1. Source: BAML
2. As at July 2021. Source: Bloomberg
3. A bond with interest coupons that change to predetermined levels on specific dates.
4. To assess the impact of the ESG designation, we began by estimating the fair value for all green, social, and sustainable bonds outstanding as of November 2020 and May 2021. We did this by determining the valuation of adjacent traditional bonds on the issuer’s yield curve. Only bonds with the same currency, seniority, collateral, and rating, with durations within one year of the ESG bond, were used to assess fair value. In many cases sufficiently comparable bonds did not exist, and therefore the number of designated bonds under study was reduced to 843 and 1,175 bonds for the November 2020 and May 2021 samples correspondingly. After removing the most extreme top and bottom two percentiles of the universe, the final November 2020 and May 2021 samples amounted to 809 and 1,128 bonds respectively.