Stellungnahme DK zum EBA-RTS-Entwurf zur Materialitätsschwelle beim Ausfallereignis „past due“ im Rahmen der IRBA-Ausfalldefinition
Mit dem RTS soll die Materialitätsschwelle beim Ausfallereignis „past due“ (Zahlungsverzug) europäisch vereinheitlicht werden (vgl. Art. 178 Abs. (1) b, (2) d) und Abs. (6) CRR).
Remark on “Definition of credit obligation past due”
The draft RTS shows inter alia two different options 3 and 4 for the “definition of credit obligation past due”:
Option 3 “The sum of the amounts past due more than 90 days (or 180 days if applicable)”
Option 4 “The sum of the amounts past due more than 90 days (or 180 days if applicable) but the calculation of days past due starts when the materiality threshold is breached”
with the same advantages and disadvantages as option 3, but with the additional disadvantage:
“The counting of DPD is not compliant with contractual obligations of the institution and other purposes where DPD number is used, in particular internal monitoring of credit portfolio”
The draft RTS states on p. 24 (a. Definition of credit obligation past due) that option 3
seems to reflect the intention of article 178,
is commonly used across Member States (and therefore would generate on aggregate the least cost for them) and
is the preferred option, given the advantages and disadvantages of all options (so obviously the additional disadvantage of option 4 was relevant)
a. Firstly, we do think that especially option 4 does mostly reflect the intention of article 178 which explicitly refers to “the obligor is past due more than 90 days on any material credit obligation”. The mentioned “material credit obligation” obviously means only just this obliged amount which is in arrears (cf. definition of “credit obligation past due” in draft RTS), so that article 178 says that the “material credit obligation past due” must be 90 days in arrears. Consequently, as long as this amount in arrears is not material it shall not be subject of counting for “90 days past due” to our understanding.