The European Central Bank will extend climate factors in the Eurosystem collateral framework to certain non-financial corporate credit claims to enhance risk management and resilience, with implementation by end-2027.
The Governing Council of the European Central Bank (ECB) has decided to extend the use of climate factors in the Eurosystem collateral framework to certain eligible credit claims where the debtor is a non-financial corporation.
This measure aims to strengthen the Eurosystem’s risk management by addressing financial uncertainties related to the green transition. It builds on the introduction of climate factors for marketable assets issued by non-financial corporations, effective from June 15, 2026.
Collateral pledged in Eurosystem refinancing operations may be exposed to climate-related transition shocks, such as policy changes, technological developments, shifts in consumer behavior, litigation, and macroeconomic adjustments. These factors can impact collateral value, including credit claims, especially when liquidation is needed.
The climate factor will be based on an asset-level uncertainty score, considering sector-level stressors from the Eurosystem climate stress test, the debtor’s transition-related exposure, and the residual maturity of the credit claim. Sector-level or alternative data may be used if industry or debtor-specific data are unavailable.
The maximum additional reduction in collateral value, including bonds and credit claims, will be 5%. Climate factors for individual credit claims will not be publicly disclosed.
The measure is expected to be implemented by the end of 2027, with climate factor values updated annually to incorporate the latest climate-related data, following the same process as for non-financial corporate bonds.
