IMO, it'd be your privacy notice. Although, if there's a way to have both (but make it clear which is which and why you have both) that'd be great.
We didn't do the speed bump for the online banking link, so we wouldn't do it for an online application, either. From my perspective as a consumer, I'd be concerned if an application for my bank told me I was going to a different website.
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"Pressure is something you feel when you don't know what you're doing" - Peyton Manning