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Empower fixed income markets to drive the global climate transition at speed and scale.

Anthropocene Fixed Income Institute (AFII)

Anthropocene Fixed Income Institute (AFII)Anthropocene Fixed Income Institute (AFII)Anthropocene Fixed Income Institute (AFII)

Empower fixed income markets to drive the global climate transition at speed and scale.

Anthropocene Fixed Income Institute (AFII)

Anthropocene Fixed Income Institute (AFII)Anthropocene Fixed Income Institute (AFII)Anthropocene Fixed Income Institute (AFII)

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Market research

Quantitative research

Quantitative research

AFII analyses market events and trends in a fixed income climate context, and seeks to raise awareness of the fixed income market's climate impact to outside observers.

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Quantitative research

Quantitative research

Quantitative research

Fixed income markets are technically complex with poor data and often lack good models linking climate impact and trading. AFII conducts academic style research into the area. 

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Advocacy

Quantitative research

About AFII

Bond markets are generating fresh capital for coal, gas and oil development. AFII seeks to put an end to the worst transgressions and push for innovative green investment solutions.

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About AFII

AFII on Bloomberg terminal

About AFII

AFII is a not-for-profit institute supported by prominent philanthropic climate foundations. The team is ex-industry and drives a markets-focused approach to positive impact in fixed income. 

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AFII in the media

AFII on Bloomberg terminal

AFII on Bloomberg terminal

Using industry style argumentation and output, AFII has gained reputation by challenging structural features of bond markets that hinder the success of a rapid climate transition. 

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AFII on Bloomberg terminal

AFII on Bloomberg terminal

AFII on Bloomberg terminal

AFII research is available and tagged to security tickers on the Bloomberg terminal. Click for the set-up guide.

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All research

An option pricing approach for Sustainability-Linked Bonds

An option pricing approach for Sustainability-Linked Bonds

An option pricing approach for Sustainability-Linked Bonds

 The option pricing model for SLBs based on a Black-Scholes approach, with KPIs linked to carbon emissions, shows that impactful targets can deliver a lower cost-of-capital to issuers.

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Net green/fossil bond syndication league table - Mar23

An option pricing approach for Sustainability-Linked Bonds

An option pricing approach for Sustainability-Linked Bonds

The AFII net green/fossil fee league table updates proxy indicators on relative tilting of bank counterparties' climate alignment.

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The reformed SSA trader: A new-found dog

An option pricing approach for Sustainability-Linked Bonds

Oil & Gas: Climate performance and the cost of capital

Newfoundland and Labrador is opening up for raising capital in EUR SSA market, while facilitating some of the most substantial ultra-deepwater wildcat oil and gas operations globally.

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Oil & Gas: Climate performance and the cost of capital

SLB triggers: What next if Nobian or PPC miss their targets?

Oil & Gas: Climate performance and the cost of capital

A relative ranking of Oil & Gas issuers based on their alignment with climate targets combined with market pricing to analyse how environmental performance drives their funding spreads. 

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SLB triggers: What next if Nobian or PPC miss their targets?

SLB triggers: What next if Nobian or PPC miss their targets?

SLB triggers: What next if Nobian or PPC miss their targets?

The market is waiting for confirmation that two index-eligible SLBs will miss their Dec 2022 targets.

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BHP: Think big with an SLB

SLB triggers: What next if Nobian or PPC miss their targets?

SLB triggers: What next if Nobian or PPC miss their targets?

Mining giant BHP is looking to tap the USD bond market today for the first time in nearly ten years.

We propose an SLB structure which could help achieve coal decommissioning objectives.

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Adani Green/Ports and Carmichael funding exposures

Adani Green/Ports and Carmichael funding exposures

Adani Green/Ports and Carmichael funding exposures

 The Adani Ports and Green capital stacks are being used to provide credit for the Carmichael mine. Investors should evaluate their exposure. 

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Big Oil, small short

Adani Green/Ports and Carmichael funding exposures

Adani Green/Ports and Carmichael funding exposures

We highlight the large differential between XOM equity dividend yield and 2yr bonds, suggesting that the bond side can be used to ‘fund’ equity shorts and associated engagement.

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Adani Enterprises and passive ESG index investors

Adani Green/Ports and Carmichael funding exposures

Paris-Aligned Benchmark ETFs: A performance and climate alignment review

 The recent exclusion of Adani Enterprises from several equity ESG indices raises the questions: why was the name there in the first place, and what is the YTD P&L effect of that?

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Paris-Aligned Benchmark ETFs: A performance and climate alignment review

Paris-Aligned Benchmark ETFs: A performance and climate alignment review

Paris-Aligned Benchmark ETFs: A performance and climate alignment review

 We take a closer look at four Exchange Traded Funds using the Paris-Aligned Benchmark (PAB) label, introduced in 2019 by the European Union. 

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Enel - Market update on 2022 KPI observation

Paris-Aligned Benchmark ETFs: A performance and climate alignment review

GREENSAIF: A not-so-green, double-edged sword

The current trading level of ENELIM £1 27s implies a high probability of the 2022 renewables capacity target being missed. We review recent performance on this bond.

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GREENSAIF: A not-so-green, double-edged sword

Paris-Aligned Benchmark ETFs: A performance and climate alignment review

GREENSAIF: A not-so-green, double-edged sword

A private consortium led by BlackRock is looking to the bond market to refinance/leverage their investment in Aramco's pipeline subsidiary.

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Nissan: Shift expectations with an SLB?

Understanding dynamics between sustainable and traditional debt

Nissan: Shift expectations with an SLB?

NSANY has been active issuing sustainability bonds. This note suggests using an SLB format to achieve a lower cost-of-capital for the issuer.

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Adani Group: IG to HY risks?

Understanding dynamics between sustainable and traditional debt

Nissan: Shift expectations with an SLB?

Most of Adani's bonds have a BBB- rating but are currently pricing at levels below that.

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Understanding dynamics between sustainable and traditional debt

Understanding dynamics between sustainable and traditional debt

Understanding dynamics between sustainable and traditional debt

SLBs offer an option-like pay out tied to sustainability performance. We examine the relationship between sustainability and credit performance/behaviour between SLBs and traditional bonds.

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Adani Group: Bonds underperforming equities

Adani Group: Bonds underperforming equities

Understanding dynamics between sustainable and traditional debt

Adani Group dollar bonds fall on average much more than the Group's equities after a Hindenburg report.

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ECB climate policy and EUR bond dynamics

Adani Group: Bonds underperforming equities

ECB climate policy and EUR bond dynamics

Based on the perceived shift in ECB policy on climate exposure in the CSPP, this brief note  analyses the size of the CSPP vs market and issuers that might be particularly exposed.

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ECB climate policy: Paradigm shift

Adani Group: Bonds underperforming equities

ECB climate policy and EUR bond dynamics

In a recent speech, the ECB outlines a clear shift in its climate policy framework, addressing many of the concerns AFII has raised in earlier research.

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Air France-KLM: Come fly with SLBs

Notable fixed income fossil funding deals 2022

Notable fixed income fossil funding deals 2022

Air France-KLM is in the market today (9 Jan 2023) with two Sustainability-Linked Bonds (SLBs).

Examining the public information on this deal, we find several positive elements of use of this product in the aviation sector.


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Notable fixed income fossil funding deals 2022

Notable fixed income fossil funding deals 2022

Notable fixed income fossil funding deals 2022

Second year running, this review looks at a list of ten notable fossil funding deals involving fixed income (investors) over the past year. 

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Decarbonising iShares' LQD ETF

Notable fixed income fossil funding deals 2022

Decarbonising iShares' LQD ETF

 We apply AFII's portfolio management tool FIONA, to show that  LQD's climate impact can be considerable improved without impact on its  performance. . 

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Technical webinar: An option pricing approach for sustainability-linked bonds.

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Pinned: AFII Research Synthesis

One small step for Orlen, one giant leap for the SLB market

Net green/fossil bond syndication league table - Dec22

  This document categorizes and hyperlinks AFII research output for an easy-to-read overview. 

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Net green/fossil bond syndication league table - Dec22

One small step for Orlen, one giant leap for the SLB market

Net green/fossil bond syndication league table - Dec22

The AFII net green/fossil fee league table updates proxy indicators on relative tilting of bank counterparties' climate alignment.

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One small step for Orlen, one giant leap for the SLB market

One small step for Orlen, one giant leap for the SLB market

One small step for Orlen, one giant leap for the SLB market

In this note, we review the first known case of a Sustainability-Linked Bond (SLB) that has triggered a sustainability related financial penalty for the issuer.

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A review of SLBs approaching KPI observation dates

Sembcorp: "Carbon footprint arbitrage of a lifetime"

One small step for Orlen, one giant leap for the SLB market

We examine how Sustainability-Linked Bonds can be expected to behave as they go through their “trigger” dates by analysing two current cases, Enel and PPC.

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Sembcorp: "Carbon footprint arbitrage of a lifetime"

Sembcorp: "Carbon footprint arbitrage of a lifetime"

Sembcorp: "Carbon footprint arbitrage of a lifetime"

Sembcorp's sale of thermal coal power in India shifts operational to financial exposure, and should not lead to a de-consolidation of carbon exposure.

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Tilt and Run again - BoE is selling corporate bonds

Sembcorp: "Carbon footprint arbitrage of a lifetime"

Sembcorp: "Carbon footprint arbitrage of a lifetime"

We present the highest emitting issuers per sector within the holdings of the CBPS, and their recent performance which shows the impact of QT flows to date. 

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Notes on risk-neutral pricing of SLBs and step-down structures

Notes on risk-neutral pricing of SLBs and step-down structures

Notes on risk-neutral pricing of SLBs and step-down structures

This technical note analyses SLB structures using a binomial approach and with a particular focus on step-down structures.


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Environmental gilt

Notes on risk-neutral pricing of SLBs and step-down structures

Notes on risk-neutral pricing of SLBs and step-down structures

Last week (28 Sep 2022) saw unprecedented volatility in the GBP bond market. We examine corporate sterling green bonds amid this extreme volatility in gilts.

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No green ePIFany

Net green/fossil bond syndication league table - Sep22

Net green/fossil bond syndication league table - Sep22

The Saudi sovereign wealth fund's new green bond deal does not look convincing in terms of 'green'. We providing alternative suggestions.

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Net green/fossil bond syndication league table - Sep22

Net green/fossil bond syndication league table - Sep22

Net green/fossil bond syndication league table - Sep22

Green vs grey league tables updated ahead of the coming IMM date, to facilitate climate aligned counterparty selection when rolling futures/derivatives.

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MHI: The wrong kind of transition

Net green/fossil bond syndication league table - Sep22

Bond investors and new Queensland thermal coal mines

Ammonia co-firing in coal plants is a key ingredient in Japan's energy transition plan. We case-study Mitsubishi Heavy Industries' transition bond implementation.

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Bond investors and new Queensland thermal coal mines

Bond investors and new Queensland thermal coal mines

Bond investors and new Queensland thermal coal mines

The Australian state is revving up new thermal coal: some investors seems misaligned in their exposure to that... 

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Auto bonds: Any colour so long as it is green

Bond investors and new Queensland thermal coal mines

Auto bonds: Any colour so long as it is green

We analyse green bonds in the auto sector, which is an opportunity for bond investors to support transition in a capital-intensive sector.. 

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JBS: A meaty SLB impact proposal

Bond investors and new Queensland thermal coal mines

Auto bonds: Any colour so long as it is green

Brazilian meat producer JBS is at a potentially very impactful juncture of climate change, deforestation and sustainability-linked bonds. 

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Ace of Basis: Green cash-CDS basis to drive transition

Ace of Basis: Green cash-CDS basis to drive transition

Ace of Basis: Green cash-CDS basis to drive transition

We analyse negative basis packages in terms of green bonds and how they could drive transition, with an example in GM's recent green bonds.

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Enel: A case study in transition finance using SLBs

Ace of Basis: Green cash-CDS basis to drive transition

Ace of Basis: Green cash-CDS basis to drive transition

With over USD22bn SLB debt outstanding, Enel is a frontrunner in this new market. We analyse the implications of switching the debt stack to SLB format.

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SLB bond radar: Eni (potentially) coming to market

Ace of Basis: Green cash-CDS basis to drive transition

SLB bond radar: Eni (potentially) coming to market

Eni was the first company from the oil sector to issue an SLB: we discuss a potential issuance from the option pricing  and climate impact perspective.

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Tilt and Run: ECB climate policy update

The Reformed SSA Trader: Kreditanstalt Fossil Wiederaufbau?

SLB bond radar: Eni (potentially) coming to market

On July 4th, the ECB announced further steps to incorporate climate change into their monetary policy operations. We analyse the effect this could have on the CSPP portfolio for high emitters.

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The Reformed SSA Trader: Kreditanstalt Fossil Wiederaufbau?

The Reformed SSA Trader: Kreditanstalt Fossil Wiederaufbau?

The Reformed SSA Trader: Kreditanstalt Fossil Wiederaufbau?

Recent commitments to high-carbon companies and financing could be awkward for investors in KfW's green bonds.

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Market update: Recent performance on high carbon emitters in CSPP

Market update: Recent performance on high carbon emitters in CSPP

Market update: Recent performance on high carbon emitters in CSPP

Carbon intensive issuers outperform the benchmark portfolio in Mar/Apr 2022, but underperform since mid-May.

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Swedish RE Bond Blowup: Not a green issue

Market update: Recent performance on high carbon emitters in CSPP

Market update: Recent performance on high carbon emitters in CSPP

Poor performance of Swedish real-estate bonds may have green implications in the domestic market but likely not internationally.

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Net green/fossil bond syndication league table - Jun22

Market update: Recent performance on high carbon emitters in CSPP

Net green/fossil bond syndication league table - Jun22

Update on net green/fossil DCM fee generation from key banks, for the Jun22 IMM date.

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Wind-down (of CSPP) is coming

SFDR subsidiary ESG disclosures: ESMA clarifications

Net green/fossil bond syndication league table - Jun22

Inflation is driving reduction of CB support mechanism and it might be tilted green: ECB supported non-Eurozone heavy fossil fuel issuers like Shell, BP, Glencore and Schlumberger bonds look vulnerable.

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SFDR subsidiary ESG disclosures: ESMA clarifications

SFDR subsidiary ESG disclosures: ESMA clarifications

SFDR subsidiary ESG disclosures: ESMA clarifications

European regulators clarify that  funding vehicles/SPVs should have the same ESG credentials as what they fund.

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ESG Bond ETFs: Passive aggressive investing?

SFDR subsidiary ESG disclosures: ESMA clarifications

SFDR subsidiary ESG disclosures: ESMA clarifications

  Russia's #1 thermal coal miner landed bonds in an ESG bond ETF explicitly excluding thermal coal: we analyze the market "process" enabling this.

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Pinned: Low carbon credit performance 2015-2020

Chile sustainability-linked bond: Optionality analysis

Low carbon credit performance: Mayday or opportunity?

   Low carbon has produced stable excess returns versus traditional credit - we provide an out-of-sample, apples-for-apples examination using S&P indices based on the ECOBAR allocation mode. 

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Low carbon credit performance: Mayday or opportunity?

Chile sustainability-linked bond: Optionality analysis

Low carbon credit performance: Mayday or opportunity?

Recent underperformance of low carbon credit has been subdued and argument could be made as to this being an opportunity.

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Chile sustainability-linked bond: Optionality analysis

Chile sustainability-linked bond: Optionality analysis

Chile sustainability-linked bond: Optionality analysis

The recent Chile sovereign SLB provides robust KPIs: we review the optionality premium(s).

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Woodside/CSIRO and Australia climate FI comments

SUEK: downgrades, index expulsion, coupon payments?

Chile sustainability-linked bond: Optionality analysis

An USD65trn investor coalition is airing its critique of WPLAU: we update on the revlval of WPLAU CDS vs iTraxx Austalia and comment on other news.

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UnFortumate: iTraxx Main S35 vs ESG version

SUEK: downgrades, index expulsion, coupon payments?

SUEK: downgrades, index expulsion, coupon payments?

iTraxx ESG S35 outperforms strongly in 2022: analysis.

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SUEK: downgrades, index expulsion, coupon payments?

SUEK: downgrades, index expulsion, coupon payments?

SUEK: downgrades, index expulsion, coupon payments?

Comment on a number of developments around SUEK after the Russia sanctions.

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Update on Russian coal miner SUEK’s new USD bonds

Abbott Point bonds go 10/90: Coal refi bellwether?

Update on Russian coal miner SUEK’s new USD bonds

Recent military developments raise questions around the recently issued SUEK thermal coal bond.

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Shell long-end USD bonds: Smoked not smoking

Abbott Point bonds go 10/90: Coal refi bellwether?

Update on Russian coal miner SUEK’s new USD bonds

We update on a previous discussion around the potential price/spread impact on Shell bonds after a climate commitment court ruling in 2021.

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Abbott Point bonds go 10/90: Coal refi bellwether?

Abbott Point bonds go 10/90: Coal refi bellwether?

New EIG/Aramco bonds in ESG indices: EOM flow risks

ADAABB 22s trading distressed 10 months before maturity illustrates diffculties in coal refinancing. Related parties such as ADSEZ should monitor the situation.

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New EIG/Aramco bonds in ESG indices: EOM flow risks

Oil, gas and bond pipelines: the case of Aramco/EIG/BLK

New EIG/Aramco bonds in ESG indices: EOM flow risks

New EIGPRL bonds are in the ESG CEMBI index: we expect they align with Aramco on ESG ratings fairly soon, and thus we forecast divestment flow risk.

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Sri Lanka: restructuring with biodiversity links?

Oil, gas and bond pipelines: the case of Aramco/EIG/BLK

Oil, gas and bond pipelines: the case of Aramco/EIG/BLK

Bonds are priced for restructuring, and the argument is that there are important biodiversity targets that could be incentivized.

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Oil, gas and bond pipelines: the case of Aramco/EIG/BLK

Oil, gas and bond pipelines: the case of Aramco/EIG/BLK

Oil, gas and bond pipelines: the case of Aramco/EIG/BLK

Fossil public to private transaction bank bridges are looking to refi in bond markets.

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Low carbon credit performance in a 400% oil rally

Net green/fossil bond syndication league table 2021

SSA carbon exposures: JBIC New Year's announcement

Extreme price increases in fossil resource prices, low carbon credit relative performance remains robust.

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SSA carbon exposures: JBIC New Year's announcement

Net green/fossil bond syndication league table 2021

SSA carbon exposures: JBIC New Year's announcement

Comments on a >USD500mn loan deal for a Russian oil co and other fossil investments.

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Net green/fossil bond syndication league table 2021

Net green/fossil bond syndication league table 2021

Net green/fossil bond syndication league table 2021

Rankings for major banks in terms of their net green vs fossil bond syndication fee revenue.

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Anthropocene Fixed Income Market Themes 2022

Operation Private Markets: A Bridge CO2 Far

Net green/fossil bond syndication league table 2021

We highlight themes that are likely to grow stronger and stronger in 2022.

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Notable fixed income fossil funding deals 2021

Operation Private Markets: A Bridge CO2 Far

Operation Private Markets: A Bridge CO2 Far

Year-end list of the most notable fixed income fossil funding deals of 2021 from the perspective of AFII.

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Operation Private Markets: A Bridge CO2 Far

Operation Private Markets: A Bridge CO2 Far

Operation Private Markets: A Bridge CO2 Far

Significant fossil public-to-private transactions are going through in 2021: we highlight that bridge loan providers "own" the carbon footprint until the deals are consummated.

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Shell-shocked: a whale trade in corporate bonds

Shell-shocked: a whale trade in corporate bonds

Shell-shocked: a whale trade in corporate bonds

Seismic O&G exploration is making some noise in South Africa - we look at how this could affect long-dated USD bonds..

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Glencore: implications for iTraxx investors

Shell-shocked: a whale trade in corporate bonds

Shell-shocked: a whale trade in corporate bonds

News around methane emissions; hedge-fund activist approaching the co: we analyze the situation from an iTraxx investor perspective.

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Coal funding premia: Port of Newcastle USD deal

Shell-shocked: a whale trade in corporate bonds

Coal funding premia: Port of Newcastle USD deal

 New PON bond implies high funding costs for coal related entities.

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Green bonds duration risk review

Short selling has a role in the road to net zero

Coal funding premia: Port of Newcastle USD deal

This note studies the relationship between green bond funds and rising interest rates.

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Arbitraging before the ink has dried

Short selling has a role in the road to net zero

Short selling has a role in the road to net zero

We analyse recent statements around the private vs public asset divide being "the biggest arbitrage in a lifetime."

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Short selling has a role in the road to net zero

Short selling has a role in the road to net zero

Short selling has a role in the road to net zero

Short selling has impact across both fixed income and equities argues this note.

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SUEK calls force majeure: bank and bond investor implications?

Low carbon credit performance: equity and rates sell-off update

Low carbon credit performance: equity and rates sell-off update

Just a month after its inaugural USD bond deal, coal mine SUEK is calling a force majeure. Bookrunning banks should engage their clients on this potential situation.

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Low carbon credit performance: equity and rates sell-off update

Low carbon credit performance: equity and rates sell-off update

Low carbon credit performance: equity and rates sell-off update

Low carbon credit has remained resilient in the face of recent market volatility. 

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Market opportunity: Indian (green) bond issuance in EUR

Low carbon credit performance: equity and rates sell-off update

Trading climate opportunities in the Chinese bond market

The green Power Finance bond issue in mid-September doubled the number of Indian corp bond in the EUR market. Just two such bonds still seems low.

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Trading climate opportunities in the Chinese bond market

Trading climate opportunities in the Chinese bond market

Trading climate opportunities in the Chinese bond market

The Chinese bond market is in focus in the midst of the Evergrande event and commitments to stop non-domestic coal financing. This note provides a practitioner's perspective on the market.

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Net green/fossil bond syndication league tables

Trading climate opportunities in the Chinese bond market

Net green/fossil bond syndication league tables

This technical note calculates normalized bond syndication fee revenue league tables based on netting green bond vs fossil bond issuances.

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The Box

Trading climate opportunities in the Chinese bond market

Net green/fossil bond syndication league tables

We develop a fee based algorithm to better align fossil focused banks' activities with those of climate focused asset managers, asset owners and bond issuers.

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Mexiconvexity: Credit, IMF, Pemex

Back to the grind: Low carbon credit performance

Mexiconvexity: Credit, IMF, Pemex

Will recent IMF covid funding be used to bail out Pemex? DV01 neutral flatteners, long convexity, look relatively attractive. 

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Banking on coal: SUEK bond review

Back to the grind: Low carbon credit performance

Mexiconvexity: Credit, IMF, Pemex

Who wants to run an inaugural bond deal for "one of the largest exporters of seaborne thermal coal globally?" It seems BofA, Citi and CMZB have appetite.

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Back to the grind: Low carbon credit performance

Back to the grind: Low carbon credit performance

Back to the grind: Low carbon credit performance

Low carbon credit relative returns have recovered after an extensive oil price rally between 2020Q2 and 2021Q1.

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Woodside Petroleum vs iTraxx Australia

"Passive" money and new thermal coal mine builds

Back to the grind: Low carbon credit performance

WLPAU is taking over BHP's assets which is strengthening the trend of equity underperformance vs ASX200. WLPAU credit is unch'd: we suggest a relval trade on CDS.

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Carbon negative leveraged investment strategies

"Passive" money and new thermal coal mine builds

"Passive" money and new thermal coal mine builds

We develop a framework and practical application of leverage and shorting components for driving portfolio carbon footprints down or even below zero.

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"Passive" money and new thermal coal mine builds

"Passive" money and new thermal coal mine builds

"Passive" money and new thermal coal mine builds

Moody connects a new coal mine build to Adani Enterprises. Passive investment vehicles from global investment firms should disclose and engage.

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Fidelity and the oil sands pudding

Enbridge oil sands SLB - participation trophy alert

Adani and what could be the world's coolest SLB

Recent statements from Fidelity around climate engagements are important: as a key player in oil sands financing, the asset manager(s) has outsized role to play in GHG emissions impact.

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Adani and what could be the world's coolest SLB

Enbridge oil sands SLB - participation trophy alert

Adani and what could be the world's coolest SLB

Global coal player Adani is looking to do a sustainability linked bond: would it not be "cool" if the coupon-kicker was linked to the construction of the Carmichael coal mine?

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Enbridge oil sands SLB - participation trophy alert

Enbridge oil sands SLB - participation trophy alert

Enbridge oil sands SLB - participation trophy alert

Deal review of some of the sustainabiliy metrics suggested for an upcoming "sustainability linked bond" (SLB) from oil sand key player Enbridge.

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ESG engagement and XL AUM growth

ESG engagement and XL AUM growth

ESG engagement and XL AUM growth

 Keystone XL has finally been cancelled. This is a supreme opportunity to build credibility for ESG efforts for a lot of market players. If they engaged, that is. 

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California flarin'

ESG engagement and XL AUM growth

ESG engagement and XL AUM growth

 One of the biggest methane flarers in the Permian Basin is effectively funded by Californian public pension funds. Hard to solve fiduciary equation, in our view. 

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Pump. Dump. Socialism.

ESG engagement and XL AUM growth

Big Oil's terrible day: Bond market (lack of) reactions

Key stakeholders in Dalrymple Bay, one of the world's biggest coal terminals, are arguing for a socialisation of clean up costs, seemingly in the opposition of other external claims. 

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Big Oil's terrible day: Bond market (lack of) reactions

Big Oil's terrible day: Bond market (lack of) reactions

Big Oil's terrible day: Bond market (lack of) reactions

Bond spreads, in contrast to equities, moved very little after a raft of actions/decisions against the fossil business model of oil majors such as Exxon, Shell, Chevron and Total. 

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Exxon cap structure arbitrage/impact trade idea

Big Oil's terrible day: Bond market (lack of) reactions

Total/Equinor climate risk CDS trade: IEA update

Buy equity, buy CDS protection/short credit: engage for a leveraging up of the balance sheet but deflation of hydrocarbon capex.

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Total/Equinor climate risk CDS trade: IEA update

Big Oil's terrible day: Bond market (lack of) reactions

Total/Equinor climate risk CDS trade: IEA update

Update on a recent, well-performing CDS relval trade, which should be further supported by the IEA's recents statements on the 'future' of oil and gas exploration.

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Credit investors, rating agencies and climate: Exhibit 1

Credit investors, rating agencies and climate: Exhibit 1

Credit investors, rating agencies and climate: Exhibit 1

When credit investors refuse to refinance coal, credit ratings drop and bond yields => cost-of-capital increases. We analyze a recent case.

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Petrochemicals: Major credits, carbon risks, green bonds

Credit investors, rating agencies and climate: Exhibit 1

Credit investors, rating agencies and climate: Exhibit 1

Petrochemical companies play an important role in benchmark credit as well as in terms of climate mitigation. We analyse general bond exposures, as well as a recent BASF green bond coming out of the sector.

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"Peak greenwashing"

Credit investors, rating agencies and climate: Exhibit 1

Lipstick on a pig: NAB's sustainability loan to coal

We review the decision of Citigroup to operate as a sole lead on a new bond issue for the world's biggest coal export terminal, and comment on AFR's article on NAB "peak greenwashing."

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Lipstick on a pig: NAB's sustainability loan to coal

Lipstick on a pig: NAB's sustainability loan to coal

Lipstick on a pig: NAB's sustainability loan to coal

A review of National Australia Bank's (NAB) decision to finance the world's biggest coal export terminal.

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The oil rally and low carbon credit performance

Lipstick on a pig: NAB's sustainability loan to coal

The oil rally and low carbon credit performance

Oil has posted an almost 100% rally in the past twelve months, but low carbon credit still has eked out modest outperformance.

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A lignite revolver? New EPH loan deal comment

Lipstick on a pig: NAB's sustainability loan to coal

The oil rally and low carbon credit performance

We conclude that new €1bn loan facilities for energy conglomerate EPH constitute coal funding, and discuss details of the deal(s).

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Blackpink or BlackGold? Short KNOC notes

Tar sand new issue alert: Korea National Oil Corporation

Tar sand new issue alert: Korea National Oil Corporation

  Korea National Oil Corporation has fully wiped out its equity. We analyze the credit scenario where the government lets the BlackGold oil sand project go and bets on the Blackpink COP26 trajectory instead.

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Tar sand new issue alert: Korea National Oil Corporation

Tar sand new issue alert: Korea National Oil Corporation

Tar sand new issue alert: Korea National Oil Corporation

  Comments on a shortly forthcoming new bond issue giving banks and investors opportunity to engage in oil sands through lending to KNOC. 

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The Reformed SSA Trader: "Be aware of" ideas of March

Tar sand new issue alert: Korea National Oil Corporation

The Reformed SSA Trader: "Be aware of" ideas of March

Why fund JICA coal when you could just sell Japan sovereign CDS? And an update on JBIC.

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Bond portfolio fossil exposure review: PFA Pension

Zero new coal mine financing? EQT infrastructure investors and Carmichael

The Reformed SSA Trader: "Be aware of" ideas of March

 We are perplexed by the choice of PFA Pension to choose to be a top international player (#2) in Province of Alberta oil sand funding. 

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Short Total. Long Equinor (and/or iTraxx ESG)

Zero new coal mine financing? EQT infrastructure investors and Carmichael

Zero new coal mine financing? EQT infrastructure investors and Carmichael

AFII does an analysis on relative value between two oil majors under the conditions presented by rapid global warming.

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Zero new coal mine financing? EQT infrastructure investors and Carmichael

Zero new coal mine financing? EQT infrastructure investors and Carmichael

Zero new coal mine financing? EQT infrastructure investors and Carmichael

Our analysis indicates that investors in certain EQT infrastructure fund(s) will have new coal mine construction exposure.  

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EQT and Adani Enterprises: Some ESG questions

Coal, coup, CDP and credit: Adani Ports update

Brookfield: Coal and ESG mix like oil and water

EQT building data-centers with one of the world's biggest coal players: all good? 

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Brookfield: Coal and ESG mix like oil and water

Coal, coup, CDP and credit: Adani Ports update

Brookfield: Coal and ESG mix like oil and water

Brookfield looks set to launch a multi-billion dollar climate fund and a coal expansion making Dalrymple Bay into the world's biggest coal export facility. If there were a word for such strategies. 

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Coal, coup, CDP and credit: Adani Ports update

Coal, coup, CDP and credit: Adani Ports update

Green reputation hijacking: how multilateral green credit lines are used for Carmichael purposes

We review intensified coal mine engagements, Myanmar coup sanctions, potentially misleading carbon disclosure, and resistance to syndicate new bonds as factors to take into consideration for ADSEZ bond investors. 

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Green reputation hijacking: how multilateral green credit lines are used for Carmichael purposes

Green reputation hijacking: how multilateral green credit lines are used for Carmichael purposes

Green reputation hijacking: how multilateral green credit lines are used for Carmichael purposes

State Bank of India is using green credentials from multilaterals like KfW, World Bank and EIB to detract from the Carmichael mega-loan. Put a stop to it.

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WallSt Bets, Keynes, BaFin, Fink and climate change shorts

Green reputation hijacking: how multilateral green credit lines are used for Carmichael purposes

WallSt Bets, Keynes, BaFin, Fink and climate change shorts

 We discuss the nature of short selling: its dangers, its benefits, after a month of extremely interesting developments in the space. 

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Low carbon credit performance 2015-2020

Green reputation hijacking: how multilateral green credit lines are used for Carmichael purposes

WallSt Bets, Keynes, BaFin, Fink and climate change shorts

  Low carbon has produced stable excess returns versus traditional credit - we provide an out-of-sample, apples-for-apples examination using S&P indices based on the ECOBAR allocation model. 

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Biden and the oil sand vanguard: Inaugural credit action

Biden and the oil sand vanguard: Inaugural credit action

Biden and the oil sand vanguard: Inaugural credit action

Biden's early decision to cut the Keystone XL pipeline project may have implications for Vanguard's and NBIM's large bond positions in the world's top oil sand producer, Province of Alberta.

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The Reformed SSA Trader: New Year's Exclusions

Biden and the oil sand vanguard: Inaugural credit action

Biden and the oil sand vanguard: Inaugural credit action

With the announcement of the financing of the Vung An II coal plant, the AFII initiates its SSA exclusion list by putting JBIC and KEXIM on it, together with a few of AFII's earlier designated SSA climate destroyers. And we explain what SSA stands for/is.

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Having State Bank Carmichael coal exposure?

Biden and the oil sand vanguard: Inaugural credit action

Private equity investment engagement and carbon foot-printing: Areal-time case study

AFII makes the case for SBI refinaning of the bank's significant USD near term maturities to be conditional on no Carmichael loan, and review parallel lending practices in order to win green bond mandates, with specific focus to SBI's 2018 green bond syndicate by HSBC among others.

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Private equity investment engagement and carbon foot-printing: Areal-time case study

Private equity investment engagement and carbon foot-printing: Areal-time case study

Private equity investment engagement and carbon foot-printing: Areal-time case study

The biggest USD bond funder of potential Carmichael coal lender State Bank of India has a dominant private equity owner,  top-three firm Apollo Management. What does this mean for (climate concerned) end investors in Apollo funds, and/or the PE manager's engagement opportunity here? 

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So long. Farewell. xAuf Wiedersehnx. Adieu.

Private equity investment engagement and carbon foot-printing: Areal-time case study

How green bond markets are (not) supposed to work

The German coal decommissioning auction shuts 4.8GW of hard coal power, and among them the Vattenfall Moorburg 1.6GW white elephant project. Auction results and some reflections on the history of it. 

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How green bond markets are (not) supposed to work

Private equity investment engagement and carbon foot-printing: Areal-time case study

How green bond markets are (not) supposed to work

A green bond market where issuers can directly finance what has been called “the world’s most insane energy project” and still claim credit for refinancing a dozen of windmills deserves to be questioned. Could we avoid it? We look into the State Bank of India potential Carmichael coal loan.

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SBI (potential) Carmichael loan: Key financing transaction parties

Your AMs/PMs want to buy new Saudi Aramco bonds? Have them consider alternatives

SBI (potential) Carmichael loan: Key financing transaction parties

Given a potential Carmichael loan from SBI, we review who are the main banking transaction parties having exposure to such a -in our opinion- greenwash. MUFG and HSBC come out on top.

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State Bank of India + Coal Mega-Mine? Not so fast please

Your AMs/PMs want to buy new Saudi Aramco bonds? Have them consider alternatives

SBI (potential) Carmichael loan: Key financing transaction parties

Media reports indicate that SBI is looking to provide USD650mn of fresh funding to Adani Enterprises and the Carmichael coal mine build. We think traditional bond investors, green bond investors and development banks should consider if the SBI's potential actions are in line with their climate targets.

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Your AMs/PMs want to buy new Saudi Aramco bonds? Have them consider alternatives

Your AMs/PMs want to buy new Saudi Aramco bonds? Have them consider alternatives

Your AMs/PMs want to buy new Saudi Aramco bonds? Have them consider alternatives

We suggest an alternative way to get almost identical risk-return exposure but without lining the pockets of Aramco shareholder(s).

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Final port of coal? The Brookfield Dalrymple IPO

Final port of coal? The Brookfield Dalrymple IPO

Final port of coal? The Brookfield Dalrymple IPO

 The Dalrymple coal terminal is one of the world's biggest pieces of coal infrastructure and is being put up for sale by Canadian asset manager Brookfield. There is a lot to comment on as the process enters the retail marketing stage.  

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The bond market and the climate transition

Final port of coal? The Brookfield Dalrymple IPO

Final port of coal? The Brookfield Dalrymple IPO

In this joint piece with SSFC/Stockholm School of Economics, we argue for the relevance for and discuss the functionality of bond markets for the climate transition. Non-technical piece.  

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The ECB and Alberta's oil production tax holiday

Final port of coal? The Brookfield Dalrymple IPO

The ECB and Alberta's oil production tax holiday

The ECB is facilitating cheap funding access for the world's premiere tar sand producer, Canadian province of Alberta,  who is now using borrowed capital to subsidize its industry. Makes sense? AFII opines that is does not.

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Reef Credits: An Indulgence

Low carbon credit performance: 2020 Q3 update

The ECB and Alberta's oil production tax holiday

The recent AUD1mn contribution on behalf of HSBC and the Queensland government to Great Barrier Reef conservation is not in proportion to QLD's role as a top global player in coal. We call it.

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An ECB Rapid Decarbonisation Plan

Low carbon credit performance: 2020 Q3 update

Low carbon credit performance: 2020 Q3 update

Just 30 bond issuers derived by the proposed HLE2G framework and who sit in the ECB's eligible market asset list have a combined carbon footprint of 3.5 gigatonnes CO2. Decarbonisation of the ECB's exposures could be quick and straightforward (practically speaking).

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Low carbon credit performance: 2020 Q3 update

Low carbon credit performance: 2020 Q3 update

Low carbon credit performance: 2020 Q3 update

Low carbon credit robustly outperform a traditional portfolio in an apples-for-apples comparison using the ECOBAR  framework and S&P Indices, out-of-sample.

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Dalrymple of Queensland and the Mighty Greenwash

Dalrymple of Queensland and the Mighty Greenwash

Dalrymple of Queensland and the Mighty Greenwash

World's third largest coal port is being sold by Canadian real asset house Brookfield to potentially the Government of Queensland. Not a good idea, the AFII opines. At least shut the thermal part of it.

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Global investors and the Carmichael mega-mine

Dalrymple of Queensland and the Mighty Greenwash

Dalrymple of Queensland and the Mighty Greenwash

Some of the world's top investors, such as Allianz and Norges Bank Investment Management, have large exposures to Adani Ports. We present indications that the funding is reducing cost-of-capital for the Carmichael coal mega-mine. Investments should be reviewed.

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ESG in CDS indices

Dalrymple of Queensland and the Mighty Greenwash

ESG in CDS indices

CDS indices are crucial for managing credit portfolio risk. How should ESG tilted CDS indices be used in this context? We draw some conclusions from our own trading.

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Hard coal auction

Green Bond Risk Premiums: A Twin-Bond ULFP Approach

ESG in CDS indices

Vattenfall, Fortum and Engie (all government owned/controlled) are key players in the 1 Sep 2020 German coal decommissioning auction. We suggest that neither company will be making proftis in German thermal coal and thus should offer to shut capacity at €0 compensation.

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Top coal, top ESG?

Green Bond Risk Premiums: A Twin-Bond ULFP Approach

Green Bond Risk Premiums: A Twin-Bond ULFP Approach

We review the global top decile ESG ranking of Adani Power, a 99.7% coal based electricity company as well as recent investor losses in the company's stock after a recent delisting announcement.

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Green Bond Risk Premiums: A Twin-Bond ULFP Approach

Green Bond Risk Premiums: A Twin-Bond ULFP Approach

Green Bond Risk Premiums: A Twin-Bond ULFP Approach

In this academic paper, we devise two different ways to measure the (risk) premium between green and traditional bonds: through cointegration or through realised volatility analysis.

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About AFII

AFII is a non-profit organization taking a bond market practitioner perspective on real climate impact. We like the buzz of a succesful trade and the P&L it brings with it.  We are extremely concerned about climate change, and distrust marketing waffle around "sustainable finance". 

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