On 27th July 2018, the PRA published its Consultation Paper (CP)
17/18 on Credit Risk Definition of Default (DoD). This paper sets
out the PRA's proposed approach to implementing the European
Banking Authority's (EBA's) three regulatory packages
relating to DoD in the Capital Requirements Regulation (575/2013)
(CRR) specifically:
- Regulatory Technical Standards (RTS)
for the materiality threshold for credit obligations past
due1;
- Guidelines (GL) on the application of
the DoD2; and
- Opinion paper ('the EBA
Opinion')3 on the use of the 180 days past due (DPD)
criterion in the DoD.
The proposals are relevant to UK banks, building societies and
PRA-designated UK investment firms. Importantly, they apply to
firms using both the Standardised Approach ('SA firms') and
Internal Ratings Based approaches ('IRB firms') as they
affect the DoD which is fundamental to the application of
supervisory risk weights within the SA, as well as to the
estimation and
