Bond Designer & Monte-Carlo Pricing

Configure the Climate-Contingent Bond structure and re-price under the joint climate-rate-credit model. The vanilla benchmark removes the climate trigger.

Bond structure

Notional (USD)

100m

Maturity (years)

Base coupon c₀

8.75%

Trigger K (z-score)

-0.85

Step-down α

60%

Recovery R

40%

Credit (Jarrow-Turnbull)

Baseline intensity λ₀

0.083

Climate sensitivity β

0.02

Monte-Carlo controls

Paths

3000

Seed

Pricing result

CCB price (per 100)77.141

MC 95% half-width± 0.903

Trigger probability92.2%

Default probability44.57%

Avg realised coupon7.49%

Expected loss (frac)26.74%

Vanilla benchmark82.423

CCB − Vanilla spread-5.282

Negative spread = the climate trigger transfers value to the issuer (debt-service relief in stress states).

Sample climate paths (with trigger)

Trigger months per sample path