Introducing statistical in-house credit assessment systems (S-ICASs) as an additional source of credit assessments under the general collateral framework

Prepared by Cláudia Duarte, Janina Engel, Oleg Reichmann and Tomislav Džaja

Published as part of the ECB Economic Bulletin, Issue 3/2025.

The credit quality assessment of collateral assets for Eurosystem credit operations is based on the Eurosystem Credit Assessment Framework (ECAF).^[1] Credit operations are a key element of the Eurosystem’s monetary policy operations. The Eurosystem has a statutory requirement to lend to banks and other counterparties only against adequate collateral.^[2] Currently, the ECAF builds on credit assessment information from three sources: the in-house credit assessment systems (ICASs) of national central banks (NCBs), external credit assessment institutions (ECAIs) and the internal ratings-based (IRB) systems of Eurosystem counterparties.^[3]

The introduction of NCBs’ statistical in-house credit assessment systems (S-ICASs) from 2026 as an additional ECAF-accepted source under the general collateral framework will strengthen the internal credit assessment capabilities of the Eurosystem and broaden the available set of potential collateral.^[4],[5] The Eurosystem’s internal sources – ICASs and S-ICASs – assess the creditworthiness of non-financial corporations as debtors/guarantors of credit claims for collateralised credit operations. S-ICASs specifically target micro, small and medium-sized enterprises (SMEs), some of which might not be assessed by any other ECAF source.

The statistical systems of NCBs were accepted as part of the temporary collateral framework to broaden the set of available collateral mainly in response to the COVID-19 pandemic.^[6] Five statistical systems were operated by NCBs during the pandemic, of which four were newly introduced at that time. The acceptance and expansion of NCBs’ statistical systems proved to be an efficient way to increase the availability of collateral for monetary policy operations during the pandemic. Currently, four NCBs operate statistical systems under the temporary framework: the Banca d’Italia, the Banco de España, the Banco de Portugal and the Oesterreichische Nationalbank (Figure A). To avoid disruptions and ensure a smooth transition to the new regime, NCBs will be allowed to continue using existing statistical systems under the current conditions until their acceptance under the general collateral framework is concluded.

The acceptance of S-ICASs under the general framework is based on a newly developed harmonised framework, which will enhance risk efficiency, address level-playing-field considerations and improve crisis preparedness. The harmonised framework builds on the existing framework for ICASs, complemented with the requirements and safeguards that are needed to ensure the good performance of quantitative systems with little or no expert assessment.^[7] Quantitative information typically used in the assessment includes financial ratios based on financial reports, indicators linked to the group structure, and payment behaviour. Expert assessment would entail, for instance, the analysis of public information and detailed reports from firms. The main features of the harmonised framework include: (i) the scope of firms to be rated (SMEs, excluding those with large exposures); (ii) methodological requirements for assessing the firms (including with regard to climate change considerations); (iii) strong governance of the systems in line with industry best practices; (iv) detailed monitoring of the systems by NCBs; and (v) robust validation procedures.^[8] Furthermore, to ensure that sufficient and harmonised information is available for the credit assessments, only domestic firms with exposures reported to AnaCredit can be rated by an S-ICAS.^[9] Guidelines have been established for sharing S-ICAS systems among NCBs, which could be an efficient way to expand the use of S-ICASs across the Eurosystem and to help avoid collateral shortages during crisis situations.