Overview

6.1 The PRA expects that a firm should adopt adequate mechanisms and procedures in order to ensure that the definition of default is implemented and used in a correct manner, and should, in particular, ensure:

(a) that default of a single obligor is identified consistently across the firm with regard to all exposures to this obligor in all relevant IT systems, including in all the legal entities within the group and in all geographical locations in accordance with paragraphs 6.2 to 6.4 or, for retail exposures where the definition of default is applied at facility level, in accordance with paragraphs 7.6 to 7.8;

(b) that one of the following applies:

i. the same definition of default is used consistently by the firm, its parent undertaking, or any of its subsidiaries and across types of exposures; or

ii. where different definitions of default apply either within a group or across types of exposures, the scope of application of each definition of default is clearly specified in accordance with paragraphs 6.5 to 6.7.

Consistent identification of default of a single obligor