Mezzanine debt for infrastructure projects has a great attraction to many types of investors. This research values the conversion option of a lender of a sustainable infrastructure project using real options analysis. The case is a transport infrastructure in Medellin, Colombia called ¿Tunel del Oriente¿ (Eastern Tunnel), considering that it meets sustainable criteria to allow access to credit through a sustainable bond. The valuation of the right to exercise the conversion option employs the Real Options Analysis with the binomial approach under the concept of a call option. The underlying assets are based on revenues from the forecast of estimated demand and the alternative of sales carbon dioxide saved as the sustainable factor. The results indicated that the Financial Capture Value (FCV), with 1 as conversion ratio, it could be up to 39.10% of the investment, when the lender makes a decision to become a shareholder. Also, FCV can also increase by 6% more if the project sells TonCO2