




































AGORA International Journal of Economical Sciences, http://univagora.ro/jour/index.php/aijes 

ISSN 2067-3310, E-ISSN 2067-7669 

Vol. 18, No. 2 (2024), pp. 155-169 

 

155 

 

EUROSYSTEM CENTRAL BANKS' CLIMATE-RELATED FINANCIAL 

DISCLOSURES OF NON-MONETARY POLICY PORTFOLIOS 

 

A. KAAB OMEIR, D. VASILIAUSKAITE 

 

Ahmad Kaab Omeir1, Deimante Vasiliauskaite2 
1Faculty of Economics and Business Administration, Vilnius University, Lithuania 

https://orcid.org/0000-0001-8044-5576 E-mail: ahmad.kaab@evaf.vu.lt  
2Business School, Vilnius University, Lithuania 

https://orcid.org/0000-0002-8107-1964 E-mail: deimante.vasiliauskaite@vm.vu.lt        

 

Abstract: This article explores the climate-related financial disclosures of Eurosystem 

central banks' non-monetary policy portfolios, focusing on adherence to the recommendations 

of the Task Force on Climate-related Financial Disclosures (TCFD). Through an analysis of 

disclosures from 20 central banks in the euro area, it investigates governance structures, 

reporting practices, and metrics used to assess climate risks and opportunities. Findings reveal 

significant variability in transparency levels, particularly regarding governance and the 

frequency of climate issue reporting to boards. The mandatory metrics, including Weighted 

Average Carbon Intensity, Total Carbon Emissions, and Carbon Footprint, were commonly 

disclosed, while voluntary metrics remained underutilized. The study highlights gaps in 

standardized reporting and emphasizes the need for enhanced disclosure practices to support 

effective climate risk management within central banks. Recommendations include more 

comprehensive reporting aligned with TCFD guidelines, improved transparency in governance 

disclosures, and adopting additional metrics for a clearer understanding of climate-related 

risks. These findings contribute to the growing literature on sustainable finance, offering 

insights that may guide future policy development in central banks' climate risk management 

practices. 

Keywords: central banks; climate risk; disclosure; non-monetary portfolios. 

 

INTRODUCTION 

The Paris Agreement and the 2030 Agenda for Sustainable Development have 

catalyzed a global shift towards sustainability, greatly impacting initiatives worldwide. 

Institutions are increasingly aligning with these goals, such as the objective to limit global 

warming to below 2°C (Eliza, 2024). Sustainable investments, which incorporate 

Environmental, Social, and Governance (ESG) factors, demand a sophisticated risk assessment 

approach. Research shows that integrating ESG factors enhances risk management and 

stabilizes financial performance, with companies emphasizing ESG often achieving better 

long-term returns and higher investor confidence (Eliza, 2024). However, challenges in ESG 

data quality, measurement, and comparability create obstacles to informed investment 

decisions (Yunus & Nanda, 2024). Additionally, the lack of standardized ESG reporting 

https://orcid.org/0000-0001-8044-5576
mailto:ahmad.kaab@evaf.vu.lt
https://orcid.org/0000-0002-8107-1964
mailto:deimante.vasiliauskaite@vm.vu.lt


EUROSYSTEM CENTRAL BANKS' CLIMATE-RELATED FINANCIAL DISCLOSURES OF 

NON-MONETARY POLICY PORTFOLIOS 

156 

 

frameworks and regulatory inconsistencies intensifies these challenges, underscoring the need 

for improved data quality and regulatory alignment (Yunus & Nanda, 2024). 

Environmental risks pose distinct challenges, frequently complicating the risk-return 

balance in investment strategies. Institutional investors play a vital role in mitigating these risks 

by influencing ESG performance in their portfolio companies, thus optimizing risk-adjusted 

returns (O’Sullivan, 2024). Infrastructure projects, for example, apply risk assessment tools to 

manage uncertainties while balancing economic, environmental, and social goals (Canesi & 

Gallo, 2024; Coskun et al. (2023)).  

Although sustainable investments offer financial and social benefits, they require a 

thorough understanding of associated risks. Enhancing ESG data quality and fostering cross-

disciplinary collaboration between finance, sustainability, and regulatory policy is essential for 

navigating the complexities of sustainable finance (Yunus & Nanda, 2024). In the financial 

sector, climate change presents both risks and opportunities. Habib et al. (2024) highlighted 

sustainable investment practices as a means for effective capital management, while financial 

regulators increasingly incorporate climate risks into risk management systems. 

Globally, institutions are increasingly exploring how they can contribute to 

sustainability. Climate change remains one of the most pressing risks for organizations, as the 

warming of our planet is recognized as having and continuing to have, profound economic and 

social impacts. The primary goal of the Paris Agreement is to maintain the global average 

temperature rise below 2°C above pre-industrial levels. 

In finance, climate change introduces both opportunities and challenges. Financial 

institutions increasingly prioritize climate risk in their assessments, often identifying it as one 

of the most critical risks to manage. New regulatory requirements for banks bring further 

challenges in climate risk management. This presents a significant research gap, as few tools 

are available to assess and manage the impacts of climate change. Banks also face difficulties 

quantifying climate risks, which are complex to incorporate into existing risk management 

frameworks while adhering to each institution’s risk appetite. 

The interest in sustainable investments continues to grow. Many financial institutions 

actively manage sustainable assets and aim to support the green economy. Recently, central 

banks, as major financial players, have begun considering sustainable investments in their 

foreign reserves management. Other financial market participants also seek to integrate 

sustainable investments into their portfolios. Although sustainable financial products may seem 

like an easy way to promote sustainability, a short history, limited liquidity, and complex risk 

management requirements challenge the market for sustainable investments. The lack of 

sustainable investment risk management research makes this an important and novel topic for 

science and practice. 

Uncertainty regarding the extent, scope, and timing of climate change’s economic 

impacts translates into financial risks, affecting markets, asset classes, institutions, businesses, 

households, and governments. Therefore, research in this area is critical for developing new 

tools for climate risk assessment and credit risk management within the banking sector. 

As sustainable considerations gain importance, there is an increasing need to invest in 

and support companies that contribute to sustainable economies. Various financial instruments, 



Ahmad KAAB OMEIR, Deimante VASILIAUSKAITE 

 

157 

 

including mutual funds and exchange-traded funds, are emerging that adhere to strict 

sustainability criteria. 

Climate risk plays an increasingly central role in today’s economy, attracting attention 

from academics, the banking sector (central and commercial banks), other financial 

institutions, businesses, and investors (Campiglio et al. (2018), Chenet et al. (2021), Engle et 

al. (2020), Stroebel & Wurgler (2021), Ma et al. (2022). This type of risk and its management 

is becoming a crucial challenge across sectors. Studies have found that climate risk affects 

financial stability (Campiglio et al., 2018b), energy price volatility (Liang et al., 2022), stock 

price fluctuations (Khalfaoui et al., 2022), exchange market volatility (Bonato et al., 2023), and 

influences decision-making in companies and among investors (Chenet et al., 2021b). Research 

also indicates that climate risk impacts various economic factors, with some authors exploring 

how it affects inflation across countries, revealing that some nations are more sensitive to 

climate risks than others (Zhang, 2023). This variance may also be seen in the banking sector, 

where climate-related risks have been found to affect audit fees (Yang et al., 2023), credit risk, 

and sovereign ratings (Sun et al., 2023). Practical findings suggest that climate vulnerability 

and preparedness are now emerging factors in sovereign rating assessments, alongside 

traditional economic, political, and external factors, with climate readiness positively 

impacting sovereign ratings. 

Curcio et al. (2023) examined the relationship between climate change and systemic 

financial risk, focusing on the banking and insurance sectors. They emphasized the need for 

appropriate policies to address climate-related disasters' increasing frequency and severity. 

Their findings have implications for banks and insurers, reinforcing the importance of risk 

management frameworks tailored to climate-related risks.  

This research supports the creation of a robust climate risk management framework 

within the banking sector, highlighting that effective risk management relies on a well-defined 

framework. The main goal of this research is to investigate the level of climate-related 

information disclosure on non-monetary portfolios among Eurosystem central banks based on 

TCFD recommendations governance and metrics areas. Climate-related disclosures aim to 

improve stakeholder understanding of the distribution of carbon-intensive assets and the 

financial industry's vulnerability to climate change risks. 

Theoretical challenges in this area stem from varying interpretations and classifications 

of climate risk and sustainable investments. A key theoretical issue is the diverse understanding 

of financial risks and the concept of “green” finance. Climate-related metrics disclosure also 

remains an area of concern. 

Empirical challenges involve the availability of sustainable investment data and limited 

historical information. However, as this field evolves rapidly, improvements in climate risk 

disclosure and data quality are anticipated, enabling future studies to incorporate more 

extensive time series and data reflecting periods of growing demand. 

This paper is organized as follows: Section 2 gives insights into our research 

methodology, focusing on 3 level approach. Section 3 focuses on research results and 

discussion, and finally, we present our conclusions and recommendations. 

  



EUROSYSTEM CENTRAL BANKS' CLIMATE-RELATED FINANCIAL DISCLOSURES OF 

NON-MONETARY POLICY PORTFOLIOS 

158 

 

METHODOLOGY  

This chapter focuses on the methodology of disclosing climate-related information on 

non-monetary policy portfolios based on TCFD recommendations for governance and metrics. 

The Task Force's guidelines are organized into four key themes representing fundamental 

aspects of organizational operations—governance, strategy, risk management, metrics, and 

targets. In the first stage of the research, we will focus on two main aspects – governance and 

metrics. This study analyzed 20 central banks in the euro area to determine how they disclose 

climate-related information on non-monetary policy portfolios following TCFD 

recommendations for governance and metrics. 

The initiation of the Task Force on Climate-related Financial Disclosures (TCFD) by 

the Financial Stability Board (FSB) in December 2015 (Task Force on Climate-related 

Financial Disclosures, 2017) represented a significant industry-led move to foster climate-

related disclosures that would inform decisions in investments, lending, and insurance 

underwriting processes. The objective was to provide stakeholders with a more transparent 

view of carbon asset concentrations and the financial sector's vulnerability to climate change 

risks. Access to reliable data is the starting point for addressing climate change. Accurate data 

is critical for assessing the influence of central banks on the climate and understanding the 

associated risks. This essential information paves the way for central banks to implement 

meaningful and practical actions. 

The reporting by central banks offers detailed insights into the carbon footprint and 

climate-related risks tied to the assets managed by the European Central Bank (ECB) and the 

national central banks of the euro area, collectively referred to as the Eurosystem. This 

improved transparency facilitates a more nuanced understanding of their portfolios' impact on 

the climate, thereby enhancing the decision-making process concerning the climate goals of 

central banks and aiding others in comprehending climate-related risks and impacts. 

Beginning in 2023, the European Central Bank (ECB) and the Eurosystem central banks 

have pledged to release climate-related financial disclosures annually. These disclosures 

demonstrate their initiatives to reduce carbon emissions from their portfolios following the 

objectives set by the Paris Agreement. Additionally, these disclosures act as instruments to 

track their advancement and guide any required modifications to their strategies.  

Eurosystem central banks' initiatives significantly enhance openness and responsibility 

in how financial institutions manage and disclose climate risks. Given their significant potential 

environmental impact, concentrating on non-monetary policy portfolios is crucial. The yearly 

frequency of these disclosures enables continuous oversight and adaptation, addressing the 

dynamic nature of climate-related challenges and policy goals. This movement is part of a 

broader global shift towards incorporating environmental factors into the financial industry, 

aligning with international frameworks such as the Paris Agreement. 

Currently, the Eurosystem framework mandates members to publish metrics based on 

three emission allocation methods: emissions within a country’s physical borders ("production 

emissions"), emissions related to domestic consumption ("consumption emissions"), and 

emissions associated with government institutions and expenditures ("government emissions"). 

Mandatory reporting of production and consumption emissions is advantageous for the 

Eurosystem. Production emissions form the foundation of countries’ decarbonization efforts as 



Ahmad KAAB OMEIR, Deimante VASILIAUSKAITE 

 

159 

 

defined in their nationally determined contributions (NDCs), while consumption emissions 

address the effects of carbon leakage. These two types of emissions are the most relevant and 

widely reported sovereign emission categories. The mandatory reporting of government 

emissions has both benefits and drawbacks, influenced mainly by specific factors and 

preferences of central banks.  

The calculations for mandatory metrics are placed below:  

Weighted Average Carbon Intensity 

 (1) 

Total Carbon Emissions 

 (2) 

Carbon Footprint 

 (3) 

The Weighted Average Carbon Intensity (WACI) (formula 1) measures a portfolio’s 

exposure to carbon-intensive issuers and acts as a proxy for climate transition risks. WACI is 

a normalized metric, making it comparable across different portfolio sizes and over time, as it 

adjusts issuers' emissions relative to their economic activity. (ECB, 2023) 

In contrast, the total carbon emissions metric (formula 2) measures the absolute 

emissions associated with a portfolio, serving as a proxy for its contribution to global warming 

and environmental impact. Unlike the other metrics, it is not normalized and is influenced by 

changes in portfolio values, limiting its usefulness for comparisons over time or between 

portfolios of different sizes. The carbon footprint metric (formula 3) addresses this by 

normalizing total carbon emissions by the portfolio's value, enabling better comparability. 

(ECB, 2023)  

Our research design is placed in Figure 1.  

  



EUROSYSTEM CENTRAL BANKS' CLIMATE-RELATED FINANCIAL DISCLOSURES OF 

NON-MONETARY POLICY PORTFOLIOS 

160 

 

Figure 1  

Methodological framework  

 
Source: Done by authors 

 

RESULTS AND DISCUSSION:  

In this research, 20 central banks of the euro area were analyzed to identify how these 

central banks disclose climate-related information based on TCFD recommendations for 

governance and metrics.  

The disclosures adhere to the recommendations of the Financial Stability Board's Task 

Force on Climate-related Financial Disclosures (TCFD) across four categories: "Governance," 

"Strategy," "Risk Management," and "Metrics and Targets," including the TCFD’s 

supplemental guidance for asset owners. The Eurosystem has developed a common disclosure 

framework for the "Metrics and Targets" category, establishing minimum standards for each 

member. In creating this framework, the Eurosystem also incorporated recommendations from 

the Partnership for Carbon Accounting Financials and the Network of Central Banks and 

Supervisors for Greening the Financial System (NGFS). 

  

1 step

Identification of reporting style 
and the amount of disclosed 
information: how many pages are 
dedicated to information and if it is 
a seperate report for publcation 

2 step

Governance aspect (7 points system, 
ranking, case studies):

1. The board’s oversight of climate-
related risks and opportunities

2. Management’s role in assessing and 
managing climate-related risks and 
opportunities 

3 step

Metrics disclosure and practise:
* Weighted Average Carbon 
Intensity WACI 

*Total Carbon Emissions TAE

*Carbon Footprint CF



Ahmad KAAB OMEIR, Deimante VASILIAUSKAITE 

 

161 

 

Table 1 

Results of Eurosystem central banks climate-related financial disclosures of non-monetary 

policy portfolios reporting style. 

It has a 

separate 

report 

Name of the report The length 

of the 

report in 

pages 

Announce in yearly 

report together with 

other information. 

Austria „Climate-related financial disclosures by the 

Oesterreichische Nationalbank 2022 “. Sustainability 

issues are also analyzed in the yearly report too.  

13  

Belgium „Climate-related Disclosures for non-monetary policy 

portfolios 2022“. Also has a Sustainable and Responsible 

Investment Charter, Annual report also covers climate 

issues, and Climate Dashboard.  

25  

 „Climate report“ as a chapter in a yearly report. 6 Croatia 

Cyprus „Climate-related financial disclosures of the Central Bank 

of Cyprus EUR non-monetary policy portfolios“. 

12  

 Has a chapter in Annual report „Climate-related sustainable 

investment at Eesti Pank. 

5 Estonia 

Finland „Bank of Finland’s Annual Report on Responsible 

Investment“. 

27  

France „Responsible investment report“.  45  

Germany „Climate related disclosures by the Deutsche Bundesbank 

2023“.  

43  

Lithuania „Climate-related disclosures of the Bank of Lithuania’s 

non-monetary policy portfolios“. 

13  

Greece „Climate footprint of the euro-denominated non-monetary 

policy portfolios of the Bank of Greece“. 

10  

Ireland „Central Bank of Ireland’s climate-related financial 

disclosures 2023“.  

27  

Spain “Climate-related aspects of the Bando de Espana’s non-

monetary policy portfolios”. 

22  

Italy „Annual report on sustainable investments and climate-

related risks“.  

52  

Latvia „Climate-related disclosures of Latvijas Banka’s non-

monetary policy portfolios“. 

13  

Luxembourg „Climate-related disclosures of the BCL’s non-monetary 

policy portfolios”. 

15  

Malta „Climate-related financial disclosures of the central bank of 

Malta‘s non-monetary policy portfolios“.  

40  

 In Annual report. „De Nederlandsche Bank N.V. 2022 

Annual Report. Information is very unstructed., other 

climate related information is mixed with other topics. 

5 The Netherlands 

Portugal „Climate-related financial disclosures of the Banco de 

Portugal’s own financial assets“. 

14  

Slovakia „Climate-related disclosures of Národná banka 

Slovenska’s non-monetary policy portfolio“. 

16  

Slovenia  “Climate-related disclosure of Banka Slovenije’s own 

financial assets“. 

23  

Source: Done by authors using central banks’ reports published online. 

 

https://www.nbb.be/en/about-national-bank/information-investors/sustainable-and-responsible-investment-charter
https://www.nbb.be/en/about-national-bank/information-investors/sustainable-and-responsible-investment-charter
https://www.nbb.be/en/about-national-bank/information-investors/sustainable-and-responsible-investment-charter
https://www.nbb.be/en/about-national-bank/information-investors/sustainable-and-responsible-investment-charter
https://www.nbb.be/en/publications-and-research/annual-reports
https://www.nbb.be/en/publications-and-research/economic-and-financial-publications/climate-dashboard


EUROSYSTEM CENTRAL BANKS' CLIMATE-RELATED FINANCIAL DISCLOSURES OF NON-

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162 

 

Table 2 

The results of governance disclosure in euro area central banks based on TCFD recommendations. 

Describe the board’s oversight of climate-

related risks and opportunities 
L

T 

I

E 

A

T 

B

E 

E

E 

E

L 

E

S IT 

C

Y 

H

R 

L

V 

L

U 

M

T 

N

L 

P

T 

F

R 

S

K SI FI 

D

E 

 ‒ processes and frequency by which the board 

and/or board committees (e.g., audit, risk, or 

other committees) are informed about climate-

related issues 

n

o 

n

o 

n

o 

ye

s1 

n

o 

n

o 

ye

s3 no 

ye

s 

n

o 

y

es 

y

es 

y

es 

ye

s 

ye

s3 

y

es 

n

o 

ye

s 

ye

s3 

y

es 

 ‒ whether the board and/or board committees 

consider climate-related issues when 

reviewing and guiding strategy, major plans of 

action, risk management policies, annual 

budgets, and business plans as well as setting 

the organization’s performance objectives, 

monitoring implementation and performance, 

and overseeing major capital expenditures, 

acquisitions, and divestitures 

y

e

s 

y

e

s 

y

e

s 

ye

s 

n

o 

n

o 

ye

s 

ye

s 

ye

s 

n

o 

y

es 

y

es 

y

es 

ye

s 

ye

s 

y

es 

n

o 

ye

s 

ye

s 

y

es 

‒ how the board monitors and oversees 

progress against goals and targets for 

addressing climate-related issues 

n

o 

n

o 

n

o 

ye

s 

n

o 

n

o 

ye

s no 

ye

s 

n

o 

n

o 

y

es 

y

es 

ye

s no 

y

es 

n

o no no 

y

es 

Describe management’s role in assessing 

and managing climate-related risks and 

opportunities                                         

whether the organization has assigned 

climate-related responsibilities to 

management-level positions or committees; 

and, if so, whether such 

management positions or committees report to 

the board or a committee of 

the board and whether those responsibilities 

include assessing and/or 

managing climate-related issues 

y

e

s 

n

o 

y

e

s 

ye

s 

n

o 

n

o 

ye

s 

ye

s 

ye

s 

n

o 

y

es 

y

es 

y

es 

ye

s 

ye

s 

y

es 

n

o 

ye

s 

ye

s 

y

es 

‒ a description of the associated 

organizational structure(s) 

n

o 

n

o 

n

o 

ye

s2 

n

o 

n

o 

ye

s2 

ye

s4 

ye

s2 

n

o 

n

o 

y

es 

y

es 

ye

s2 no 

y

es 

n

o 

ye

s2 

ye

s2 

y

es 

‒ processes by which management is informed 

about climate-related issues 

n

o 

n

o 

n

o 

ye

s 

n

o 

n

o 

ye

s no 

ye

s 

n

o 

n

o 

y

es 

y

es 

ye

s 

ye

s 

y

es 

n

o 

ye

s 

ye

s 

y

es 

‒ how management (through specific 

positions and/or management committees) 

monitors climate-related issues 

n

o 

n

o 

n

o 

ye

s 

n

o 

n

o 

ye

s no 

ye

s 

n

o 

n

o 

y

es 

y

es 

ye

s no 

y

es 

n

o no no 

y

es 

Notes: 1on regular basis;2there is no organizational chart, but explained functions quite well;3lack of frequency, process clear;4 good and clear organizational structure; 

*the best practice in disclosing 

Source: Done by authors using central banks’ reports published online. 

 

Governance 

Table 1 and Table 2 present the analysis of 20 Euro Area Central Banks' reports on sustainable 

investments and climate-related risks. The results show that reports are not very transparent, as we see 

a lot of information that central banks do not disclose.  



Ahmad KAAB OMEIR, Deimante VASILIAUSKAITE 

 

163 

 

Figure 2 

Countries ranked by pages of climate-related information disclosure 

 
Source: Done by authors using central banks’ reports published online.  

 

Based on our research presented in Figure 2, we can group all countries into four groups based 

on information about climate change impact disclosure in their reports. In the first group, we can add 

Italy, France, Germany, and Malta as countries presenting the most information. We can also consider 

that central banks in these countries are the most transparent regarding climate-related information 

disclosure of non-monetary portfolios. For the second group of transparency, we can appoint Finland, 

Ireland, Belgium, Slovenia, and Spain, so the central banks of these countries are a bit less transparent 

in disclosing climate-related information about non-monetary portfolios. The third group comprises 

Slovakia, Luxembourg, Portugal, Austria, Lithuania, Latvia and Cyprus central banks. And the fourth 

group (Netherlands, Estonia, Croatia, Greece) of central banks are with very short reports and a poor 

amount of climate related information in their non-monetary portfolios.  

After analyzing all the reports, we tried to evaluate the quality of governance disclosure based 

on TCFD recommendations. We decided to rank all the central banks from 0 to 7 based on the 

disclosure aspects which are presented in Table 2. The ranking results are placed in Figure 3.  

From the results in Figure 3, we can see that some countries disclosure all recommended 

information (Belgium, Spain, Cyprus, Luxembourg, Malta, Netherlands, France, and Germany) about 

the governance while others do not disclosure all main aspects (Estonia, Greece, Croatia, Slovakia).  

Looking at the length of reports and the level of the disclosure of information about climate 

risk governance, we can see that countries with concise reports do not focus on the disclosure of 

governance aspects. The only exception was the Netherlands, where all recommended aspects were 

disclosed, and the report of climate-related information about nonmonetary portfolios was very short 

and concentrated (Figure 4).  

 

52

45

43

40

27

27

25

23

22

16

15

14

13

13

13

12

10

6

5

5

0 10 20 30 40 50 60

Italy

France

Germany

Malta

Finland

Ireland

Belgium

Slovenia

Spain

Slovakia

Luxembourg

Portugal

Austria

Lithuania

Latvia

Cyprus

Greece

Croatia

Estonia

The Netherlands



EUROSYSTEM CENTRAL BANKS' CLIMATE-RELATED FINANCIAL DISCLOSURES OF NON-

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164 

 

Figure 3  

Countries ranked by the level of governance disclosure. 

 
Note: 7 points – the highest level of governance information disclosure, 0 – the lowest level of governance information 

disclosure 

Source: Done by authors using central banks’ reports published online. 

 

Figure 4 

Relationship between the length of climate-related information disclosure report and the level of 

governance information disclosure 

 
Source: Done by authors using central banks’ reports published online. 

 

After a deep analysis of the reports, we can conclude that the governance part in disclosure 

about climate risk is fragile, with no precise frequency for reporting to the Board. The best governance 

disclosure practices are identified in Malta, France, and Germany.  

 

Metrics 

After analyzing all the reports of central banks, we have summarized the results in Figure 5. 

Based on the ECB rules, WACI, Total carbon emissions, and Carbon footprint are mandatory metrics, 

so all central banks disclose them. All other metrics are disclosed voluntarily.  

7 7 7 7 7 7 7 7

5 5

4

3 3

2 2

1

0 0 0 0
0

1

2

3

4

5

6

7

0
1
2
3
4
5
6
7

52
45

43

40

27

27

25

23

22

16
15

14

13

13

13

12

10

6

5

5



Ahmad KAAB OMEIR, Deimante VASILIAUSKAITE 

 

165 

 

Table 3 shows the results of metrics disclosed by euro area central banks. The required metrics 

are only three: weighted average carbon intensity (WACI), total carbon emissions, and carbon 

footprint. Two extra metrics are disclosed in half of all central banks: green and thematic bond share 

and carbon intensity. Other measures are disclosed only in some banks. From the reports, it was clear 

that central banks tend to disclose more metrics next year, so the results for 2023 can be better with 

more efforts for disclosing information.  

 

Figure 5  

Metrics used to assess and manage relevant climate-related risks and opportunities in euro area 

central banks 

 
Source: Done by authors using central banks’ reports published online. 

 

Table 3  

Calculated metrics at the bank level 

Metric Banks 

WACI  20 All euro area central banks 

Total carbon emissions 20 All euro area central banks 

Carbon footprint 20 All euro area central banks 

Green and thematic bond share 12 
Ireland (thematic and green), Italy (green), Belgium, Slovenia, Slovakia, 

Portugal, Malta, Luxembourg, Spain, Germany, Netherlands, Finland 

Carbon intensity 10 
Finland, Croatia, Cyprus, France, Greece, Italy, Ireland, Portugal, Malta, 

Spain 

Implied temperature rise 5 France, Belgium, Finland, Germany, Malta  

Green bond impact 4 Malta, Germany, France, Belgium 

Carbon risk rating  4 Belgium, Germany, Slovenia, Malta 

Scope 3 emissions metrics 3 Belgium, Finland, Germany  

Share of issuers with climate targets 3 Finland, Slovenia, Malta 

Exposure to physical risks 2 France, Germany 

Green and brown revenue share 1 Germany 

Share of carbon production volume 

to GDP 
1 

Germany 

20 20 20

12

10

5
4 4

3 3
2

1 1 1 1 1 1

0

2

4

6

8

10

12

14

16

18

20



EUROSYSTEM CENTRAL BANKS' CLIMATE-RELATED FINANCIAL DISCLOSURES OF NON-

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166 

 

ESG scores 1 France 

Biodiversity related metrics 1 France 

Social related metrics 1 France 

Climate VAR 1 Italy 

Source: Done by authors using central banks’ reports published online. 

 

Central banks tend to report minimum metrics to assess climate-related risks and 

opportunities. Most metrics of climate issues are explained in the central banks of France and 

Germany reports. Eurosystem members were encouraged to enhance their disclosures with voluntary 

metrics, and in their 2023 reports, they included 14 different categories of such metrics. These 

voluntary metrics were both backward-looking and forward-looking. The most commonly reported 

backward-looking metrics included the shares of green and thematic bonds and carbon intensity. 

Among the forward-looking metrics, the most popular were the implied temperature rise, carbon risk 

rating, and the share of issuers with climate targets. 

Introducing mandatory carbon intensity metrics could enhance reporting for certain central 

banks. These metrics provide additional insights into the emissions associated with holdings by 

normalizing emissions relative to the level of financed economic activity (i.e., revenue). Carbon 

intensity metrics are widely used in the financial sector and preferred by some investors for tracking 

portfolio decarbonization. Most NMPP portfolios should have sufficient data availability, and the 

calculation process is operationally straightforward. But at the moment, for the 2022 reporting year, 

only half of all central banks disclosed and calculated this metric.  

However, the added value of carbon intensity depends on specific investment strategies, 

raising questions about its usefulness as a mandatory metric. The TCFD recommends disclosing 

precise, comparable, and consistent information about climate-related risks and opportunities. 

Portfolio managers select climate metrics based on their investment strategies and the applied scope. 

Adequate climate-related metric disclosure aids understanding; thus, adding the complex carbon 

intensity metric to the already mandatory WACI, Total Carbon Emissions, and Carbon Footprint 

metrics might complicate reporting without significantly increasing informative value. PCAF 

(Partnership for Carbon Accounting Financials) does not explicitly recommend the carbon intensity 

metric. 

Integrating forward-looking metrics into the reporting framework is desirable, but the lack of 

methodological standardization currently weakens the case for inclusion. While these metrics enrich 

reporting and are conceptually appealing, ongoing debates about methodological aspects and the lack 

of standardization argue against their mandatory inclusion at this stage. The availability and 

standardization of data should improve with the implementation of the CSRD (Corporate 

Sustainability Reporting Directive). Central banks are encouraged to share their experiences to define 

best practices for voluntary reporting of forward-looking metrics. 

Reporting on green bond-avoided emissions remains challenging. Three distinct approaches 

for reporting avoided emissions—relying on data provider estimates, collecting issuer impact reports, 

and collecting third-party impact reports—each has pros and cons. Current guidance and data are 

insufficient to ensure accurate estimates for green bonds’ avoided emissions. Among the three 

approaches, relying on data provider estimates appears superior in terms of practicality and feasibility, 

but data coverage must improve before collective disclosure by the Eurosystem. Harmonizing 

methodologies used by data providers would also enhance metric quality. 



Ahmad KAAB OMEIR, Deimante VASILIAUSKAITE 

 

167 

 

Reporting portfolios’ green bond share could enhance transparency about portfolios’ 

contribution to the low-carbon transition, stimulating the supply of crucial transition financing. Green 

bonds are a popular tool for fixed-income investors to support low-carbon projects. Several central 

banks already report the share of green bond holdings in their portfolios. Identifying green bonds is 

straightforward, as Bloomberg provides a classification flag based on the Green Bond Principles 

(GBP) of the International Capital Market Association (ICMA), reducing greenwashing risks. 

Addressing the impact of inflation on financial data remains unresolved. Financial measures 

such as revenue and EVIC are affected by inflation, which can lead to "artificial" greening over time. 

While correcting for inflation in metrics is theoretically desirable, it is complex in practice. PCAF 

(Partnership for Carbon Accounting Financials) does not recommend adjusting for inflation to 

maintain comparability across institutions. The EU climate benchmark regulation prescribes an 

"enterprise value inflation adjustment factor," which does not distinguish between causes of 

enterprise value fluctuations. This metric is complicated to correct for inflation's impact, but it should 

be reviewed in the future due to its relevance for setting interim targets. 

Biodiversity aspects are likely to gain prominence in climate reporting. The Taskforce on 

Nature-related Financial Disclosure (TNFD), announced in July 2020, released its complete 

framework for market adoption on 18 September 2023. EU environmental standards being developed 

by EFRAG (E4 – Biodiversity) build on TNFD recommendations. If deemed material, the CSRD will 

require major EU companies to report on certain nature-related KPIs starting in 2025. While 

biodiversity disclosures should remain voluntary for now, it should be considered to include them in 

the standard reporting framework later. 

Metrics should be updated retroactively as new climate data becomes available. Emissions 

and financial data for issuers typically have a delay of one to two years, causing reference year 

mismatches in recent portfolio reporting. We recommend making these limitations transparent and 

updating metrics in the next reporting round when new data with matching reference years becomes 

available. Most recent metrics would likely need only one update. 

Because of calculation challenges, most central banks at the moment do not want to make 

other metrics to disclosure mandatory and tend to remain voluntary.  

 

CONCLUSIONS 

After analyzing 20 central banks‘ climate-related financial disclosure reports, it can be 

concluded that euro area central banks do not disclose transparent processes by which the bank boards 

are informed about climate-related issues. The other important point is that most central banks do not 

identify the reporting frequency.  

Monitoring climate-related issues for central banks is essential, and if the central banks have 

no transparent processes, they can face difficulties in managing climate risk and adding value to 

sustainable development.  

In climate-related financial disclosure reports, central banks explain how the board supervises 

and manages risks and opportunities related to climate change. At the same time, it outlines how 

management evaluates and handles risks and opportunities associated with climate change. Small 

central banks based on foreign reserves portfolios tend to make concise reports about governance 

without profound explanation. 



EUROSYSTEM CENTRAL BANKS' CLIMATE-RELATED FINANCIAL DISCLOSURES OF NON-

MONETARY POLICY PORTFOLIOS 

168 

 

Central banks, from 2023, have to disclose metrics by which they assess climate-related risks 

and opportunities. The research has shown that most central banks tend to disclose only metrics based 

on minimum requirements (WACI, Total carbon emissions, Carbon footprint), especially small 

central banks. By disclosing other metrics, there is no transparent system of providing information.   

The main recommendation for central banks would be to report more transparent disclosures 

in governance, focusing on TCFD recommendations. Processes and frequency by which the board 

and/or board committees (e.g., audit, risk, or other committees) are informed about climate-related 

issues are essential to ensure proper climate risk management in the organization. The other aspect 

for central banks is to have a transparent monitoring of climate-related issues system.  

The other recommendation is to include more measures than the minimum in disclosing 

climate-related risks and opportunities and present it clearly by explaining the calculation and targets 

for the future.  

 

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