Form BSL/2 Subsidiaries (v2.2)

Summary

Form BSL/2 is a detailed quarterly prudential return that licensed banks in the Bailiwick of Guernsey must complete under the Banking Supervision (Bailiwick of Guernsey) Law, 1994. It captures data across multiple modules covering credit risk, operational risk, market risk, settlement risk, capital composition, interest rate risk and the leverage ratio, used by the GFSC to assess a bank's capital adequacy and risk exposures.

• Module 1: Standardised approach to credit risk, including risk-weighted exposures for sovereigns, PSEs, corporates, banks, securitisations, cash, retail, mortgages, past-due exposures and off-balance sheet items (including OTC derivatives).
• Module 3: Operational risk capital calculation under either the Standardised Approach (TSA) or the Basic Indicator Approach (BIA).
• Module 4: Standardised approach to market risk for foreign exchange, gold and commodities.
• Module 5: Settlement risk capital charges for delivery-versus-payment and free-delivery trades.
• Module 6: Detailed breakdown of regulatory capital components, including Common Equity Tier 1 instruments, reserves and regulatory adjustments.
• Module 10: Interest rate risk sensitivity analysis (200 basis point shock) across currencies and maturity bands.
• Module 11: Basel III leverage ratio calculation, including on-balance sheet, derivative, securities financing and other off-balance sheet exposures.

The form must be completed each quarter as at the last day of March, June, September and December, with amounts entered in sterling to the nearest thousand. It must be signed by a director or senior manager and the chief financial officer, certifying the figures give a true and fair view, and submitted to the Commission within twenty-eight calendar days of the reporting date via the GFSC's Online Submissions Portal. The front sheet itself need not be submitted in paper form but should be retained by the bank.

Key obligations

• Complete Form BSL/2 quarterly as at the last day of March, June, September and December.
• Submit the completed return to the GFSC within twenty-eight calendar days of the reporting date via the Commission's Online Submissions Portal.
• Ensure the return is signed by a director or senior manager and the chief financial officer certifying that the figures present a true and fair view of the bank's position.
• Notify the Commission under sealed cover of any further material facts affecting the bank's affairs not otherwise disclosed in the return.
• Enter amounts in sterling to the nearest thousand, converting figures reported in any other currency.

Applies to

banks licensed under the Banking Supervision (Bailiwick of Guernsey) Law, 1994

Deadlines

• quarterly as at the last day of March, June, September and December: Reporting periods for which Form BSL/2 must be completed.
• within twenty-eight calendar days of the reporting date: Deadline to submit the completed return and supporting documentation via the Commission's Online Submissions Portal.