Countercyclical Capital Buffer Rate Unchanged at Zero Per Cent

Press Release

By the Communications Directorate

Rome, 27 March 2026

The Countercyclical Capital Buffer (CCyB) rate for the second quarter of 2026 remains unchanged at zero per cent Banca d’Italia deems that the countercyclical capital buffer rate in force for the current quarter, equal to zero per cent, is appropriate in the current macrofinancial context. 1

In the fourth quarter of 2025, although gradually improving, the total credit-to-GDP gap was still negative by about 7 percentage points, if calculated based on the methodology developed by Banca d’Italia. The bank credit-to-GDP ratio provides similar indications (Table 1 and Figures 1 and 2). 2 The flow of bank lending to the private sector keeps improving (Figure 3). The overall NPL ratio is still at historically low levels (Figure 4); the unemployment rate remains at an historical low (Figure 5). In the third quarter of 2025, both real house prices and the price gap increased compared with the previous quarter (Figure 6).

The rate concerns exposures to Italian counterparties. 1 For the technical details, see the Methodological Appendix. The data reported in the table and the figures are available 2 on Banca d’Italia’s website.

Table 1

Credit-to-GDP ratio and estimated credit-to-GDP gap (1)

(per cent and percentage points)

Q4 2025 (2) Q3 2025 Q2 2025

-5.5 -6.3 -6.6 Source: Banca d’Italia calculations. (1) For the calculation method, see the Methodological Appendix. – (2) Total credit data are provisional.

Credit-to-GDP gap (total credit)

140 13020 12015 11010 1005 900 80-5 70-10

Figure 1 Credit-to-GDP gap - standard credit-to-GDP gap - Banca d'Italia Credit-to-GDP ratio (1)Credit-to-GDP gap - Banca d’Italia Jun-20Jun-21Jun-22Jun-23Jun-24Jun-25Total credit Credit-to-GDP ratio Credit-to-GDP gap - standard Credit-to-GDP gap - Banca d’Italia Bank credit Credit-to-GDP ratio Credit-to-GDP gap - standard Dec-19 Dec-20 Dec-21Dec-22Dec-23Dec-24Dec-25 -14.4 -15.4 -15.8 -11.3 -12.4 -12.9 94.4 94.4 95.0 57.8 57.7 58.2 -7.3 -8.1 -8.3 (1) Right-hand scale. '91 '93'95'97 '99 '01 '03 '05 '07 '09'11'13 '15 '17 '19(percentage points and per cent)

Credit-to-GDP gap (bank credit)

Bank credit to the non-financial private sector (1) Credit deterioration (1)

Source: Banca d’Italia calculations. Monthly data. Source: Based on data from unconsolidated bank (1) The changes are corrected to take account of reclassifications, reports. Quarterly data. 140value adjustments, and all other changes (1) Non-performing loans before write- from economic transactions. ratio to total loans of the reference sector. The data relate to bank 13020

15 15 loans to residents and include ‘non-32 32 12015 Firms28 28 110 10 Households10 10 24 24 1005

9020 2005 5 80-516 16 700 0-1012 12 supervisory 60 downs, expressed as a that do not originate Private sector Figure 3 Figure 4 Figure 2 Firms

Households current assets and groups of Credit-to-GDP gap - standard credit-to-GDP gap - Banca d'Italia Credit-to-GDP ratio (1)

Jun-20 Jun-21 Jun-22 Jun-23 Jun-24 Jun-25 (per cent) Dec-19Dec-20 Dec-21 Dec-22 Dec-23 Dec-24 Dec-25'91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19 (1) Right-hand scale. assets held for sale’. (12-month percentage changes) (percentage points and per cent) '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '25 '26'09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21 '22 '23 '24 '25

Unemployment rate (1)

Source: Istat. Monthly data. (1) Seasonally adjusted monthly unemployment rate.

Real residential property prices and price gap (1)

(1) Index: 2020=100. The index is deflated by the total consumption deflator. – (2) The price gap is the percentage deviation of the 40 14

14140 12 20

12 10120 0 10 8100 -208 6

Figure 5 Figure 6

Jun-20 Jun-21 Jun-22 Jun-23 Jun-24 Jun-25 Real prices Price Gap (2) Dec-19 Dec-20 Dec-21 Dec-22 Dec-23 Dec-24Jun-20 Jun-21 Jun-22 Jun-23 Jun-24 Jun-25Dec-19Dec-20 Dec-21 Dec-22 Dec-23 Dec-24 Dec-25real residential property price index from its long-term trend. Right-hand scale. (indices and percentage points) (per cent) '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19'91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 '15 '17 '19

Methodological Appendix

European legislation identifies the credit-to-GDP gap as the main indicator for setting the countercyclical capital buffer rate. It measures the credit cycle based on the deviation of the ratio of total credit to the non-financial private sector to GDP from its long-term trend, calculated using the standard methodology recommended by the Basel Committee on Banking Supervision. Recommendation ESRB/2014/1 of the European Systemic Risk Board of 18 June 2014 allows the designated authorities of EU countries to adopt non-standard credit-to-GDP gap measures in the event that the standardized gap does not accurately reflect the national financial cycle. According to the standard methodology, the long-term trend is calculated using a one-sided Hodrick-Prescott (HP) filter in which estimates at every point in time are based only on current and past information. An analysis of credit dynamics in Italy from 1970 to date reveals two problems 3 with this methodology:

1. The estimate of the credit cycle calculated in real time is systematically and significantly
   revised downwards when new data on credit and GDP become available. The one-sided HP filter is, in fact, very different from the two-sided filter (which uses information from the whole sample) and tends to overestimate cycle volatility. 4

2. The results suggest that expansionary phases in Italy last around 12 years on average; this is a
   much longer period than the one documented in the literature and is rather unrealistic. 5 Although the two-sided HP filter cannot, by definition, be calculated in real time, its time series can still be used to obtain a better estimate of the state of the credit cycle by adjusting the value yielded by the one-sided HP filter on the basis of the historical differences observed between the estimates produced with the two filters, as suggested by Alessandri et al. (2015). 6 This adjusted filter (credit-to-GDP gap – Banca d’Italia) produces real-time estimates that are closer to those obtained with the two-sided filter. The adjustments greatly reduce the estimated volatility of the credit cycle in Italy; notably, the peaks of the expansionary phases of the early 1990s and mid- 2000s are much lower, both for total credit and for bank credit.

3. J. Hodrick and E. C. Prescott, ‘Postwar U.S. Business Cycles: An Empirical Investigation’, Journal of Money, Credit, 3
   and Banking, 29, 1, 1997, 1-16.

As already pointed out in A. Orphanides and S. van Norden, ‘The Unreliability of Output Gap Estimates in Real Time’, 4

The Review of Economics and Statistics, 84, 4, 2002, 569-583.

According to S. Claessens, M. A. Kose and M. E. Terrones (‘How Do Business and Financial Cycles Interact?’, Journal of 5

International Economics, 87, 1, 2012, 178-190), the expansionary phase of a financial cycle lasts two years on average;

according to M. Drehmann, C. Borio and K. Tsatsaronis (‘Characterising the Financial Cycle: Don’t Lose Sight of the Medium Term!’, BIS Working Papers, 380, 2012), the median duration is five and a half years.

1. Alessandri, P. Bologna, R. Fiori and E. Sette, ‘A note on the implementation of a countercyclical capital buffer in 6 Italy’, Banca d’Italia, Questioni di Economia e Finanza (Occasional Papers), 278, 2015.