["Business Strategy and the Environment, EarlyView. ", "\nABSTRACT\nAssessing the future impact of climate risks on the probability of default (PD) of small and medium enterprises (SMEs) is challenging due to limited disclosure, policy uncertainty and exposure to physical risks. This paper addresses this gap by integrating macroeconomic variables from the Network for Greening the Financial System (NGFS) scenarios into a survival analysis framework to project forward‐looking PDs for SME securitised loans up to 2050. The analysis is based on a comprehensive dataset of 3.9 million SME securitised loans observed between 2013 and 2022 across Belgium, Italy and Portugal. The results show that climate risks increase projected SME PDs in the short term relative to a baseline, particularly under scenarios with rapid and stringent climate policy action. In the long term, the Net Zero 2050 transition generates cobenefits, with PDs falling below those projected under alternative scenarios, while insufficient mitigation increases portfolio risk from physical climate impacts. The findings also highlight that a business‐confidence shock, driven by uncertainty about delayed or fragmented climate policies, can represent an additional source of credit risk.\n"]