This paper analyses the role of climate and environmental policies for the impact of firms' carbon emissions and environmental pollution on credit risk and bond pricing. Using corporate bond spreads, we find that carbon premiums increase with climate policy stringency. A higher expected stringency of future climate policies further increases the effect of carbon emissions on bond spreads. Analysing firm credit risk ratings yields similar results. We then extend the scope to firms' environmental pollution in general and find that the impact of different types of pollution on both credit risks and bond spreads increases with environmental policy stringency.