ECB to extend use of climate factors to non-financial corporate credit claims in collateral framework

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 extension aims to strengthen the Eurosystem’s risk management framework by addressing financial uncertainties related to the green transition. It builds on the introduction of a climate factor for marketable assets issued by non-financial corporations, which was approved in July 2025 and became effective on 15 June 2026.

Collateral pledged in Eurosystem refinancing operations may be exposed to climate-related transition shocks, such as changes in climate policy, technological developments, shifts in consumer behavior, litigation, and macroeconomic adjustments. These factors can impact collateral value, including credit claims, especially during liquidation.

The climate factor will be based on an asset-level uncertainty score, comprising three elements: a sector-level stressor from the latest Eurosystem climate stress test, the debtor’s exposure to transition uncertainties, and the residual maturity of the credit claim. The Eurosystem may use sector-level data or alternative data where 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.

This measure is expected to be implemented by the end of 2027 at the earliest. Climate factor values will be updated annually, following the same process as for non-financial corporate bonds, to incorporate the latest climate-related data.