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

The European Central Bank (ECB) has announced plans to incorporate climate factors into the Eurosystem's collateral framework for non-financial corporate credit claims. This decision aims to bolster the risk management framework by addressing financial uncertainties stemming from the green transition. The extension builds upon the July 2025 introduction of a climate factor for marketable assets issued by non-financial corporations and their affiliates, which came into effect on June 15, 2026.

Collateral pledged by Eurosystem counterparties in refinancing operations may be vulnerable to unforeseen climate-related transition shocks, such as changes in policy, technological advancements, alterations in consumer behavior, litigation, and macroeconomic adjustments. These factors can impact the value of collateral, including credit claims, at times when the Eurosystem may need to liquidate these assets.

The climate factor will be determined by an asset-level uncertainty score that includes three components: 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 credit claim. The Eurosystem may utilize sector-level data or alternative data if industry-level or debtor-level data are not accessible.

The maximum additional reduction in the final collateral value, encompassing both bonds and credit claims, will not exceed 5%.

The new measure is expected to be implemented no later than the end of 2027. The specific climate factor values for individual credit claims will not be disclosed publicly. The ECB will update climate factor values annually, following the same process used for non-financial corporate bonds, to incorporate the most recent climate-related data. For media inquiries, please contact William Lelieveldt at +49 170 2279090. Reproduction is allowed as long as the source is credited.