Company: INV
Filing Date: 2025-08-14
Form Type: 10-Q
Source: 0001628280-25-040379
Chunk: 37

Company: Innventure, Inc.
Filing Date: 2025-08-14
Form: 10-Q
Item: Item 1
Chunk 37
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or) nor for the three and six months ended June 30, 2024 (Predecessor). 

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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 ValuationTechniquesUnobservableInputsJune 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 yield13.31 %Earnout Shares:Geometric Brownian MotionTerm6.3 years6.8 yearsStock price$4.80 $13.85 Volatility56.00 %56.00 %Risk-free rate3.87 %4.42 %Revenue risk premium28.20 %36.10 %Revenue volatility152.00 %176.00 %2024 WTI Warrants:Geometric Brownian MotionStock price$4.80 $13.85 Stock price volatility56.00 %56.00 %Credit spread25.60 %18.80 %2025 WTI Warrants:Geometric Brownian MotionStock price$4.80 Stock price volatility56.00 %Credit spread25.60 %Embedded derivative liability - Convertible Debentures:Discounted Cash FlowsDebt Yield40.60 %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 liability 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 of the embedded derivative was determined using a discounted cash flow model as of April 14, 2025 and May 15, 2025 which is reflective of the dates of the Convertible Debenture issuances. The model uses a significant assumption of a debt yield of 44.5