Backgrounder: Draft Guideline B-12 Interest Rate Risk Management Consultation
Backgrounder -
Overview
The Office of the Superintendent of Financial Institutions (OSFI) is launching a 60-day public consultation on targeted adjustments to Guideline B‑12 – Interest Rate Risk Management. The proposed amendments update the interest rate shock scenarios in the guideline to align with recent revisions from the Basel Committee on Banking Supervision (BCBS). The proposed amendments reflect recent interest rate experience and leverage an updated BCBS methodology to calibrate interest rate shocks.
Why it's important
OSFI is strengthening transparency and market discipline by consulting on targeted updates to Guideline B‑12 alongside proposed amendments to interest risk rate in the banking book Pillar 3 disclosure expectations.
Updating the interest rate shock scenarios ensures institutions recognize more recent market experience when measuring interest rate risk. Expanding the time-series used to calibrate shocks from December 2015 to December 2023 captures a period of significant interest rate volatility. The BCBS also improved the methodology for calibrating the scenarios to address periods when rates are close to zero.
These updates improve the accuracy of risk information, promote consistent practices across institutions, and support sound risk management practices across the financial system.
Next steps
Stakeholders can share feedback to Consultations@osfi-bsif.gc.ca until July 20, 2026. Comments received will inform final amendments to the guideline. OSFI plans to publish the final guideline, along with a non-attributed summary of comments received and OSFI's responses, on September 10, 2026.
The guideline will come into effect on November 1, 2026, or January 1, 2027, for institutions with a fiscal year ending October 31 or December 31, respectively.