Simulation results | All equity(similar equity) | Research-backed obligation (RBO) | RBO with guarantee(no mezzanine) |

Number of compounds | |||

Preclinical or IND-enabling | 9 | 16 | 16 |

Research impact | |||

Number sold in phase 2 | 0.4 | 1.9 | 1.6 |

Number sold in phase 3 | 3.4 | 5.3 | 5.6 |

Liabilities | |||

Capital ($ millions) | 230 | 420 | 420 |

Senior tranche ($ millions) | — | 105 | 189 |

Junior tranche ($ millions) | — | 84 | — |

Equity tranche ($ millions) | 230 | 231 | 231 |

Guarantee ($ millions) | — | — | 100 |

Equity tranche performance | |||

Equity tranche performance | 3.25 | 5.14 | 5.32 |

Average IRR | 26.7% | N/A | N/A |

Average MIRR (0% financing) | 18.3% | 21.6% | 22.7% |

Average annualized ROE | 11.6% | 14.7% | 15.4% |

Probability (equity wiped out) | 1.3 bp | 0.52% | 0.34% |

Probability (return on equity <0) | 8.0% | 6.2% | 5.1% |

Probability (return on equity >10%) | 61.9% | 76.8% | 78.6% |

Probability (return on equity >25%) | 2.2% | 10.4% | 11.0% |

Debt tranches performance | |||

Senior tranche: default probability, expected loss (bp) | — | 0.1, <0.1 | <0.1, <0.1 |

Junior tranche: default probability, expected loss (bp) | — | 50, 15 | — |

Guarantee performance | |||

Probability (cost of guarantee >0) | — | — | 0.3% |

Expected cost, 2% discount ($) | — | — | 65,000 |

No-arbitrage cost of guarantee ($) | — | — | 110,000 |