EBA欧洲银行-EBA-Report-on-NPLs_52页_2mb

Summary of EBA Report on the Dynamics and Drivers of Non-Performing Exposures in the EU Banking Sector

Core Content

This report provides an analysis of the dynamics and drivers of non-performing exposures (NPE) in the EU banking sector, focusing on the impact of economic, legal, and regulatory factors on credit quality, provisioning, and recovery of distressed assets. It uses data from 166 EU banking groups and examines the period from September 2014 to March 2016.

Main Findings

1. NPL and FBL Ratios

• The weighted average NPL ratio for EU banks in March 2016 was 5.7%, with high dispersion across countries.
• The FBL (Forborne Loans) ratio was 3.5% on average, showing a high and positive correlation with NPL.
• The NPL ratio is not lower than the default ratio, with banks reporting higher NPL ratios in all countries.

2. Geographical Breakdown of NPL and FBL

• The majority of NPLs are concentrated in financially stressed member states, particularly those affected by the 2008 economic crisis.
• Banks operating abroad tend to have lower NPL ratios for NFC (Non-Financial Corporations) but higher NPL ratios for HH (Households).
• There is no common definition of NPL and FBL outside the EU, which can affect the comparability of results.

3. Spread Between NPL and Default Ratios

• The spread between NPL and default ratios is divergent across countries and varied over time.
• The median spread between Defaulted Exposures and NPLs was -0.27% in March 2016, up from -0.36% in September 2014.
• 18 out of 29 countries report a spread close to the median, while others show more significant changes.
• The spread reduction is largely attributed to the 2014 AQR (Asset Quality Review) and the EBA ITS (Implementing Technical Standard).

4. Forborne Exposures and NPL

• The majority of forborne exposures are classified as non-performing, though significant divergence exists across countries.
• A strong correlation is observed between the level of forborne exposures and the NPL ratio, especially for both NFC and HH loans.
• The correlation between NPL and NP-FBL is less significant than between NPL and FBL, with almost no correlation for HH loans, likely due to earlier forbearance measures or systematic identification.

5. Coverage Ratios

• Coverage ratios have increased in most countries, likely due to higher regulatory scrutiny and declining collateral values.
• The correlation between NPL and coverage ratio is low, suggesting that coverage ratios are influenced by other factors such as recovery rates and collateral availability.
• The correlation between FBL and NPL is high and stable, indicating that forborne exposures are closely tied to non-performing loans.

6. Structural Market Characteristics

• Legal and judicial systems significantly affect provisioning policies and recovery of distressed assets.
• Slow judicial processes and work overload in most countries are a major impediment to efficient insolvency procedures.
• Tax treatment influences provisioning policies, with no harmonisation across the EU.
• Collateral valuation, especially in Commercial Real Estate (CRE), is inconsistent and affects market liquidity and asset recovery.

7. Policy Implications

• Proactive management of NPLs is crucial for bank profitability, economic growth, and consumer protection.
• Establishing bad banks is legally possible in only 15 of 28 EU jurisdictions, limiting options for banks to transfer NPLs.
• Secondary market sales of NPLs can be problematic, requiring improvements in transparency and contract homogeneity.
• Harmonisation of definitions and legal frameworks is essential for better comparability and effective resolution of NPLs.

Key Information

• Sample Size: 166 EU banking groups.
• Time Period: September 2014 to March 2016.
• NPL Ratio (March 2016): 5.7%.
• FBL Ratio (March 2016): 3.5%.
• Spread Reduction: Most notable in the first two quarters after the EBA ITS implementation.
• Coverage Ratios: Increased in most countries, but correlation with NPL is low.
• Legal and Judicial System: Affects the speed and reliability of insolvency procedures.
• Collateral Markets: Especially CRE, show low liquidity and high discounts, indicating a nascent market.
• Tax Treatment: Varies across the EU, with no harmonisation, impacting provisioning and NPL management.
• Policy Recommendations: Include improving legal frameworks, enhancing collateral valuation, and promoting transparency in secondary markets.

Conclusion

The report highlights the complexity and variability of NPL management across the EU, driven by economic conditions, legal frameworks, and regulatory differences. While the overall trend shows some improvement, the level of NPLs remains high, and policy harmonisation is necessary to ensure effective resolution and financial stability.