Key Findings

  1. The 2022 global issuances for green bonds account for $487bn vs $130bn for social bonds (Source: Sustainable Global State of the Market, Climate Bonds Initiative, 2022): the green bond market is thus far more developed and integrated than the social bond market.
  2. These different levels of market development / integration are reflected in investors’ behaviors: investors are willing to give up 3 basis points for environmental benefits (i.e. when investing in green bonds) but none for social benefits. However, the level of premiums in both markets still falls far short of reflecting general concerns about the transition to a low carbon economy.
  3. There is no clear relationship between green and social bond premiums with a negative long-term correlation observed between them.
  4. Green premiums are both currency and issuer sector-dependent whereas social premiums do not follow clear trends.
  5. Investors accept lower yields for green bonds when they are presented as credible (aligned with SDGs, and having a Climate Bonds Initiative-CBI certification, external reviews and Impact report) but not necessarily for social bonds


While responsible investors consider that the environmental and social pillars are highly interconnected when implementing ESG and climate strategies, our research shows that the green and social bond markets are not integrated. Indeed, we notice that the social bond premium is not positively correlated with the greenium. On the contrary, we found a negative long-term relationship between the two premia. If we consider a dynamic analysis, we observe that the premia are highly time-varying. On average, the greenium is about -3 bps while the social bond premium is not significant and close to zero. These results indicate a behavioral difference between the primary and secondary markets. This is particularly true for social bonds that had a positive premium last year. More generally, the level of these two premia (especially the social bond premium) are a long way from reflecting the major concerns about a just transition to a low-carbon economy, and the financing dimension of net zero policies.

In this research, we also highlight the differences between green and social preferences in terms of bond pricing. First, there is a difference between green and social projects when they are financed in euros or other currencies. Clearly, noneuro projects are subject to a higher premium. We also observe that the level of the greenium is related to the credibility of the green project. In line with other academic studies, we confirm that certification, external review and the SDG dimension impact the greenium as expected by the signal theory. On the contrary, it is more difficult to understand the pricing in the social bond market since empirical relationships between the social bond premium and extra-financial factors are missing or seem counter
intuitive. Therefore, we can assume that investors consider social bonds to be more conventional instruments than green bonds.

To find more, download the full paper.


RC - Author - Ben Slimane Mohamed
Head of Fixed Income Quant Portfolio Strategy, Amundi Investment Institute
RC - Author - RONCALLI Thierry
PhD, Head of Quant Portfolio Strategy, Amundi Investment Institute
RC - Author - SEMET Raphael
Quantitative Researcher, Amundi Investment Institute