The C-ESG Risk Roundtable has published its seventh report on climate and environmental (C&E) credit risk data and modelling, setting out a roadmap to strengthen how banks capture data and build models that integrate C&E risk drivers into credit risk frameworks. The report sets out seven findings and recommendations focused on data identification and gathering, and on modelling C&E impacts for both provisioning (expected losses) and capital (unexpected losses), covering regulatory and internal perspectives. It draws on survey results from a significant sample of EU banks and proposes measures including standardised taxonomies of C&E events, knowledge bases of default cases, guidance on identifying and flagging C&E-related defaults, and improved awareness of external data sources. The work was developed by a dedicated workstream co-chaired by BNP Paribas and Rabobank, with the European Central Bank and the European Banking Federation participating as observers, and reflects contributions from 14 European banks. The report is positioned as a foundation for follow-on work, including sharing good practices and identifying common approaches to support more consistent and transparent assessment of C&E-related credit risks across Europe’s banking sector.

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