Response to consultation on revised Guidelines for common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing

Q12. What are respondents’ views on the additional section on CSRBB and the combined score for IRRBB and CSRBB?

Paragraph 288 requires that "Competent authorities should check the exclusion of idiosyncratic spread in the institution’s measurement of CSRBB or its inclusion only for proportionality reasons, as long as it is ensured that the measures will yield more conservative results." 

We seek clarification on the following: If idiosyncratic spreads may only be excluded for proportionality reasons, does this imply that institutions of higher SREP categories may not exclude idiosyncratic spreads even if the result were conservative? Which SREP categories would be affected? 

Name of the organization