AFB Practice Roundtable: Embedding Supervisory Statement 5/25: Climate Risk Data, Quantification and Strategy

In December 2025, the PRA published Supervisory Statement (SS) 5/25, which replaces SS3/19 and sets out updated expectations for banks on managing climate-related financial risks. It consolidates the PRA’s earlier work and covers expectations across governance, risk management, climate scenario analysis, data, disclosures, and sector-specific issues.

This roundtable, led by Deloitte, will focus on climate risk data, quantification and integration of climate risk into strategy and risk appetite.

Why attend?

Firms were expected to complete an internal review against SS5/25 by June 2026 and plan how to close any gaps. This roundtable is an opportunity to discuss how these plans are being put into practice.

The discussion will focus on the following areas:

• Sourcing and integrating climate risk data to satisfy the expectations set out in SS5/25 that firms develop and maintain appropriate climate risk data capabilities, while managing data limitations and uncertainty. 
• Climate risk quantification (Including climate ECL frameworks) to satisfy the expectation set out in SS5/25 that firms quantify material climate risks and incorporate them into traditional risk types
• Integration of climate risk into a firm’s strategy and risk appetite to satisfy the expectations in SS5/25 that climate-related risks are considered when a firm sets its strategy, business plan and risk appetite

AFB will circulate an agenda and a series of questions to attendees in advance, which will be used to aid discussions.

The Chatham House Rule will apply to this event to encourage open dialogue and discussion.

Please note that there will be a limit of one representative per AFB member to allow a wider range of firms to attend and benefit from the discussion.

Who should attend?

This roundtable will be of particular interest to those responsible for Enterprise Risk Management, Credit Risk, Finance and IFRS 9, Climate Risk and Sustainability, Stress Testing and Scenario Analysis and Compliance at AFB member banks.

Facilitators

Jean-Marie Delport – Director

Jean-Marie leads Deloitte UK’s climate credit risk management and modelling team for banking. An actuary with 10 years’ experience building financial risk models, Jean-Marie combines strong quantitative expertise with extensive experience in credit risk modelling. Jean-Marie’s experience includes leading large-scale climate model development projects for Tier 1 banks and supporting a wide range of firms with their climate risk management.

Jack McKeown – Director

Jack leads on stress testing and climate risk stress testing for Deloitte UK. Prior to joining Deloitte in February 2023, he spent 5 years as Head of Stress Testing at the Bank of England, leading the concurrent stress testing programme of major UK banks. Jack’s experience includes leading delivery teams to design and implement capabilities to quantify the impact of transition and physical climate risk for stress testing and IFRS 9 for Mortgages and Corporate portfolios. 

Arina Bisschoff – Senior Manager

Over more than ten years at Deloitte, Arina has built extensive experience in the development and application of credit risk and climate risk models across a range of banking portfolios. Her experience includes managing the integration of transition and physical climate risks into IFRS 9 models across corporate, mortgage and specialised lending portfolios, alongside broader experience in credit risk modelling, scenario analysis and stress testing.

Logistics

Fee: Included in membership

Venue: Deloitte, 2 New St, London, EC4A 3BZ

Date: Tuesday 17 November 2026

Time: 09:00 – 10:30 (arrivals and breakfast from 08:30)

If you would like to submit a question or have any specific areas that you would like the session to address, please send them to AFB at secretariat@foreignbanks.org.uk. You will receive details on how to join this session a week before the event.