The European Commission has adopted a Delegated Regulation supplementing the Capital Requirements Regulation with regard to regulatory technical standards (RTS) for the materiality threshold for credit obligations past due.
The RTS specify the conditions according to which a Member State competent authority (NCAs) shall set the threshold for the materiality of a credit obligation past due for the purpose of the identification of default in accordance with Article 178(1)(b) of the Capital Requirements Regulation (CRR). These conditions are specified separately for setting the threshold for retail exposures and for all other exposures. This separation was necessary in order to address the possibility for the institutions to apply the definition of default for retail exposures at the level of an individual credit facility rather than in relation to the total obligations of a borrower as specified in the last subparagraph of Article 178(1) of the CRR. Furthermore, different maximum levels of the thresholds were specified in relation to retail and to all other exposures.
As part of the conditions to set the thresholds the RTS specify the structure of the threshold as a combination of an absolute and a relative component of the threshold. In order to allow NCAs to set the threshold at an appropriate level that reflects a level of risk that the NCA considers to be reasonable the RTS specify the calculation of the amount that the threshold will be compared with and provide conditions for when the level of risk reflected by the threshold will be considered reasonable.
View Commission Delegated Regulation (EU) …/… of 19.10.2017 on supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the materiality threshold for credit obligations past due, 19 October 2017