Environmental, social and corporate governance linked debt instruments
Systems and techniques for structuring and analyzing a fixed-income security are disclosed. The fixed-income security includes a coupon that provides at least a variable rate of interest payment over a time interval. The variable rate of interest payment may be based at least in part on a set of environmental, social, and governance (“ESG”) goals defined for an issuer over the time interval. A set of ESG values associated with performance of the issuer and corresponding to the set of ESG goals may be reported, independently audited, and used to determine the variable rate of interest payment provided by the security.
1. A computer-implemented method carried out under the control of one or more computer systems configured with executable instructions, comprising:
accessing a set of Environmental, Social, and Corporate Governance (ESG) indicator values associated with an issuer from a data store;
comparing the set of ESG indicator values with a set of ESG goals associated with a bond within a first time interval, the bond having a current coupon;
determining whether an entity has accomplished the set of ESG goals, wherein
based on the determination that the entity has accomplished the set of ESG goals, computing an adjusted coupon rate by automatically adjusting the current coupon rate of the bond to a first coupon rate which is less than the current coupon rate, and
based on the determination that the entity has not accomplished the set of ESG goals, computing the adjusted coupon rate by automatically adjusting the current coupon rate of the bond to a second coupon rate which exceeds the current coupon rate;
publishing the adjusted current coupon rate, wherein the publishing comprises in part generating a coupon matrix to identify positive and negative effects of the set of ESG goals.
2. The method of claim 1 , further comprising:
determining whether the entity has accomplished a second set of ESG goals associated with a second time interval, and
if the entity has accomplished the second set of ESG goals, computing the adjusted coupon rate by automatically adjusting the current coupon rate of the bond to a third coupon rate which is less than the current coupon rate; and
if the entity has not accomplished the second set of ESG goals, computing the adjusted coupon rate by automatically adjusting the current coupon rate of the bond to a fourth coupon rate which exceeds the current coupon rate,
wherein the second time interval is after the first time interval and before a maturity date of the bond.
3. The method of claim 1 , wherein the set of ESG goals comprise an environmental goal.
4. The method of claim 1 , wherein the set of ESG goals comprise a social goal.
5. The method of claim 1 , wherein the set of ESG goals comprise a governance goal.
6. A system comprising:
a data store;
a server including a processor and memory storing instructions that, in response to receiving a request for determining whether an entity has accomplished a set of ESG goals, cause the processor to:
access a set of Environmental, Social, and Corporate Governance (ESG) indicator values associated with an issuer from the data store;
compare the set of ESG indicator values with the set of ESG goals, the set of ESG goals associated with a bond within a first time interval, the bond having a current coupon;
based on the determination that the entity has accomplished the set of ESG goals, compute an adjusted coupon rate by automatically adjusting the current coupon rate of the bond to a first coupon rate which is less than the current coupon rate, and
based on the determination that the entity has not accomplished the set of ESG goals, compute the adjusted coupon rate by automatically adjusting the current coupon rate of the bond to a second coupon rate which exceeds the current coupon rate;
publish the adjusted current coupon rate, wherein the publishing comprises in part generating a coupon matrix to identify positive and negative effects of the set of ESG goals.
7. The system of claim 6 , further comprising:
determining whether the entity has accomplished a second set of ESG goals associated with a second time interval, and
if the entity has accomplished the second set of ESG goals, computing the adjusted coupon rate by automatically adjusting the current coupon rate of the bond to a third coupon rate which is less than the current coupon rate; and
if the entity has not accomplished the second set of ESG goals, computing the adjusted coupon rate by automatically adjusting the current coupon rate of the bond to a fourth coupon rate which exceeds the current coupon rate,
wherein the second time interval is after the first time interval and before a maturity date of the bond.
8. The system of claim 6 , wherein the set of ESG goals comprise an environmental goal.
9. The system of claim 6 , wherein the set of ESG goals comprise a social goal.
10. The system of claim 6 , wherein the set of ESG goals comprise a governance goal.