This paper examines the market reaction to the 2022 publication of the first-ever ECB climate risk stress test results, revealing whether there is any concern about climate change threats to European financial stability. Bank default risk is measured through the CDS spreads from banks that the ECB tested on their climate risk resilience. Our findings reveal a significant increase in the risk premium required by market participants, specifically for short and medium CDS maturities. Interestingly, we also did not find evidence that ESG considerations can serve as a protective shield against risk premium, on the contrary.