The research identifies the main features of ESG bonds yield assessment in the Russian stock market, which act as predetermining factors when investors choose appropriate securities. Despite external turbulent conditions, ESG financing in the Russian Federation continues to develop, although there was a slight slowdown in 2022. However, the interest in ESG finance and demand for ESG bonds is quite high. One of the main attractive factors is the greenium characteristic, along with other features of ESG bond yield valuation. That is why we pay special attention to the greenium effect. The research used data from the Climate Bond Initiative, the World Bank, the Cbonds information and analytical agency, and the Moscow Exchange (Sustainable Development Sector), which served as the statistical basis for regression analysis using the least squares method. The research sample included almost 40 issues of Russian ESG bonds. The analysis showed that the dynamics of the Russian and global ESG bond markets have been adjusted. The analysis also showed the beginning of the emergence of specificity in the Russian ESG bond market in recent years, associated with external and internal factors.