Commission Delegated Regulation (EU) 2022/2115 of 13 July 2022 supplementing Regulation (EU) 2020/1503 of the European Parliament and of the Council with regard to regulatory technical standards specifying the methodology for calculating default rates of loans offered on a crowdfunding platform (Text with EEA relevance)
Default of loans offered on a crowdfunding platform
1. Crowdfunding service providers which provide crowdfunding services consisting of the facilitation of granting of loans shall consider a default to have occurred with regard to a particular loan offered on their crowdfunding platform when either or both of the following events have taken place:
(a)
the crowdfunding service provider considers that the project owner is unlikely to pay in full, or otherwise fulfil its credit obligations related to the loan concerned, without recourse to actions, such as realising security;
(b)
the project owner is more than 90 days past due on any material credit obligation related to the loan concerned.
2. For the purposes of paragraph 1, point (a), the following elements shall be considered as indicators of unlikeliness to pay:
(a)
a distressed restructuring of the credit obligation related to the loan concerned has occurred where this is likely to result in a diminished financial obligation caused by the material forgiveness, or postponement, of principal, interest or, where relevant, fees;
(b)
the project owner has applied for, or has been placed in, bankruptcy or similar protection, where this would avoid or delay repayment to investors of a credit obligation related to the loan concerned.
For the purposes of point (a), a distressed restructuring shall be considered to have occurred where concessions have been extended towards a project owner facing or about to face difficulties in meeting its financial commitments.
3. For the purposes of paragraph 1, point (b), where the credit agreement explicitly allows the project owner to change the payment schedule, or to suspend or postpone the payments under certain conditions, and where the project owner acts within the rights granted in that credit agreement, the changed, suspended or postponed payments shall not be considered past due, but the counting of days past due shall be based on the new payment schedule once it is specified. Crowdfunding service providers shall nonetheless analyse the reasons for such changes in the payment schedule, or the suspension or postponement of the payments, and assess the possibility of unlikeliness to pay as referred to in paragraph 1, point (a).
4. Crowdfunding service providers shall disclose the materiality threshold used for the purposes of paragraph 1, point (b).
5. Crowdfunding service providers shall inform investors in case of default of a loan without delay.
Methodology for the calculation of the default rate of loans offered on a crowdfunding platform
1. For the purposes of the disclosure referred to in Article 20(1), point (a), of Regulation (EU) 2020/1503, crowdfunding service providers shall calculate the simple average of the observed 1-year default rate over the entire historical observation period using non-overlapping 12-month observation windows.
2. For the calculation of the 1-year default rate referred to in paragraph 1, crowdfunding service providers shall ensure all of the following:
(a)
that the denominator consists of the number of non-defaulted loans observed at the beginning of the 12-month observation window;
(b)
that the numerator includes all loans considered in the denominator that had at least one default event during the 12-month observation window.
3. For the purposes of paragraph 2, loans for which no payment is scheduled in the payment schedule during the 12-month observation period shall be excluded from the data set used to calculate the default rate for that period.
4. For the purposes of paragraph 1 and irrespective of whether a crowdfunding service provider is using external, internal, or pooled data sources, or a combination of the three, the length of the underlying historical observation period used shall be at least 36 months for at least one source. Where the available observation period spans a longer period for any source, that longer period shall be used. A crowdfunding service provider that has been in operation for less than 36 months shall use the period over which it has been in operation.
5. Crowdfunding service providers shall disclose the denominator and numerator used to calculate the 1-year default rate in accordance with paragraph 2 for the period determined in accordance with paragraph 4.
Methodology for the calculation of the actual default rate of loans by risk category
1. For the publication of actual default rates of all loans in accordance with Article 20(1), point (b)(i), of Regulation (EU) 2020/1503, crowdfunding service providers shall calculate the simple averages of the observed 1-year default rate by risk category over the entire historical observation period using non-overlapping 12-month observation windows.
2. For the calculation of the 1-year default rate by risk category, crowdfunding service providers shall ensure all of the following:
(a)
that the denominator consists of the number of non-defaulted loans observed at the beginning of the 12-month observation period within the risk category for which the default rate is calculated;
(b)
that the numerator includes all loans considered in the denominator that had at least one default event during the 12-month observation period.
3. For the purposes of paragraph 2, loans for which no payment is scheduled in the payment schedule during the 12-month observation period shall be excluded from the data set used to calculate the default rate for that period.
4. For the purposes of paragraph 1, irrespective of whether a crowdfunding service provider is using external, internal, or pooled data sources, or a combination of the three, the length of the underlying historical observation period used shall be at least 36 months for at least one source. Where the available observation period spans a longer period for any source, that longer period shall be used. A crowdfunding service provider that has been in operation for less than 36 months it shall use the period over which it has been in operation.
5. Crowdfunding service providers shall disclose the denominator and numerator used to calculate the actual default rate of all loans by risk category in accordance with paragraph 2 for the period determined accordance with paragraph 4.
Methodology for the calculation of the expected default rate of loans by risk category
1. For the publication of expected default rates of all loans in accordance with Article 20(1), point (b)(i), of Regulation (EU) 2020/1503, crowdfunding service providers shall base their estimates of the expected default rates by risk category on the actual default rates of loans by risk category calculated in accordance with Article 3.
2. For the purposes of paragraph 1 and irrespective of whether a crowdfunding service provider is using external, internal, or pooled data sources, or a combination of the three, for its expected default rate estimation, the length of the underlying historical observation period used shall be at least 36 months for at least one source. Where the available observation period spans a longer period for any source, that longer period shall be used. A crowdfunding service provider that has been in operation for less than 36 months shall use the period over which it has been in operation.
Assignment to risk categories
For the purposes of Articles 3 and 4, crowdfunding service providers shall assign the individual loans to the relevant risk category set out in the risk-management framework on the basis of sound and well-defined criteria and taking into account all the relevant factors that may have unfavourable effects on the performance of the loans.
Data accuracy
Crowdfunding service providers shall ensure the consistency and appropriateness of data used to calculate the default rates in accordance with this Regulation.
Entry into force
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .
Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.
