Sustainable investing has expanded rapidly worldwide, yet the magnitude—and even the existence—of a sustainability risk premium (SRP) remains contested. We develop a pricing framework in which a sustainability-contingent claim is priced primarily for its hedging value against sustainability underperformance, and its return therefore identifies the market price of sustainability risk, with a magnitude that increases in the fraction of sustainable capital participating in the market of this type of claims. We use sustainability-linked bonds (SLBs) as an empirical proxy for this contingent claim and estimate the market price of sustainability risk in the SLB market. We find that, at the current participation rate of sustainable capital in this market, investors are willing to forgo roughly 0.55% of expected return at the bond level to insure against downside sustainability outcomes—the direct evidence of SRP. In contrast, our framework clarifies why tests based on traditional assets yield mixed results: sustainable investors represent only a small share of the broad markets, and sustainability exposures enter the expected return through offsetting risk and non-pecuniary preference channels, resulting in a negligible premium.