The Eurosystem framework of In-House Credit Assessment System (ICAS). Focus on Bank of Italy's ICAS

The Eurosystem pursues its objectives through the implementation of a single monetary policy for all Member States. Refinancing operations by National Central Banks (NBCs) are identified on the basis of uniform eligibility criteria to ensure that a wide range of counterparties can take part in them. To protect the Eurosystem from counterparty risk, credit institutions are expected to have adequate guarantees that are subject to the measures specified in the ECAF (European Credit Assessment Framework). This thesis examines the In-house credit assessment system (ICAS). This is the internal system used by NCBs for assessing the creditworthiness of non-financial companies. This system allows banks, that do not have IRB, to use loans to these companies as collateral in refinancing operations implemented by the Eurosystem. In order to ensure that all bank loans are treated equally to other eligible assets there are requirements fixed by the ECB framework that ICASs must fulfil: these requisites are explained before examining, in particular, the ICAS developed by Bank of Italy and then the systems used by other NCBs in a cross-comparison. A brief section is also dedicated to the prospective relation between IRB and ICAS. The thesis, at the end, highlights the important role of ICAS during the pandemic crisis and shows how the extraordinary collateral measures taken in times of crisis, to facilitate banks' access to monetary policy operations, have repercussions on the terms and conditions applied by the same banks to the financed enterprises.