My OTTB is another story. He is usually always blanketed in the winter. Even at -5. I too live in Canada (northern BC) and the winters can be rough on him. He doesn't get a very thick coat and is a hard keeper.
My friends TB is never blanketed!
It totally depends on your horse. Monitor him as the temperature drops. Like I said...I prefer not to blanket, but if they need it, well they need it! -35 is very cold and if there is a wind that could chill him if he can't get out of it.