Illustrative sizing · $5mm net to Project
Unit Economics & Scenarios
Every figure below traces to the same arithmetic: $100 lent becomes 79.5 of Treasury collateral, 8.57 of prefunded tax and fees, and 11.93 of growth capital on top of an existing 100 of enterprise value.
Per-$100 walkthrough
Step 1
Lender lends $100
79.5 UST STRIPS (→ 100 at yr 5) · 8.57 tax prefund + fees · 11.93 capital to the Project, advanced in two equal tranches (5.97 at closing, 5.97 into milestone escrow released against agreed KPIs at a test date set at closing)Step 2
Project capital
existing 100 + new 11.93 = working base 111.93Step 3
Warrant — 20% of the fully diluted capitalisation
20% of 111.93 = 22.39 · denominator 100 + 22.39 = 122.39 · 22.39 / 122.39 = 18.29% of the enterpriseStep 4
Unit allocation for tax (§1273(c)(2)), by appraisal
warrant 4.77 · founding participation 3.22 · note issue price 92.01 · OID 7.99, accreting back to 100
Step 3 is the warrant's share of the enterprise; step 4 is how the purchase price is allocated for tax. They are different measures.
Three scenarios per $100
Enterprise value compounds off the 111.93 working base for five years.
Project CAGR
50%
111.93 capital → 7.6× → 853.0
- Enterprise value yr 5
- 853.0
- Note principal outstanding
- 100.0
- LTV
- 11.72%
- Lender equity — 20% × (EV − 100)
- 150.6
- + Principal repaid at maturity
- 100.0
Principal claimable any time · par at maturity.
Project CAGR
100%
111.93 capital → 32.0× → 3,594.9
- Enterprise value yr 5
- 3,594.9
- Note principal outstanding
- 100.0
- LTV
- 2.78%
- Lender equity — 20% × (EV − 100)
- 699.0
- + Principal repaid at maturity
- 100.0
Principal claimable any time · par at maturity.
Project CAGR
150%
111.93 capital → 97.7× → 10,971.9
- Enterprise value yr 5
- 10,971.9
- Note principal outstanding
- 100.0
- LTV
- 0.91%
- Lender equity — 20% × (EV − 100)
- 2,174.4
- + Principal repaid at maturity
- 100.0
Principal claimable any time · par at maturity.
Illustrative example only; all figures are hypothetical. Not an offer, a solicitation, or tax, legal, insurance, or investment advice. Cash-neutrality assumes a 21% federal corporate rate; state tax, other rates, and AMT/BEAT/CAMT change the required coupon.
Returns shown describe the investment unit itself and are before any advisory fee charged by an investor's own adviser, which is paid by the investor outside the structure.
Interactive calculator
Move the CAGR to see the Lender's total per $100. Below refinance capacity the panel switches to the floor state — MOIC never prints below 1.00x.
- Capital base
- 111.93
- Note
- 100
- Warrant
- 20%
Total to Lender per $100 lent across the CAGR range; the marker is the current setting.
Results per $100 lent
Enterprise value yr 5
3,581.8
LTV
2.792%
Lender equity (20%)
696.4
Total to Lender
796.4
MOIC
7.96x
IRR
51.43%
Returns shown describe the investment unit itself and are before any advisory fee charged by an investor's own adviser, which is paid by the investor outside the structure.
Per $100 lent. Illustrative only — see the sizing-specific scenario table for modeled outcomes.
Scenario table — $5mm net to Project
Modeled outcomes at the selected sizing. FAIL is the floor case, labelled FAIL.
| Measure | FAIL | LOW | BASE | HIGH |
|---|---|---|---|---|
| Project CAGR | -9.7% | 50% | 100% | 150% |
| Enterprise value yr 5 | $30.02mm | $379.69mm | $1.60bn | $4.88bn |
| Refinance of the bullet | Not available | Refinanced or repaid in full | Refinanced or repaid in full | Refinanced or repaid in full |
| Equity value yr 5 (Project's 40% cell option applied) | $0 | $354.53mm | $1.57bn | $4.86bn |
| Lender proceeds | $42.81mm | $117.49mm | $361.63mm | $1.02bn |
| Principal source | Treasury claim (auto-filed) | Project repayment | Project repayment | Project repayment |
| 20% warrant | $0 | $70.91mm | $314.97mm | $971.53mm |
| 9% cell participation (in STRIPS; at delivery value where the put trips) | Forfeited | $3.77mm | $3.62mm | $3.45mm |
| Unearned premium returned on early distribution | — | — | $228,648 | $461,131 |
| MOIC | 1.00x after-tax (1.02x gross) | 2.80x | 8.63x | 24.29x |
| IRR | 0.425% | 22.996% | 55.969% | 93.612% |
| LTV | 139.65% | 11.04% | 2.62% | 0.86% |
| Success put triggered (EV ≥ 20x note face) | Not reached | Not reached | Yr 4.1 | Yr 3.1 |
| Cell interests (Project / founding investors) | Forfeited | Vest | Vest | Vest |
Illustrative example only; all figures are hypothetical. Not an offer, a solicitation, or tax, legal, insurance, or investment advice. Cash-neutrality assumes a 21% federal corporate rate; state tax, other rates, and AMT/BEAT/CAMT change the required coupon.
Where the success put trips, the Lender receives at the put date its principal, the unused coupon reserve, its cell participation in STRIPS and the unearned premium on the distributed STRIPS, while the Warrant runs to maturity.
Returns shown describe the investment unit itself and are before any advisory fee charged by an investor's own adviser, which is paid by the investor outside the structure.
Lender interest schedule
Constant-yield accrual at 2.1264% with a stated coupon of 0.425% ($178,101/yr).
| Yr | Adjusted issue price | QSI cash | OID accrual | Total interest | Tax @ 21% | Net cash |
|---|---|---|---|---|---|---|
| 1 | $38,573,414 | $178,101 | $642,106 | $820,207 | $172,243 | $5,858 |
| 2 | $39,215,520 | $178,101 | $655,760 | $833,861 | $175,111 | $2,990 |
| 3 | $39,871,280 | $178,101 | $669,703 | $847,804 | $178,039 | $62 |
| 4 | $40,540,983 | $178,101 | $683,944 | $862,045 | $181,029 | -$2,928 |
| 5 | $41,224,927 | $178,101 | $698,487 | $876,588 | $184,083 | -$5,982 |
| Total | $41,923,414 | $890,505 | $3,350,000 | $4,240,505 | $890,505 | $0 |
Illustrative example only; all figures are hypothetical. Not an offer, a solicitation, or tax, legal, insurance, or investment advice. Cash-neutrality assumes a 21% federal corporate rate; state tax, other rates, and AMT/BEAT/CAMT change the required coupon.
Note issue price $38,573,414 = face $41,923,414 less the appraised allocation to the Warrant ($2,000,000) and the founding participation ($1,350,000). The difference, $3,350,000, is the original issue discount that accretes to face over five years in the schedule above. It exceeds the de minimis threshold of $524,043 (0.25% of face for each of the five years), so it is reported as OID.
Why this closes exactly
How it quotes
The paper is quoted against a maturity-matched Treasury comparison.
Option 1
UST 4.125% 7/31/31
- Size · bid–ask
- $50mm x $50mm · 98.773 x 98.781
- Mark yield
- 4.401% x 4.401%
- Mid
- 98.764 (4.4025%)
Option 2
PROJECT 0.425% 7/31/31
- Size · bid–ask
- $50mm x $50mm · 79.50 x 862.59Bid 79.50 = Treasury floor at closing (STRIPS cost per $100 of face). Ask = BASE-case value per $100 at year 5.
- Mark yield
- 4.695% x −55.969%Bid yield = STRIPS accretion to par; ask yield = BASE-case IRR, sign reversed.
- Mid
- 100.000 (0.425% current)
- FAIL-case price
- 102.12 gross (≈100.00 after tax)
Illustrative example only; all figures are hypothetical. Not an offer, a solicitation, or tax, legal, insurance, or investment advice. Cash-neutrality assumes a 21% federal corporate rate; state tax, other rates, and AMT/BEAT/CAMT change the required coupon.