This interactive, technical webinar from the Anthropocene Fixed Income Institute (AFII) will guide you through the latest in our research series on sustainability-linked bonds, “Risk-neutral pricing of SLBs with application to step downs”.
We will present a simple model, correlating sustainability targets with improved credit quality, which will help investors understand fair-value pricing for step down SLBs and show issuers how they can achieve lower yields for their financing.
To get the most out of this session, please read the associated AFII paper in advance: https://anthropocenefii.org/academic-research#cf0f37b8-002d-4856-b888-fa2c52994d92
Ulf Erlandsson - Chief Executive Officer, Anthropocene Fixed Income Institute
Stephanie Mielnik, CFA - Director, Research, Anthropocene Fixed Income Institute
Justine Leigh-Bell - Executive Director, Anthropocene Fixed Income Institute
• Step-down structures: Advantages from an agency perspective
• A risk-neutral pricing approach to SLBs
• Step-probabilities as a driver of the investor-issuer exchange
• Conditional default rates and pricing
• Pricing SLBs with risky discount factors
• Conclusions and further research
You can also join the accompanying webinar, "An option pricing approach for Sustainability-Linked Bonds", the previous day at 14:00 GMT, 22 Nov 2022, by registering here: https://us06web.zoom.us/webinar/register/WN_LcN2kymcRnuhMPTjZc932A