Integrating Nature into Sovereign Debt Markets: Towards a New Sovereign Debt Nature Assessment Model
Thursday 13 November 2025
We’re proud to publish the new Finance for Biodiversity (FfB) Foundation report, Integrating Nature into Sovereign Debt Markets: Towards a New Sovereign Debt Nature Assessment Model, offering the first practical guidance for integrating nature-related risks and opportunities into sovereign debt analysis, pricing, and policy engagement.
Sovereign debt markets, valued at around USD 100 trillion and representing roughly one-third of global financial flows, yet rarely take nature into account in debt assessments – despite half of global GDP directly depending on nature and its services. The new model aims to close this critical gap by embedding nature at the heart of sovereign debt frameworks used by investors, issuers, and policymakers.
“While existing nature assessment models focus primarily on corporate assets, there remains a gap in assessing sovereign assets on nature,” said Gaëlle Blanchard, ESG Analyst – Sovereigns & Supranationals, Amundi and Chair of the Sovereign Debt Focus Group. “This report will bridge that gap and drive progress at the intersection of nature and sovereign debt.”
Developed by the FfB Foundation’s Sovereign Debt Working Group, led by Amundi and comprising 15 member institutions, the Sovereign Debt Nature Assessment Model aligns with the Kunming-Montreal Global Biodiversity Framework (GBF), is inspired by the OECD’s State-Pressure-Response Framework, and supports Taskforce on Nature-related Financial Disclosures (TNFD)-aligned analysis.
Download the report below.
A three-pillar model for integrating nature into sovereign debt
The new model captures both financial materiality (how nature loss affects economies and debt) and impact materiality (how sovereigns pressure or support nature). It is designed for financial institutions, sovereign issuers, development finance institutions, policymakers, and civil society.
The Assessment Model is structured around three pillars, comprising 42 characteristics and multiple indicators:
- State of Natural Capital – assessing the extent, condition, and significance of ecosystems and identifying opportunities for protection and restoration.
- Socio-economic Activities – examining exposure to nature-related risks through economic sectors with high dependencies and impacts, and the pressures arising from human activity.
- Governance Response – evaluating national and international commitments, regulatory measures to address drivers of nature loss, and the resources allocated to implementation.
“Sovereign debt is one of the largest asset classes in global markets, and the way investors assess and price it has far-reaching implications for nature and economic resilience,” said Anita de Horde, Executive Director of the Finance for Biodiversity Foundation. “This new framework is a key step towards recognising nature as a core element of sovereign risk.”
From assessment to engagement
Alongside the Assessment Model, the FfB Foundation’s Public Policy Advocacy Working Group will launch a Policy Engagement Initiative to help sovereign debt investors engage with policymakers on integrating nature into debt markets. This initiative will create new opportunities for dialogue between the private finance sector and policymakers on the implementation of the GBF.
Invitation for external consultation
The report and Assessment Model are now open for external consultation until 31 January 2026. Feedback is invited from financial institutions, sovereign issuers, supervisors and central banks, policymakers, development finance institutions, NGOs, academics, data providers, and members of civil society.