Nordea har analyseret grønne obligationer og finder, at grønne obligationer har været mere robuste end traditionelle obligationer i krisetider. Nordea har sammenlignet ICE BofA Green Bond Index med et syntetisk ikke-grønt indeks og konkluderer at det indikerer en relativ bedre performanve af grønne obligationer i de første uger af krisen.
Nordea skriver:
The current crisis is an apparent risk-off period, giving us an opportunity to analyse the behaviour of green versus non-green bonds. As outlined above, an analysis of large passive indices is suitable for this crisis, due to the maturity of the green bond market.
We compare the ICE BofA Green Bond Index to a synthetic non-green index (see footnote to Figure 1 for clarification). As a gauge for risk-off sentiment during this period, we include the iTraxx Main index, a basket of credit default swaps of 125 European investment grade issuers, for reference. During the corona crisis, the value of the iTraxx index peaked at close to 140bps between February and mid-March, compared to a value of around 40bps prior to the crisis.
As shown below, there is a sharp dip in the difference between green and non-green spreads as the risk sentiment spikes, indicating a relative outperformance of green bonds during the initial weeks of the crisis. Compared to the initial levels before the onset of the crisis, the relative outperformance was about 35bps at the peak.
We find further support for green bond outperformance when analysing the previous significant risk-off period, Q1 2016. The risk drivers for that period were a combination of diverse factors, including the Crimean crisis, a significant drop in oil prices and a Chinese stock market crash. This was the last time before the current crisis that iTraxx Main has crossed +100bps. However, a comparison of green and non-green, based on indices, is not feasible, as illustrated by the outline of the different phases of the green bond market (see above).
An alternative approach for analysing price differences in this period is to compare green and traditional bonds issued by the same entity. Composing a selective peer-based index of EUR corporate green and non-green bonds with a similar sector, rating and tenor, allows for a fairer price comparison. This analysis shows that green bonds outperformed non-green bonds, on a relative basis, during the risk-off period Q1 2016, by about 15bps.
Reasons for green bond outperformance in risk-off periods
As indicated in the secondary spread analysis in Figure 1, green bonds do not currently seem to price tighter than non-green bonds (that is, the spread differential is negligibly close to zero) under ordinary market conditions. However, in periods of significant risk-off sentiment, a comparison of secondary spread developments indicates that green bonds offer greater resilience compared to non-green bonds. There are several potential reasons for this.
First, issuers of green bonds have historically been large, stable and forward-looking entities, with established governance structures. These entities are possibly better equipped to withstand a crisis, regardless of their “greenness.” Secondly, green bonds are rarely issued by oil companies, which were the ones hit hard in both of the last two crises. Thirdly, green bond investors have historically included a large share of long-term investors, such as pension funds and insurance companies, which are unlikely to move from green investments in a crisis (they are sometimes referred to as “hold-to-maturity” investors). In addition, dedicated green bond funds provide additional demand that, all-things-equal, should provide a better cushion for sell-offs.
The combination of long-term and stable issuers, the automatic exclusion of non-green companies hit hardest in past crises, as well the characteristics of green investors, could help explain why green bonds have fared better than traditional bonds during major risk-off periods.
https://insights.nordea.com/en/sustainable-finance/green-bond-performance/
