We find that while Uruguay’s emissions intensity data shows moderate progress, the second KPI — native forest cover — is too infrequently reported to enable timely investor assessments. Despite our model estimating a decrease in the option value from 7.9bps to 5.0bps, spreads remain flat, suggesting the market may see the step-up and step-down outcomes as evenly balanced.
Still, this SLB offers important lessons for issuers and investors alike. The structure has high materiality, but information delays may be muting market reaction. For sovereigns looking to align climate targets with investor incentives, Uruguay’s SLB is both a cautionary tale and a beacon of possibility.
