Climate-related risks have recently emerged as critical factors in financial risk management, resulting in significant demand for reliable and standardized sustainability data. In response, the European Union (EU) has established regulatory frameworks mandating corporations of varying sizes to disclose key sustainability indicators. These developments facilitate improved quantitative risk management through consistent and accessible sustainability data published by corporations in their respective reports. However, reporting from diverse and heterogeneous data sources necessitates structured methods for storing and organizing domain knowledge, enabling efficient data access and retrieval. To address these challenges, we introduce an ontology designed to function as a schema for constructing a Knowledge Graph (KG) that integrates data essential for assessing climate risks within financial institutions’ loan portfolios. Following established ontology modeling practices, our approach reuses and extends existing ontologies, ensuring alignment with the latest EU reporting standards specified in the Corporate Sustainability Reporting Directive (CSRD). This ontology, which is made publicly available, supports the assessment of transition climate risks, e.g., through a portfolio temperature alignment framework and further enhances capabilities for information extraction, identification of data gaps, and analysis of data integrity within sustainability reports.