Embedded Derivatives in Sustainability-Linked Notes
研究了可持续发展挂钩债券中票息调整条款（阶梯式上调或下调）的会计处理，指出阶梯式上调条款应作为嵌入式衍生工具拆分并单独核算，并基于六家公司案例提出具体会计方法。
SYNOPSIS In 2019, a new form of environmental bonds came on the scene. In this form, the coupon rate paid to investors would be either higher or lower than the market, depending on meeting specified environmental and social targets. The adjustment would be an increase in the coupon—i.e., step-up—if the borrowing entity fails to meet the specified targets, or a step-down if the borrowing entity succeeds in meeting the target. The step-up is a penalty for failure, whereas the step-down is a reward for success. Empirically, most companies issuing sustainability-linked debt elect to use the step-up contingency. This paper shows that the step-up provision is an embedded derivative1 that should be bifurcated and accounted for separately. This paper presents cases of six companies that disclose the specific rates of the step-up provisions. This is followed by proposing an accounting procedure using data for one of the cases (Enbridge, Inc.). JEL Classifications: M31; Q56; EO1; F34.