EBA Publishes Risk Dashboard for Third Quarter of 2020
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.
- Press Release
- Risk Dashboard (PDF)
- Risk Parameters (PDF)
- Interactive Dashboard (XLSM)
- Risk Assessment questionnaire (PDF)
Keywords: Europe, EU, Banking, COVID-19, Risk Dashboard, Risk Assessment Questionnaire, Credit Risk, NPL, Profitability, Market Risk, Liquidity Risk, Operational Risk, EBA
Victor Calanog, Ph.D.
Leading economist; commercial real estate; performance forecasting, econometric infrastructure; data modeling; credit risk modeling; portfolio assessment; custom commercial real estate analysis; thought leader.
Senior practitioner in asset and liability management (ALM) and liquidity risk who assists banking clients in advancing their treasury and balance sheet management objectives
Previous ArticleBoM Issues Guidance on Capital Treatment of IFRS 9 Provisions
FINMA Approves Merger of Credit Suisse and UBS
The Swiss Financial Market Supervisory Authority (FINMA) has approved the takeover of Credit Suisse by UBS.
BOE Sets Out Its Thinking on Regulatory Capital and Climate Risks
The Bank of England (BOE) published a working paper that aims to understand the climate-related disclosures of UK financial institutions.
OSFI Finalizes on Climate Risk Guideline, Issues Other Updates
The Office of the Superintendent of Financial Institutions (OSFI) is seeking comments, until May 31, 2023, on the draft guideline on culture and behavior risk, with final guideline expected by the end of 2023.
APRA Assesses Macro-Prudential Policy Settings, Issues Other Updates
The Australian Prudential Regulation Authority (APRA) published an information paper that assesses its macro-prudential policy settings aimed at promoting stability at a systemic level.
BIS Paper Examines Impact of Greenhouse Gas Emissions on Lending
BIS issued a paper that investigates the effect of the greenhouse gas, or GHG, emissions of firms on bank loans using bank–firm matched data of Japanese listed firms from 2006 to 2018.
HMT Mulls Alignment of Ring-Fencing and Resolution Regimes for Banks
The HM Treasury (HMT) is seeking evidence, until May 07, 2023, on practicalities of aligning the ring-fencing and the banking resolution regimes for banks.
MFSA Sets Out Supervisory Priorities, Issues Reporting Updates
The Malta Financial Services Authority (MFSA) outlined its supervisory priorities for 2023
German Regulators Issue Multiple Reporting Updates for Banks
Deutsche Bundesbank published the nationally deactivated validation rules for the German Commercial Code (HGB) users on the taxonomy 3.2, which became valid from December 31, 2022
BCBS Report Examines Impact of Basel III Framework for Banks
The Basel Committee on Banking Supervision (BCBS) published results of the Basel III monitoring exercise based on the June 30, 2022 data.
PRA Consults on Prudential Rules for "Simpler-Regime" Firms
Among the recent regulatory updates from UK authorities, a key development is the first-phase consultation, from the Prudential Regulation Authority (PRA), on simplifications to the prudential framework that would apply to the simpler-regime firms.