2016年-EBA欧洲银行管理局_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, published by the European Banking Authority (EBA) on 22 July 2016, examines the dynamics and drivers of non-performing exposures (NPE) in the EU banking sector, focusing on non-performing loans (NPL) and forbearance loans (FBL). It uses data from 166 EU banking groups and covers the period from September 2014 to March 2016, highlighting the cross-country dispersion and the impact of legal, economic, and regulatory factors on NPLs.

Main Findings

1. NPL and FBL Overview

• The weighted average NPL ratio across the EU was 5.7% in March 2016, with high dispersion among countries.
• The FBL ratio was 3.5% on average, showing a positive and high correlation with NPL ratios.
• The NPL ratio is not lower than the default ratio, as banks report higher NPL ratios than defaulted ones in all countries.
• The spread between NPL and default ratios is divergent across countries and varied over time.

2. Geographical Breakdown of NPLs

• EU banks have a domestic focus, with 52% of their loans and advances (L&A) to domestic borrowers, 24% to other EU countries, and the remaining to non-EU markets.
• Banks operating abroad tend to have lower NPL ratios for non-financial corporations (NFC) but higher NPL ratios for households (HH).
• Non-harmonised NPL and FBL definitions outside the EU can affect the interpretation of the data, but the BCBS' global definition is expected to improve this.

3. Determinants of NPL Dynamics

• The spread between NPL and default ratios is influenced by:
  • Entry criteria: NPE includes exposures 90 days past due or unlikely to be repaid without collateral realisation.
  • Pull effect: Exposures to a debtor are considered non-performing if the on-balance sheet 90-day past due reaches 20% of the total exposure.
  • Forbearance period: NPE classified as forborne cannot exit the non-performing classification for one year unless the debtor proves the ability to meet restructured conditions.
• 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 tight spread between NPL and defaulted ratios, while others show more variation.

4. Forborne Exposures

• Most forborne exposures are classified as non-performing, but significant divergence exists across countries.
• In countries like Croatia (HR), Hungary (HU), Romania (RO), and Slovenia (SI), there is a high correlation between NPL and FBL.
• In contrast, countries such as Cyprus (CY), Greece (GR), Ireland (IE), Spain (ES), Germany (DE), Czech Republic (CZ), and Portugal (PT) show no clear correlation between NPL and FBL.
• The NP-FBL ratio is highly correlated with NPL across countries, indicating that forbearance is a significant factor in the non-performing status of loans.

5. Coverage Ratios

• Coverage ratios have increased in most countries, likely due to higher regulatory scrutiny and declining collateral values.
• The correlation between coverage ratios and NPL is low, suggesting that coverage is influenced by recovery rates, collateral availability, and recovery duration.
• Coverage ratios correlate strongly with forborne exposures, showing a correlation coefficient above 0.9 for both NFC and HH loans.

6. Legal and Regulatory Factors

• The judicial system's inefficiency and work-overload are major impediments to insolvency procedures.
• Longer insolvency proceedings are associated with higher coverage ratios, which reflects the impact of legal delays on provisioning.
• Tax treatment can influence provisioning policies, with limited harmonisation across EU jurisdictions.
• Collateral valuation is a key factor in NPL management, particularly for Commercial Real Estate (CRE), where limited data and low liquidity hinder accurate assessment.
• Establishment of bad banks is legally possible in only 15 out of 28 EU countries, limiting options for NPL resolution.

Key Information

• Sample size: 166 EU banking groups.
• Time period: September 2014 to March 2016.
• Data source: FINREP templates 18 and 19, and data from national competent authorities (NCA).
• Key factors affecting NPLs:
  • Economic conditions and recessionary impacts.
  • Legal and judicial systems' efficiency.
  • Collateral valuation and recovery processes.
  • Tax regimes and provisioning policies.
  • Business models and regulatory frameworks.

Policy Implications

• Improving insolvency procedures is crucial for reducing NPLs and enhancing recovery.
• Harmonising definitions of NPL and FBL across jurisdictions will improve data comparability.
• Enhancing transparency and standardising contracts in secondary markets could help in the sale of bad loans.
• Supporting distressed asset markets with public property price indices and registers is recommended to improve collateral valuation.
• Addressing legal and judicial inefficiencies is necessary to facilitate faster and more reliable NPL resolution.

Conclusion

The report underscores the complexity of NPL management in the EU banking sector, highlighting the need for harmonised definitions, efficient legal systems, and transparent collateral markets. While some progress has been made in reducing NPL ratios, improvements remain uneven, and structural differences between countries continue to affect asset quality and provisioning policies. The findings suggest that policy interventions should focus on legal reforms, market transparency, and supervisory alignment to address the persistent challenges of NPLs.