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    EBA Publishes Risk Dashboard for Third Quarter of 2020

    January 13, 2021

    EBA published the quarterly risk dashboard, along with the results of the Risk Assessment Questionnaire survey among 60 banks and 15 market analysts. The risk dashboard is based on a sample of 147 banks, covering more than 80% of the European Union/European Economic Area banking sector by total assets, at the highest level of consolidation. Data for the third quarter of 2020 showed an increase in capital ratios and an improvement in non-performing loan (NPL) ratio, while the asset quality and profitability risks showed an increasing trend.

    The non-performing loan (NPL) ratio continued its decline, from 2.9% in the second quarter to 2.8% in the third quarter supported by a contraction in the NPL volume and rising total loans and advances. The forborne loan ratio, however, remained unchanged at 2% and volume of forborne loans rose by about 2.5% quarter-on-quarter. The share of IFRS 9, stage 2 loans in total loans contracted in the third quarter by 20bps to 8%, whereas the share of stage 1 loans increased by 20bps. The volume of loans under public guarantee schemes continued to rise in the third quarter whereas loans under moratoria have fallen significantly. The data also showed that loans under non-expired moratoria declined from nearly EUR 810 billion in the second quarter to nearly EUR 587 billion in the third quarter. The share of stage 2 loans under moratoria increased from 16.7% to 20.2% in contrast with the declining trend recorded for total loans. Loans under public guarantee schemes increased from nearly EUR 185 billion to EUR 289 billion in the third quarter. The coverage through public guarantees was nearly 70% for these exposures. Although the NPL ratio of loans exiting moratoria is roughly in line with the overall NPL ratio, the share of loans under moratoria classified under Stage 2 is more than double the share for loans on average. Furthermore, according to the results of the risk assessment questionnaire, more than 75% of banks expect a worsening in asset quality for corporate portfolios as well as consumer credit while nearly 60% of the banks see an increase in operational risk.  

     

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    Keywords: Europe, EU, Banking, COVID-19, Risk Dashboard, Risk Assessment Questionnaire, Credit Risk, NPL, Profitability, Market Risk, Liquidity Risk, Operational Risk, EBA

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