Company: INV
Filing Date: 2025-11-13
Form Type: 10-Q
Source: 0001628280-25-052035
Chunk: 31

Company: Innventure, Inc.
Filing Date: 2025-11-13
Form: 10-Q
Item: Item 1
Chunk 31
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30, 2024 (Predecessor). 

19

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

The following table summarizes the significant unobservable inputs (Level 3):Principal ValuationTechniquesUnobservableInputsSeptember 30, 2025December 31, 2024Investment in debt securities - AFS:Black-Scholes ModelVolatility120 %Time to liquidity2 yearsDiscount for lack of marketability31.00 %Weighted average cost of capital45.00 %Risk-free rate4.23 %Discounted Cash FlowsAeroFlexx yield11.17 %Earnout Shares:Geometric Brownian MotionTerm6.0 years6.8 yearsStock price$5.79 $13.85 Volatility58.00 %56.00 %Risk-free rate3.80 %4.42 %Revenue risk premium26.20 %36.10 %Revenue volatility148.00 %176.00 %2024 WTI Warrants:Geometric Brownian MotionStock price$5.79 $13.85 Stock price volatility59.00 %56.00 %Credit spread27.90 %18.80 %2025 WTI Warrants:Geometric Brownian MotionStock price$5.79 Stock price volatility58.00 %Credit spread27.90 %Embedded derivative asset - Convertible Debentures:Binomial Lattice ModelStock price$5.79 Stock price volatility60.00 %Debt yield38.70 %Debt spread35.00 %Embedded derivative liability - August 2025 Notes:Black-Scholes ModelRisk-free rate3.66 %Volatility70.00 %Time to liquidity4.25 yearsAccelsius Series B-1 issuance price$36.49 As further discussed and defined in Note 5. Borrowings, the Company issued Convertible Debentures (as defined below) which contain certain features which qualify as embedded derivates requiring bifurcation. The fair value of the embedded derivative is determined utilizing a “with and without” method, in which the fair value is calculated as the difference in the fair value of the entire hybrid instrument and the fair value of the instrument excluding the bifurcated derivative features. The initial fair value