SS3/24 – Credit risk definition of default

Here is a brief summary:

The Prudential Regulation Authority's (PRA) Supervisory Statement on Default Definition

This supervisory statement outlines the PRA's expectations for the application of the definition of default in respect of PRA-authorised banks, building societies, and investment firms. The statement has eight chapters that cover key aspects, including the past due criterion in identifying default, indications of unlikeliness to pay, and consistency in applying the definition. It also addresses specific considerations for retail exposures and documentation requirements. The statement aims to provide clarity on the PRA's expectations for firms to manage risk effectively and maintain a stable financial system.