Response to consultation on revised Guidelines for common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing
Q1. What are the respondents’ views on the overall amendments and clarifications made to the revised guidelines (across Titles 2 – 12)?
The provisions seem relevant to us because they correspond to the alignment of the SREP guidelines with the changes introduced by CRR3/CRD6. The revision consolidates a risk-based supervisory framework by integrating the principles of (i) proportionality, (ii) operational resilience, (iii) ESG risks, (iv) the treatment of market risk transfer pricing models, (v) the articulation between Pillar 1 (including the output floor) and Pillar 2 in order to avoid double counting, (vi) the provisions relating to third-country branches, (vii) a prudential escalation framework, and (viii) the integration of ICT risk assessment into the general guidelines.
Q2. What are the respondents’ views on the integration of ESG risks and factors across the existing SREP elements in the revised guidelines?
We support the approach of integrating ESG risks and factors into the Business Model Analysis (BMA) and across the SREP instead of taking a one-size-fits-all approach in a dedicated title. This approach focuses on the ability of banks to demonstrate the resilience of their model. The "business-as-usual" integration option also limits the risk of redundancy and over-complexity of the SREP. This approach seems to us to be more aligned with the regulatory definition of ESG risks. Currently, institutions are in the process of implementing a cross-functional vision of ESG risks
Q3. What are the respondents’ views on the enhanced simplification and proportionality aspects?
We welcome the strengthening of proportionality, in particular through: (i) greater flexibility in the categorisation of institutions, and (ii) the evolution of the minimum supervisory engagement model allowing for a lighter assessment of non-material or unchanged elements/risks. The possibility of extending the minimum frequency of assessment from three to five years for a subset of category 4 institutions provides for safeguards (eligibility criteria, possible intensification, maintenance of a minimum dialogue). Flexibility and Flexibility for Non-Complex Facilities (3-5 Year Timeline)
Q4. What are the respondents’ views on the introduction of a high-level escalation framework?
We support the introduction of a prudential escalation framework, aimed at enhancing the effectiveness of supervision by allowing for the timely identification and treatment of deficiencies. The steps described (dialogue, expectations/recommendations, binding measures, then implementation including sanctions) provide useful structuring while preserving the flexibility and discretion necessary for the competent authorities.
Q5. Do you consider the coverage and level of detail of this Title appropriate for its intended purpose?
This part fulfills its objective of allowing early detection of risk situations. The quarterly frequency of supervision of banks and an opportunity to increase the frequency for banks with a higher risk profile. The principle of proportionality makes it possible to adapt supervision according to size, complexity, business model and risk profile. This version of the SREP also refers to DORA
Q6. Do you consider the coverage and level of detail of this Title appropriate for its intended purpose?
The title covers its initial objective of the Business Model Analysis well because it allows the viability of the business model to be assessed. It also makes it possible to assess the sustainability of the strategy in the medium/long term and also to identify major vulnerabilities. This 2025 version of the SREP is enriched with more transversal requirements and integration of the new CRR3/CRD6 and the challenges related to DORA and ESG.
Q7. What are the respondents’ views on the updated section 5.7 “ICT systems, risk data aggregation and risk reporting”?
We consider the updating of this section relevant insofar as it is part of the integration of ICT risks within the general SREP and contributes to a more coherent evaluation of ICT systems, risk data aggregation and reporting, in line with the evolution of the DORA framework. This update is part of the exercise of rationalization of the SREP, which makes it easier to read.
Q8. Do you consider the coverage and level of detail of this Title appropriate for its intended purpose?
The text indicates that the revision aims to integrate cross-cutting dimensions (proportionality, ESG) while maintaining the framework for assessing prudential risks.
Q9. Do you agree with the treatment proposed to account for transfer pricing risk in the context of trading book activities? Please elaborate.
We support the proposed treatment to hedge market risk arising from certain transfer pricing arrangements where market risks are insufficiently captured by 'Pillar 1'.
Q10. What are the respondents’ views on the integration of the EBA GL on ICT risk assessment under the SREP (EBA/GL/2017/05) and DORA aspects?
We support the option of integrating ICT guidance into general GL SREPs. The text highlights that the separate approach has led to overlaps and consolidation difficulties, while DORA consolidates ICT risk management requirements. Integration promotes balanced attention and harmonization of practices.
Q11. What are the respondents’ views on the introduction of operational resilience (section 6.4.5)?
We support the integration of operational resilience into existing elements (governance, operational risk management, business continuity, third-party dependencies, incident management, ICT/cyber). This approach limits repetition and is part of a "business-as-usual" supervisory logic consistent with the interdependence between operational risk management and resilience. It also becomes more aligned with the BCBS framework (recognizes the links between operational resilience and operational risk management in reducing the frequency and impact of operational risk events).
Q12. What are respondents’ views on the additional section on CSRBB and the combined score for IRRBB and CSRBB?
The introduction of a section dedicated to the CSRBB (sensitivity to changes in credit spreads) and a combined score with the IRRBB (sensitivity of the banking book to changes in rates) reinforces the consistency of the assessment of interest rate and spread risks. The grouping is in the direction of simplification and convergence.
Q13. What are the respondents’ views on the proposed assessment of the interaction between Pillar 1 and Pillar 2 requirements and on the proposed approach for operationalizing concerning cases where an institution becomes bound by the output floor?
The proposed approach (Option 2) aims to integrate the output floor and to provide more broadly for an assessment of the interactions between P1R and P2R when a material impact on the capital profile is expected. The aim is to prevent double counting and to maintain the complementarity between Pillar 1 and Pillar 2 is central. In this way, it prevents Pillar 2 from offsetting a risk that has already been absorbed by Pillar 1 (standardised risks such as market, operational, credit risk).
Q14. What are the respondents’ views on the merger with the ‘SREP liquidity assessment’ and the merger of the scores into a combined liquidity and funding adequacy score?
In our opinion, this merger is logical because short-term liquidity depends on stable long-term funding. A single, global liquidity and funding score by replacing the liquidity risk, funding risk, and liquidity adequacy scores. However, in our opinion, this merger entails a risk of loss of granularity and transparency because it is possible to have a good LCR (30-day short-term liquidity ratio) but very poor funding. Title 8 does not detail the weighting between the different risks: liquidity, financing and quality of the management system.
Q15. What are the respondents’ views in relation to enhanced communication aspects?
The aspects of enhanced communication allow for better readability and transparency. It brings more structure to risk summaries and the communication of supervisory decisions. It also makes it possible to know the interactions between supervision and resolution authorities by better selecting the most appropriate measures (qualitative and quantitative).
Q16. Do you consider the coverage and level of detail of this Title appropriate for its intended purpose?
The approach is structured because it provides for a two-step process: individual assessment of cross-border groups initially by the national supervisory authorities (each authority is competent for the institutions it supervises) and a consolidated level by the supervisor. This section allows you to identify the obligations in terms of capital, (P2R/P2G) and liquidity.
Q17. Do you consider the coverage and level of detail of this Title appropriate for its intended purpose?
The stress test was in the SREP2022 an important but secondary component (ability to resist stress, ILAAP analysis, ICAAP) while the SREP2025, stress becomes a central supervisory tool. Coverage and level of detail are appropriate in the new exercise, including ESG principles. It makes it possible to detect vulnerabilities, calibrate P2G, check the robustness of governance, test the impact of ESG risks and operational resilience and finally liquidity analysis.
Q18. Do respondents consider the guidance for the assessment of third-country branches appropriate and sufficiently clear?
We support the option of integrating the provisions on third-country branches into the revised GL SREPs. This new framework, present in a single document of consolity, allows the competent authorities to have the necessary tools to monitor the risks of TCBs. However, we note that all the recommendations for third countries could be more identifiable and explained.