European Central Bank extends climate factors in Eurosystem collateral framework to non-financial corporate credit claims

The European Central Bank 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. The measure is intended to strengthen Eurosystem risk management by reducing collateral values where assets are more exposed to climate-related transition shocks that could affect liquidation values in refinancing operations. The additional reduction will increase with the collateral's sensitivity to climate-related uncertainty. For credit claims, the climate factor will be based on an asset-level uncertainty score that combines a sector-level stressor from the latest Eurosystem climate stress test, the debtor's exposure to transition-related uncertainties and the residual maturity of the claim. Where industry-level or debtor-level data are unavailable, the Eurosystem may use sector-level data or other suitable alternative data. The maximum additional reduction in final collateral value across both bonds and credit claims will be 5%. Individual climate factors for credit claims will not be publicly disclosed. The measure follows the earlier introduction of a climate factor for marketable assets issued by non-financial corporations and affiliated entities, approved in July 2025 and effective from 15 June 2026. Implementation is expected at the earliest by the end of 2027. Climate factor values will be updated annually using the same process already applied to non-financial corporate bonds.