Typically when you get the catalyst thresh hold error the pre-cat sensors have failed, causing the post cat to read incorrect.

You can start by replacing the pre-cat sensor(s) and see if that fixes it. I would replace all of them though as if the pre-cat sensor(s) go the post-cat isn't far behind.

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Current Bimmer
2004 X5 4.4i Sterling Grey Sport/Premium

Past Bimmers
1991 318I Alpine White
1995 740I Alpine White
1991 525I Schwartz
1998 323IS Scwartz
2004 330CI Cabrio Titanium Silver Metallic
1995 540I Schwartz
2000 Z4 3.0 Titanium Silver
2000 330ci Coupe Titanium Silver