No. 60 - The use of Banca d'Italia's credit assessment system for Italian non-financial firms within the Eurosystem's collateral framework

by Stefano Di Virgilio, Alessandra Iannamorelli, Francesco Monterisi and Simone Narizzano
June 2025
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Banca d'Italia's In-house Credit Assessment System (BI-ICAS) has been assessing Italian non-financial
firms' creditworthiness within the Eurosystem's collateral framework since 2013. BI-ICAS uses a
statistical model, which produces monthly one-year probabilities of default (PDs) for around 370,000
firms, combined with expert assessments performed by analysts on a subset of approximately 4,000
companies per year. Italian firms' credit quality, measured by PDs, has gradually improved since 2013;
in the years 2020-2022, this improvement was mainly due to policy support measures following the
pandemic, and to the subsequent economic recovery. The high costs of debt and the cyclical slowdown
have resulted in a slight deterioration in PDs since 2023. Disparities persist by sector, size and region.
During the period observed, credit claims became more and more significant among the collateral asset
classes used in Eurosystem refinancing operations, eventually becoming the predominant category. In
Italy, the use of BI-ICAS assessments has facilitated banks' access to central bank liquidity, particularly
during the pandemic. In line with Eurosystem initiatives, Banca d'Italia is committed to integrating
climate change-related risks into BI-ICAS assessments, using methodologies that combine quantitative
and qualitative assessments to estimate the impact of transition and physical risks.

 

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  1. 26 June 2025
    No. 60 - The use of Banca d'Italia's credit assessment system for Italian non-financial firms within the Eurosystem's collateral framework
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