Company: INV
Filing Date: 2025-04-14
Form Type: 10-K
Source: 0001628280-25-017614
Chunk: 172

Company: Innventure, Inc.
Filing Date: 2025-04-14
Form: 10-K
Item: Item 8
Chunk 172
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 period. There were no outstanding Advance Notices as of  December 31, 2024.Derivative LiabilitiesEmbedded derivative liabilities contained within the 2025 Notes (as defined and further described in Note 5. Borrowings) are stated at fair value. Fair value is determined utilizing discounted cash flows, using unobservable market data inputs, and an option pricing model based on a probability-weighted expected outcome with respect to a 

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Table of ContentsInnventure, Inc. and SubsidiariesNotes to Consolidated Financial Statements(in thousands, except share or per share data)

financing or a change of control. The derivatives associated with the 2025 Notes were settled in March 2024 due to conversion of the 2025 Notes in a qualified financing. A summary of the significant unobservable inputs utilized to estimate the fair value is as follows: Embedded derivative within 2025 Note issued August 18, 2022 with a principal balance of $4,000SettlementDecember 31, 2023Discount Rate 35 %35% - 36%Probability of Expected OutcomesFinancing100 %95 %Change in control— %3 %Other— %2 %Embedded derivative within 2025 Notes issued June 7 & July 3, 2023 with an aggregate principal balance of $2,000Discount Rate 71% - 87%71% - 88%Probability of Expected OutcomesFinancing100 %95 %Change in control— %3 %Other— %2 %Significant increases or decreases to any of these inputs would result in a significantly higher or lower liability. Investment in debt securities - AFSThe investment in debt securities is stated at fair value as described in Note 3. Investments. The terms of the securities are such that they are highly likely to convert into Class D Units of AeroFlexx. The fair value of the debt securities is estimated on an as-converted basis using a Black-Scholes model incorporating breakpoints upon which each tranche of AeroFlexx equity participates in distributions. October 2, 2024December 31, 2024Volatility120.00 %120.00 %Time to liquidity2 years2 yearsDiscount for lack of marketability18.00 %31.00 %Weighted average cost of capital45.00 %45.00 %Risk-free rate3.51 %4.23 %Earnout SharesUpon Closing