Change Control Log (Climate Risk Returns)

DC1 - Physical Risk Returns:

• Clarified that the scope of instruments covered by the Physical Risk DC1 returns is limited to on-balance sheet items: Loans and Securities.
• Clarified that the following asset classes are not covered by the Physical Risk DC1 returns: Guarantees and Letters of credit, Counterparty Credit Risk Exposures such as Derivatives, Securities financing transactions, Repo-style exposures, and CVA exposures.

DC1 Technical Specifications – “Data Fields” tab:

• Updated the description for “Number of Assets” to include "Securities" in addition to “Loans”.

DC1 and IC1 Physical Risk Returns:

• Asset Classes 8 and 17 (Unattributable Emissions) defined as GHG emissions unattributable to a specific asset and are not intended for reporting unattributable financed emissions.
• Asset Classes 8 and 17 (Unattributable Emissions) are applicable to non-financed emissions (FRFIs own emissions) and apply to DC1 and IC2 returns only.

DC1 - Physical Risk Returns:

• Removed Securitization as an asset class from the Physical Risk DC1 returns.

• Clarified that the “Equity investment in fund – Public/Private Equity" asset classes in the DC1 - Physical Risk Returns and “Equity investment in fund - Public Equity” in the DC2- Transition Risk Returns include only on-balance sheet investments.

DC1 Technical Specifications – “Template” tab:

• Added new data field “approach_to_credit_risk”

DC1 Technical Specifications – “Reference Data” tab:

• Added reference Table C-Approach to Credit Risk.

DC1 Technical Specifications – “Data Fields” tab:

• Clarified that in "Weighted Average" calculations, the exposure-weighted values are calculated using the outstanding balance as the weighting factor.

DC1 Return Template

• DTIs should use the most recent version of Canada Post FSA codes.

DC2 - Transition Risk Returns:

• Clarified that the scope of instruments covered by the Transition Risk DC2 returns is limited to on-balance sheet items: Loans and Investments.

DC2-B Field Applicability Matrices:

• Greyed out “Other Retail- Auto Loans” and “Reverse mortgage” (as Credit Quality is not applicable for these asset classes).

DC2: Technical Specifications - “Data fields” tab:

• Clarified that in the DC2 Technical Specs the term “effective maturity” in the definition of “Weighted Average Remaining Maturity” refers to the remaining maturity of the contract for standardized DTIs, not the effective maturity used in IRB RWA calculations.
• Clarified the definitions of “Balance_5_maturity” and “Balance_10_maturity” to specify how balances with exactly 5 and 10 years of maturity are treated.
• Updated the definition of "Weighted Average Counterparty Data Quality Score" to ensure consistency with the business specifications provided on OSFI’s website. Report "Weighted Average Counterparty Data Quality Score" by asset class, region, sector, and credit quality score.
• Updated the definition of "Asset Balance" to clarify that the applicable amount outstanding refers to the on-balance sheet amount.

DC2-Sample Return:

• Asset classes in the sample DC2 return have been updated to match the list of required asset classes per the corresponding Business Specifications.

Scope 3 non-financed emissions (FRFI’s own) Category 1–14:

• Scope 3 category 1-14 is removed from the CRR and related documents.

Scope 3 Financed Emissions Category 15:

• Disaggregation of scope 3 category 15 by Scope 1 and 2 is optional.

DC2 and IC2 returns- Reporting Timeline Financed Emission Counterparty Data:

• A specific maximum lookback period for counterparties Financed Emission Data is not prescribed; a lookback period ≤ 2 years is recommended.
• FRFIs should advised OSFI if lookback period exceeds 2 years in their supplemental notes.

Business Specifications for DTIs (Appendix III – Sectors); and Business Specifications for Insurers (Appendix IV – Sectors)

Update to Returns Templates, Sample Return and Field Applicability Matrix

Business Specifications for DTIs and Insurers:

• Updated industry classification Code 23 (NAICS 53): Changed from “Real estate” to “Real estate and rental and leasing.”

Returns Templates, Business Specifications for DTIs and Insurers:

• Column sequence updated to match Technical Specifications.

Update to Business Specifications for DTIs and Insurers:

Standardized Reporting Format

Financial figures:

• Updated standardized reporting format such that all financial figures (loan balances, investment security values, etc.) must be reported in CAD or CAD Equivalent without decimals and without commas, unless otherwise specified.

TIV – Physical Risk Returns for Insurers (IC1):

• Clarified that a breakdown of TIV by category (e.g., building, contents, or business interruption) is not required. Only a breakdown by insurance class and region is required.
• Clarified that for commercial property: report the total TIV, including Building, Content, and Business Interruption.
• Clarified that for Personal Property: Property & Casualty (P&C) insurers may report either the total TIV figure or only the Building TIV, depending on data availability.

Physical Risk Returns (IC1):

• Credit Insurance and Title Insurance are out of scope for Physical Risk Return (IC1)

Physical Risk Returns (IC1):

• Gross PML must be reported net of insurer-specific layers and participation shares.

• Deleted a duplicate column for data field “net_pml_flood_1_250” from the “Template” tab.

Business Specifications for Insurers:

• Removed “Short Term Investments” as an asset class.
• This change reduces the total number of asset class codes from 10 to 9.
• The IC2 Sample Returns have been updated to reflect this adjustment.

Transition Risk Returns (IC2):

• Reporting requirements for IAE is TBD

IC2- Tech Specifications

• Asset Balance should reflect the market value of the underlying asset.
• Code 3 “Bonds and Debentures – Corporate – Private” removed from IC2-B as Private Fixed Income is not in scope.

Region Mapping (IC2-B)

• Prefer location where emissions occur (asset or counterparty). If not available, use issuer headquarters as proxy.

OSFI Designated Sectors

• Reduced from 25 to 17 sectors to streamline classification. FRFIs may use internal industry codes if mapped to OSFI-designated sectors.

• Updated French terminology:
  • 'Assurance des biens meubles' to 'Assurance des biens des particuliers.'
• Updated 'Le code « 6 » est réservé aux réassureurs' to 'Ce champ est réservé aux réassureurs.'
• Removed duplicate data fields from the IC2 return Tech Specification Excel file.