This study aims to reveal the convergence among the member countries of the European Union (member and candidate) within the framework of the economic integration process based on the non-performing loan ratios of banks operating in the member countries. For this purpose, analyses were conducted with the Result of Updated Panic LM Test (Dummy Breaks, Factor) procedure developed by Payne et al. (2022) using the non-performing loan ratios for the period 1997–2022 in the European Union countries. Because of the analyses, convergence was found at various levels of significance among “Belgium, Denmark, Estonia, France, Germany, Italy, Latvia, the Netherlands, North Macedonia, Poland, Spain, and Turkiye”. Moreover, when the break periods are evaluated, it is observed that the regulations in the banking sector affect convergence relations. This study is expected to make important contributions to decision makers, national policy makers, and the banking sector in terms of banking sector standards. This study also contributes to the literature as it is the first study that deals with convergence based on non-performing loans (NPLs).