Some euro banks modelled lower mortgage risk in H1

Italian and Belgian lenders reported steepest drops in risk density despite recessionary threat

Banks in some of Europe’s biggest housing markets lowered risk weights on internally-modelled mortgages over the first half of the year, despite a looming recession that threatens homeowners’ repayment ability.

Data from the European Central Bank (ECB) shows Italian lenders reported a risk density of 18% for residential mortgage exposures under the internal ratings-based (IRB) approach as of end-June, down a full 117 basis points since the start of the year. In Belgium, density on the same