Blended Finance Waterfall: Climate Fund Capital Stack

Climate funds rarely rely on a single class of capital — they stack public first-loss money, concessional mezzanine finance and private senior capital into one portfolio so that private investors take on climate risk they'd otherwise avoid. This simulator models a 30-project climate portfolio with an independent binomial default process, cascades the resulting losses up a three-tranche capital stack exactly the way a real waterfall structure does, and reports the expected loss per tranche, the probability the private tranche gets breached, and the catalytic ratio — how many dollars of private capital one dollar of public first-loss capital mobilizes. Tune the tranche sizes and the underlying project risk, then simulate individual years to see exactly which projects default and how far the loss climbs before it reaches private capital.