Анализ премии по «зеленым» облигациям

Formal definition for green bongs, which is provided by ICMA is:
“Green Bonds are any type of bond instrument where the proceeds will be exclusively applied to finance or re-finance, in part or in full, new and/or existing eligible Green Projects”
Green Projects in this case can be identified as projects, which contribute to environment objectives, such as: climate change mitigation, climate change adaptation, natural resource conservation, biodiversity conservation, and pollution prevention and control (The Green Bond Principles: Voluntary Process Guidelines for Issuing Green Bonds, 2018).
As far a question of environment changes has begun really worrying not only for society and “green” organizations, but also for government and companies, the problem of choice of the ways for financing of “green” projects is important for discus nowadays too.
In the most of cases “green” projects require a lot of investments, while resources of the government and companies are limited. The solution of this problem is constructing debt from the socially responsible investors (who are interested not only in profit, but also in the environment aspect of their investments) by green bonds (here and after GBs) issuing.
The significant boost to development of green bond market was made by the Copenhagen Accord in 2009 (Bachelet, Becchetti, & Manfredonia, 2019), which has established, that financial markets have to play the central role in climate changes outcomes mitigation. As far resources of the government and corporations are limited, the best solution is to promote financial products, which appeal investors. Green bonds is the most suitable example of financial product, which is able to satisfy demand in resources for environmental projects development and to satisfy demand of investors in stable and low-risky fixed-income investment product.
Green bond investment is a solution not only for environmental, social and governance focused investors, but also for conventional fixed-income investors who eagerly seek efficient ways to ‘green’ their portfolios (Nanayakkara & Colombage, 2019).
While green bond is one of the ways of investments’ attraction for the issuer, for investor this is the question of portfolio diversification and environment concerned investments.
Nowadays, education of the modern investor is focused not only on profitable ways of income, but also on sustainable development of investments. This fact can be proved by oversubscription in the most of cases when GBs were issued: for Unibail Rodamco issue value were EUR 500m, while volume subscribes was EUR 3000m; for Xingjiang Goldwind issue value were USD 300m, while volume subscribes was USD 31400m. That is why experts argue, that green bonds market has huge imbalance in supply and demand of GBs (Laskowska, 2018).
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Also, we should remember about reputation features, which have GBs. Current trend on sustainable development and corporate responsibility provides an opportunity for issuers to improve their reputation. Sometimes, the fact of responsible activities of the company can have an impact on the assessment of the assets and investment risk management.
Risk characteristics, associated with the issuer, are the same for comparable green bonds (GBs) and conventional bonds (CBs). However, GBs are serviced not only by cash flows which are associated with any green project, but also by investors’ attitude to characteristics of the project (in our case “greenness” of the project). As a result, a tighter yield spreads (YS) reflects investors’ willingness to pay a premium for GB issuance in contrast to CBs. Despite, GBs are usually associated with lower cash flows; investors value the “label” of GBs due to lower risks and positive ethical side of investment. From the issuer’s point of view, lower spread may be a signal to lower cost of capital and higher investment opportunity, what provide a motivation to issue more GBs by lowering the overall cost of capital (Nanayakkara & Colombage, 2019).
On the one hand, GBs are less risky, have lower volatility and higher liquidity due to market imbalance and high demand on these financial products and should demonstrate lower premium. On the other hand, GBs are associated with lower cash flows and risk of “greenwashing” (risk of that the issuer reports reflect greater eco-friendly activities, then they are in reality) and thus in terms of higher level of uncertainty should demonstrate higher returns. That is why, it is crucial to study GBs during their “life cycle” to identify which characteristics are more highly valued by investors and detect the investors perception of GBs. This question is the core question of the topic. Thus, we can formulate the research goal as follows: “to estimate green bonds premium during life cycle of this bond: at the different stages after issuance”. The answer on the research question could provide as an opportunity to formulate particular recommendations for investors in terms of understanding GBs premium behaviour during the life cycle and creation of possible investment strategy. Thus, to provide significant impact into theoretical and practical GBs understanding we can formulate the following research questions:
1. How the green bond premium changes over its life cycle?
2. If the GBs premium changes over life cycle from positive to negative or opposite, when
turning point happens?