Canada is already an active green bond issuer (CAD 17.5bn outstanding across five bonds), but nature conservation has received only a small share of proceeds. SLBs offer a complementary route: tying coupon adjustments to performance targets rather than ringfencing capital for specific projects.
We propose a 10-year SLB linked to Canada's two 2030 conservation targets, with a stretch goal of 30% marine protection, combined in a dual step-up/step-down structure. Using 25bps adjustments per SPT and illustrative probabilities, AFII's pricing approach gives a positive combined option value (upfront: 0.47%, running: 5.4bps), suggesting such a bond could price at a lower yield than a conventional equivalent.
