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 emissions data for an insured client. Accordingly, for Financed and Insurance-Associated GHG Emissions, the insurer 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 Insurers

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 IC1 (OSFI 1002) return, is shown below.

The three types of data fields in the IC1 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 Insurers are as follows: asset_class, insurance_class, region, sector and, credit_quality region (N.B. asset_class, sector, and credit_quality are not fields included in the IC1 (OSFI 1002) return, consistent with the illustration above).
  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 policy count reported as 5924 in the first row in the field policy_count represents (is calculated as) the number of policies in the region (i.e. province or territory in Canada) that are of the insurance_class code ‘1’ (‘Personal Automobile’).

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 ‘1’ and ‘Personal Automobile’ respectively.

Categorical Field Selections

Tables containing the comprehensive list of the selections available for each of the categorical fields, other than region, are provided in the appendices to this document as follows:

These tables correspond to those included in the input templates for the IC1 (OSFI 1002) and IC2 (OSFI 1003) 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:

Insurance Physical Risk Return IC1 (OSFI 1002)
Return Sub-Table Name Return Sub-Table Code Applicable Insurers
Insurance Claim and Revenue Metrics – In Canada and outside of Canada by Region IC1-A
  • P&C Insurers
  • Reinsurers (Optional)
Probable Maximum Loss (PML) by Region IC1-B P&C Insurers

Note: The return template Insurance Physical Risk Return IC1 (OSFI 1002) is not applicable to Mortgage insurers and Life and Health Insurers.

Insurance Transition Risk Return IC2 (OSFI 1003)
Return Sub-Table Name Return Sub-Table Code Applicable Insurers
Entity-level Insurer’s Own GHG Emissions by Scope IC2-A AllP&C insurers, Mortgage Insurers, Reinsurers, Life and Health Insurers.
Financed GHG Emissions by Asset Class IC2-B All
Insurance-Associated GHG Emissions IC2-C P&C Insurers

Note: The return template Insurance Transition Risk Return IC2 (OSFI 1003) is applicable to all in scope Insurers – see footnote 3.

Field Applicability by Sub-Table

The fields applicable for each Sub-Table are outlined in the Field Applicability Matrices document (XLSX, 80 KB). Reported fields are based upon the insurance_class for the IC1 Return, by asset_class for Sub-Table IC1-A and IC1-B of the IC2 (OSFI 1003) Return, and by insurance_class for Sub-Table IC2-C. Non-applicable fields should be reported as blank on each row.

Instructions for the Physical Risk Return IC1 (OSFI 1002)

This return collects data on insurance revenues and paid claims losses to assess Insurers’ historical loss experience due to Physical Risk from climate-related perils for select climate-exposed insurance classes. This return also collects Probable Maximum Loss (PML) data at a regional granularity to assess Insurers’ forward-looking loss exposures due to physical risk from climate-related perils.

Overview of Return Data Fields

The following fields are included in the IC1 (OSFI 1002) Return template:

Sub-Table Field

return_subtable

Categorical Data Fields

  • insurance_class
  • region

Calculated Fields

  • insurance_revenue
  • policy_count
  • claims_paid_flood
  • claims_paid_wildfire
  • claims_paid_sev_convec_storm
  • claims_paid_hurricane
  • reinsur_claims_paid
  • count_claims_paid_flood
  • count_claims_paid_wildfire
  • count_claims_paid_sev_convec_storm
  • count_claims_paid_hurricane
  • reinsur_count_paid
  • reinsur_recov_wildfire
  • reinsur_recov_flood
  • reinsur_recov_sev_convec_storm
  • reinsur_recov_hurricane
  • reinsur_recov
  • total_insured_value
  • gross_pml_flood_1_100
  • gross_pml_wildfires_1_100
  • gross_pml_sev_convec_storm_1_100
  • gross_pml_hurricane_1_100
  • gross_pml_flood_1_250
  • gross_pml_wildfires_1_250
  • gross_pml_sev_convec_storm_1_250
  • gross_pml_hurricane_1_250
  • net_pml_flood_1_100
  • net_pml_wildfires_1_100
  • net_pml_sev_convec_storm_1_100
  • net_pml_hurricane_1_100
  • net_pml_flood_1_250
  • net_pml_wildfires_1_250
  • net_pml_sev_convec_storm_1_250
  • net_pml_hurricane_1_250

The above fields are to be completed using the reporting template provided at IC1 (OSFI 1002) Technical Specifications (XLSX, 59 KB), following the instructions below for reporting claims losses and premiums applicable in Canada and outside of Canada, as well as PML data.

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, 80 KB)).

Sub-Table IC1-A: Insurance Claims and Revenue Metrics by Region (Canada and outside of Canada)

Report on all fields in the template for business written in Canada and outside of Canada, per the instructions below. References below to Claims Paid, Counts of Claims Paid and Reinsurance Recoveries should include only amounts that were paid/received as a result of physical damage caused by climate-related perils, and exclude claims paid due to non-natural causes such as burst pipes or arson, as well as liability-related and warranty-related claims.

Note: Future versions of the Returns will include reporting requirements at an FSA-level of granularity for certain Insurance Classes, underwritten exposures and metrics.

Sub-Table Field

  • return_subtable – Set field value to ‘IC1-A’ on each row reported

Categorical Data Fields

  • insurance_class – Report the applicable Insurance Classes per table in Appendix II – Insurance Classes for each row reported. For multi-peril policies, include insurance written for commercial clients under “Other Commercial Lines”, otherwise use “Other Personal”.

    Note: Reinsurance companies should use code “6” (“RE Aggregated Data”, i.e., data not available by insurance_class) as per Appendix II – Insurance Classes to report on the applicable data fields. Code “6” (“RE Aggregated Data”) is applicable only to Reinsurance companies.

  • region – Report the applicable region, i.e., the location of the insured risk (not the location of the insurance policy) in Canada and/or outside of Canada per the table in Appendix III – Regions on each row reported

Calculated Data Fields

  • insurance_revenue – Report the dollar amount of Insurance Revenue for the insurance_class in the reported region for the fiscal year
  • policy_count – Report the number of active policies written for the insurance_class in the reported region.

    Note:

    • For the purpose of the IC1 (OSFI 1002) returns, multi-perils policies are considered as one policy.
    • For reinsurers “policy count" should be interpreted as "treaty" coverage which should be considered as one policy.
    • For multi-location policies such as large commercial policies that cannot be specifically attributed to a single physical location using the available insured data, insurers should report using the code ‘C1’ ‘Canada-Other’ for the region data field as per Appendix III – Regions.
  • claims_paid_flood – Report the dollar amount of flood-related claims paid under coverage offered in the insurance_class in the reported in the region, net of deductible and gross of Reinsurance Recoveries for the fiscal year
  • claims_paid_wildfire – Report the dollar amount of wildfire-related claims paid under coverage offered in the insurance_class in the reported region, net of deductible and gross of Reinsurance Recoveries for the fiscal year
  • claims_paid_sev_convec_storm – Report the dollar amount of Severe convective storms-related claims paid (excluding flooding related losses) under coverage offered in the insurance_class in the reported region, net of deductible and gross of Reinsurance Recoveries for the fiscal year
  • claims_paid_hurricane – Report the dollar amount of hurricane related-claims paid under coverage offered in the insurance_class in the reported region, net of deductible and gross of Reinsurance Recoveries for the fiscal year
  • reinsur_claims_paid – Report the dollar amount of climate-related claims paid for by the Reinsurer in the corresponding insurance_class field in the reported region for the fiscal year. Reinsurance companies should use code “6” (“Aggregated LOB”, i.e., data not available by insurance_class) as per Appendix II – Insurance Classes to report the aggregated dollar amount of climate-related claims paid. This field is applicable only to Reinsurance companies.
  • count_claims_paid_flood – Report the number of flood-related claims paid under coverage offered in the insurance_class in the reported region for the fiscal year
  • count_claims_paid_wildfire - Report the number of wildfire-related claims paid under coverage offered in the insurance_class in the reported region for the fiscal year
  • count_claims_paid_sev_convec_storm – Report the number of Severe convective storms-related claims paid (excluding flooding related losses) under coverage offered in the insurance_class in the reported region for the fiscal year
  • count_claims_paid_hurricane – Report the number of Hurricane claims paid under coverage offered in the insurance_class in the reported region for the fiscal year
  • reinsur_count_paid – Report the number of climate-related claims paid for by the reinsurer in the corresponding insurance_class in the reported region for the fiscal year. Reinsurance companies should use code “6” (“Aggregated LOB”, i.e., data not available by insurance_class) as per Appendix II – Insurance Classes to report the aggregated count of climate-related claims paid. This field is applicable only to Reinsurance companies.
  • reinsur_recov_flood – Report the dollar amount of Reinsurance Recoveries pertaining to flood-related claims for the insurance_class in the reported region, for the fiscal year
  • reinsur_recov_wildfire - Report the dollar amount of Reinsurance Recoveries pertaining to wildfire-related claims for the insurance_class in the reported region, for the fiscal year
  • reinsur_recov_sev_convec_storm – Report the dollar amount of Reinsurance Recoveries pertaining to Severe convective storms-related claims for the insurance_class in the reported region, for the fiscal year
  • reinsur_recov_hurricane – Report the dollar amount of Reinsurance Recoveries pertaining to Hurricanes claims for the insurance_class in the reported region, for the fiscal year
  • reinsur_recov – Report the dollar amount of Reinsurance Recoveries for climate-related claims paid for by the reinsurer for the insurance_class in the reported region, for the fiscal year. Reinsurance companies should use code “6” (“Aggregated LOB”, i.e., data not available by insurance_class) as per Appendix II – Insurance Classes to report the aggregated dollar amount of Reinsurance Recoveries for climate-related claims paid data.This field is applicable only to Reinsurance companies.
  • total_insured_value – Report the sum of the dollar amounts of Total Insured Values on assets under coverage to insureds in the insurance_class in the reported region, net of deductible. This field should be completed by P&C insurance companies only.
  • Report the following fields as blank on each row:
    • gross_pml_flood_1_100
    • gross_pml_wildfires_1_100
    • gross_pml_wind_1_100
    • gross_pml_hurricane_1_100
    • gross_pml_flood_1_250
    • gross_pml_wildfire_1_250
    • gross_pml_sev_convec_storm_1_250
    • gross_pml_hurricane_1_250
    • net_pml_flood_1_100
    • net_pml_wildfire_1_100
    • net_pml_sev_convec_storm_1_100
    • net_pml_hurricane_1_100
    • net_pml_flood_1_250
    • net_pml_wildfires_1_250
    • net_pml_sev_convec_storm_1_250
    • net_pml_hurricane_1_250

Sub-Table IC1-B: Probable Maximum Loss (PML) By Region (Canada and outside Canada)

Report on all data fields in the template per the instructions by submission key below for each row reported.

Sub-Table Field

  • return_subtable – Set field value to ‘IC1-B’

Categorical Data Fields

  • insurance_class – Report the defined insurance classification per table in Appendix II – Insurance Classes
  • region – Report the applicable province or territory of Canada, Region of the USA and ‘Other’ geographic region per the table in Appendix III – Regions

Calculated Data Fields

  • Report the following fields as blank on each row:
    • insurance_revenue
    • policy_count
    • claims_paid_flood
    • claims_paid_wildfire
    • claims_paid_hurricane
    • claims_paid_sev_convec_storm
    • reinsur_claims_paid
    • count_claims_paid_wildfire
    • count_claims_paid_flood
    • count_claims_paid_hurricane
    • count_claims_paid_sev_convec_storm
    • reinsur_count_paid
    • reinsur_recov_flood
    • reinsur_recov_wildfire
    • reinsur_recov_hurricane
    • reinsur_recov_sev_convec_storm
    • reinsur_recov
    • total_insured_value
  • gross_pml_flood_1_100 – Report the Gross Probable Maximum Loss (PML) on an occurrence basis for a 100-year return period on Flood (i.e., PML100) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML100 and region code ‘U6’ (‘USA-Other’) should address US-wide PML100 for Flood.
  • gross_pml_wildfires_1_100 – Report the Gross Probable Maximum Loss (PML) on an occurrence basis for a 100-year return period on Wildfire (i.e., PML100) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML100 and region code ‘U6’ (‘USA-Other’) should address US-wide PML100 for Wildfire.
  • gross_pml_sev_convec_storm_1_100 – Report the Gross Probable Maximum Loss (PML) on an occurrence basis for a 100-year return period on Severe convective storms (i.e., PML100) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML100 and region code ‘U6’ (‘USA-Other’) should address US-wide PML100 for Severe convective storms.
  • gross_pml_hurricane_1_100 – Report the Gross Probable Maximum Loss (PML) on an occurrence basis for a 100-year return period for Hurricanes (i.e., PML100) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML100 and region code ‘U6’ (‘USA-Other’) should address US-wide PML100 for hurricanes.
  • gross_pml_flood_1_250 – Report the Gross Probable Maximum Loss (PML) on an occurrence basis for a 250-year return period on Flood (i.e., PML250) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML250 and region code ‘U6’ (‘USA-Other’) should address US-wide PML250 for Flood.
  • gross_pml_wildfires_1_250 – Report the Gross Probable Maximum Loss (PML) on an occurrence basis for a 250-year return period on Wildfire (i.e., PML250) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML250 and region code ‘U6’ (‘USA-Other’) should address US-wide PML250 for Wildfire.
  • gross_pml_sev_convec_storm_1_250 – Report the Gross Probable Maximum Loss (PML) on an occurrence basis for a 250-year return period on Severe convective storms (i.e., PML250) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML250 and region code ‘U6’ (‘USA-Other’) should address US-wide PML250 for Severe convective storms.
  • gross_pml_hurricane_1_250 – Report the Gross Probable Maximum Loss (PML) on an occurrence basis for a 250-year return period on Hurricanes (i.e., PML250) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML250 and region code ‘U6’ (‘USA-Other’) should address US-wide PML250 for hurricanes.
  • net_pml_flood_1_100 – Report the Net Probable Maximum Loss (PML) on an occurrence basis, net of all applicable reinsurance, deductibles and co-insurance for a 100-year return period on Flood (i.e., PML100) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML100 and region code ‘U6’ (‘USA-Other’) should address US-wide PML100 for Flood.
  • net_pml_wildfires_1_100 – Report the Net Probable Maximum Loss (PML) on an occurrence basis, net of all applicable reinsurance, deductibles and co-insurance for a 100-year return period on Wildfire (i.e., PML100) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML100 and region code ‘U6’ (‘USA-Other’) should address US-wide PML100 for Wildfire.
  • net_pml_sev_convec_storm_1_100 – Report the Net Probable Maximum Loss (PML) on an occurrence basis, net of all applicable reinsurance, deductibles and co-insurance for a 100-year return period on Severe convective storms (i.e., PML100) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML100 and region code ‘U6’ (‘USA-Other’) should address US-wide PML100 for Severe convective storms.
  • net_pml_hurricane_1_100 – Report the Net Probable Maximum Loss (PML) on an occurrence basis, net of all applicable reinsurance, deductibles and co-insurance for a 100-year return period on Hurricanes (i.e., PML100) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML100 and region code ‘U6’ (‘USA-Other’) should address US-wide PML100 for Hurricanes.
  • net_pml_flood_1_250 – Report the Net Probable Maximum Loss (PML) on an occurrence basis, net of all applicable reinsurance, deductibles and co-insurance for a 250-year return period on Flood (i.e., PML250) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML250 and region code ‘U6’ (‘USA-Other’) should address US-wide PML250 for Flood.
  • net_pml_wildfires_1_250 – Report the Net Probable Maximum Loss (PML) on an occurrence basis, net of all applicable reinsurance, deductibles and co-insurance for a 250-year return period on Wildfire (i.e., PML250) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML250 and region code ‘U6’ (‘USA-Other’) should address US-wide PML250 for Wildfire.
  • net_pml_sev_convec_storm_1_250 – Report the Net Probable Maximum Loss (PML) on an occurrence basis, net of all applicable reinsurance, deductibles and co-insurance for a 250-year return period on Severe convective storms (i.e., PML250) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML250 and region code ‘U6’ (‘USA-Other’) should address US-wide PML250 for Severe convective storms.
  • net_pml_hurricane_1_250 – Report the Net Probable Maximum Loss (PML) on an occurrence basis, net of all applicable reinsurance, deductibles and co-insurance for a 250-year return period on Hurricanes (i.e., PML250) for each region by insurance_class. Optionally, if available, reporting on PML pertaining to region code ‘C1’ (‘Canada-Other’) should reflect Canada-Wide PML250 and region code ‘U6’ (‘USA-Other’) should address US-wide PML250 for Hurricanes.

Additional Reporting Guidance

The technical specifications document for the IC1 (OSFI 1002) return, that includes a template sheet, field definitions and reference tables is available at IC1 (OSFI 1002) Technical Specifications (XLSX, 59 KB). For a reference example of a completed template that contains an abbreviated listing of completed rows following the above template instructions, see the sample IC1 (OSFI 1002) Return template (CSV, 14 KB).

Instructions for the Transition Risk Return IC2 (OSFI 1003)

This return collects GHG Absolute Emissions assigned on Investments and other Balance Sheet Assets and entity-wide (unattributable) from insurers. It also collects Insurance-Associated GHG Emissions to assess the emissions footprint enabled by insurers' underwritten insurance businesses.

Overview of Return Data Fields

The following fields are included in the IC2 (OSFI 1003) Return templates:

Sub-Table Field

return_subtable

Categorical Data Fields

  • asset_class
  • insurance_class
  • sector
  • region
  • credit_quality

Calculated Fields

  • scope_1_insurer_own_absolute_emissions
  • scope_2_insurer_own_absolute_emissions
  • scope_3_insurer_own_absolute_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_data_counterparty_quality_score
  • scope_1_policyholder_absolute_emissions
  • scope_2_policyholder_absolute_emissions
  • weighted_avg_scope_1_policyholder_data_quality_score
  • weighted_avg_scope_2_policyholder_data_quality_score
  • weighted_avg_policyholder_data_quality_score
  • asset_balance
  • weighted_average_maturity
  • balance_5_maturity
  • balance_10_maturity

The above template fields are to be reported by completing the template contained in the technical specifications provided at IC2 (OSFI 1003) Technical Specifications (XLSX, 59 KB), following the instructions below for reporting Absolute GHG emissions and other related metrics on transition risk 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, 80 KB)).

Sub-Table IC2-A: Entity-level Insurer’s Own GHG Emissions by Scope

Report emissions by scope, excluding Financed Emissions for Scope 3, using the instructions by submission key below.

Sub-Table Field

  • return_subtable – Set field value to ‘IC2-A’ on each row reported

Categorical Data Fields

  • asset_class – Set field value to code ‘10’ (‘Unattributable – GHG emissions unattributable to a specific asset’) for each row reported; reporting on other asset classes is not applicable for Sub-Table IC2-A (see Field Applicability by Sub-Table section above for details)
  • insurance_class – Report as blank
  • sector – Not applicable; Report as blank
  • region – Report the applicable province or territory of Canada, Region of USA or ‘Other’ geographic region per the table in Appendix III – Regions
  • credit_quality – Not applicable; Report as blank

Calculated Data Fields

  • scope_1_insurer_own_absolute_emissions – Report the Insurer’s Own Absolute Scope 1 GHG Emissions (in tCO2-Equivalent) produced within each reported region
  • scope_2_insurer_own_absolute_emissions – Report the Insurer’s Own Absolute Scope 2 GHG Emissions (in tCO2-Equivalent) within each reported region
  • scope_3_insurer_own_absolute_emissions – Report the Insurer’s Own Absolute Scope 3 GHG Emissions (in tCO2-Equivalent) within each reported region
  • asset_balance – Report as blank
  • weighted_average_maturity – Report as blank
  • balance_5_maturity – Report as blank
  • balance_10_maturity – Report as blank

Note: The “Insurer’s Own Absolute Emissions” could alternatively be termed as “Non-Financed GHG Emissions”, as per the “Key Terms and Definitions” above.

Sub-Table IC2-B: Financed GHG Emissions – Scope 3 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 ‘IC2-B’

Categorical Data Fields

  • asset_class – Report on each of the defined asset classes (see the table in Appendix I - Asset Classes for reference). Do not report using the ‘Unattributable’ classification of the asset_class 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).
  • insurance_class – Report as blank
  • sector – If applicable per the Field Applicability Matrices, report the applicable sector code for each assets per the table in Appendix I - Asset Classes; otherwise report the sector field as blank
  • region – If applicable 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 III – Regions; otherwise report the region field as blank
  • credit_quality – If applicable for the asset_class per the Field Applicability Matrices, report the applicable credit_quality code per the table in Appendix V – Credit Quality Ratings; otherwise, report the credit_quality field for the non-applicable rows as blank

Note: If an insurer has multiple assessments from multiple rating agencies, the insurer should disclose the credit ratings using guidance from OSFI’s MCT (see Chapter 6 section “6.1.1 - Use of ratings”) and LICAT (see Chapter 3 section “3.1.1 - Use of ratings”) guidelines.

Calculated Fields

  • scope_1_counterparty_absolute_emissions – Report the applicable amount of the Insurer’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 Insurer’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 Insurer'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 Insurer'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 Insurer'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 dollar amount of the applicable financial balance 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 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.

Sub-Table IC2-C: Insurance-Associated GHG Emissions

For purposes of reporting Scope 3 (Insurance-Associated) Emissions by Insurance Classes, report on each row using the instructions by submission key below. Note that this Sub-Table is to be completed by insurers writing classes of insurance including personal automobile, commercial property and other commercial lines.

Sub-Table Field

  • return_subtable – Set field value to ‘IC2-C’ on each row reported

Categorical Data Fields

  • asset_class – Report as blank
  • insurance_class – Report the applicable class of insurance code per Appendix II – Insurance Classes; for purposes of reporting on IC2-C, only include the following Insurance Classes: Personal Automobile, Commercial Property, Other Commercial Lines (do not report on ‘Personal Property’).
  • sector – Report the applicable Sector code for each insurance_class per the table in Appendix IV – Sectors; for insurance_class code ‘1’ (‘Personal Automobile’), report the sector field as blank
  • region – Report the applicable region for each insurance_class per the table in Appendix III - Regions
  • credit_quality – Report as blank

Calculated Fields

  • scope_1_policyholder_emissions – Report the applicable amount of the Insurer's Policyholder Scope 1 Absolute GHG Insurance-Associated Emissions for each applicable insurance_class (‘Personal Automobile’, ‘Commercial Property’, ‘Other Commercial Lines’) for each region by each sector.
  • scope_2_policyholder_emissions – Report the applicable amount of the Insurer's Policyholder Scope 2 Absolute GHG Insurance-Associated Emissions for each applicable insurance_class (‘Personal Automobile’, ‘Commercial Property’, ‘Other Commercial Lines’) for each region by each sector.
  • weighted_avg_scope 1_policyholder_data_quality_score – Report the PCAF Data quality score for the Insurer's Policyholder 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_policyholder_data_quality_score – Report the PCAF Data quality score for the Insurer's Policyholder 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_policyholder_data_quality_score – Report the PCAF Data quality score for the Insurer's Policyholder 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).
  • Report the following fields as blank on each row:
    • asset_balance
    • weighted_average_maturity
    • balance_5_maturity
    • balance_10_maturity

Additional Reporting Guidance

The technical specifications document for the IC2 (OSFI 1003) return, that includes a template sheet, field definitions and reference tables is available at IC2 (OSFI 1003) Technical Specifications (XLSX, 59 KB). For a reference example of a completed template that contains an abbreviated listing of completed rows following the above IC2 (OSFI 1003) template instructions, see the sample IC2 (OSFI 1003) Return template (CSV, 7 KB).

Appendix I – Asset Classes

The coding selections for the Returns listed below reflect the investment security classifications on the Supervisory Quarterly Returns as follows:

  • Life Insurance (LF2): Exhibit 21.012
  • Mortgage Insurance (MI4): Exhibit 40.08
  • Property & Casualty Insurance (PC2): Exhibit 40.08

Sub-Table IC2-A: Entity-level Insurer’s Own GHG Emissions by Scope

The following category is to be used for the asset_class field when completing the IC2-A Return.

The “Unattributable (i.e., GHG emissions unattributable to a specific asset)” asset class is to be used for reporting on entity-wide emissions in IC2 return sub-table 'IC2-A' only, and it is not intended to be used in lieu of reporting emissions by specific asset classes in IC2 return sub-table 'IC2-B'.

Report in the asset_class field using the codes shown below.

asset_class Asset Class Name
10 Unattributable - GHG emissions unattributable to a specific asset

Sub-Table IC2-B: Financed GHG Emissions – Scope 3 by Asset Class (Canada and outside Canada)

The following asset classes are to be used for the asset_class field when completing the IC2-B Return.

asset_class Asset Class Name
1 Short Term Investments
2 Bonds and Debentures – Government – Federal
3 Bonds and Debentures – Corporate – Public
4 Bonds and Debentures – Corporate – Private
5 Mortgage Loans
6 Preferred Shares – Fixed Term
7 Preferred Shares – Equity Preferred
8 Total Common Shares
9 Investment in Subsidiaries

Appendix II – Insurance Classes

IC1 (OSFI 1002) - Physical Risk Returns

The classes of insurance presented in the table below are to be used for purposes of reporting in the insurance_class categorical field for the following IC1 returns:

  • Sub-Table IC1-A: Insurance Claim and Revenue Metrics by Region (Canada and outside Canada)
  • Sub-Table IC1-B: Probable Maximum Loss (PML) by Region (Canada and outside Canada)

Report in the insurance_class field using the codes shown below.

insurance_class Insurance Class Names
1 Personal Automobile
2 Commercial Property
3 Other Commercial Lines
4 Personal Property
5 Other Personal
6 RE Aggregated Data - data not available by insurance_class

insurance_class code ‘6’ ‘RE Aggregated Data - data not available by insurance_class’ is applicable only to Reinsurance companies.

IC2 (OSFI 1003) - Transition Risk Returns

The classes of insurance presented in the table below should be used to report the insurance_class categorical field for the Sub-Table IC2-C: Insurance-Associated GHG Emissions.

Report in the insurance_class field using the codes shown below.

insurance_class Insurance Class Names
1 Personal Automobile
2 Commercial Property
3 Other Commercial Lines

The insurance classes in the table above have been reduced to three classes of insurance as the methodology for calculating Insurance-Associated GHG emissions (i.e., PCAF Standard Part C) only covered the "Commercial lines" and "Personal motor lines" when this document was developed.

Appendix III – Regions

The categorical codes shown in the table below are to be used for the region field when completing the IC1 (OSFI 1002) Return and the IC2 (OSFI 1003) 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; for IC1-B reporting of Canada-Wide PML
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; for IC1-B reporting of USA-Wide PML
ZZ Other All other regions worldwide

Appendix IV – Sectors

The coding selections shown in Table 1 below are to be used for the sector field when completing the IC2 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 V – 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 IC2 (OSFI 1003) return, investments should be grouped within each credit_quality category; borrowers are not to be reported on an individual name basis.

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