SS3/24 – Credit risk definition of default

First published on 12 September 2024

This supervisory statement (SS) sets out the Prudential Regulation Authority’s (PRA’s) expectations in respect of the application of the definition of default.

This SS is relevant to PRA-authorised banks, building societies, PRA-designated investment firms, and PRA-approved or PRA-designated financial or mixed financial holding companies (collectively ‘firms’).

The SS has eight chapters:

• Chapter 1: introduction 
• Chapter 2: past due criterion in the identification of default 
• Chapter 3: indications of unlikeliness to pay
• Chapter 4: application of the definition of default in external data  
• Chapter 5: return to non-defaulted status 
• Chapter 6: consistency in the application of the definition of default
• Chapter 7: application of the definition of default for retail exposures 
• Chapter 8: documentation, internal policies, and risk management processes

Near-final version

Published on 12 September 2024. Effective from 1 January 2026

• Supervisory statement 3/24 – September 2024 (PDF)

- Following PS9/24 – Implementation of the Basel 3.1 standards near-final part 2