Company: INV
Filing Date: 2025-08-14
Form Type: 10-Q
Source: 0001628280-25-040379
Chunk: 38

Company: Innventure, Inc.
Filing Date: 2025-08-14
Form: 10-Q
Item: Item 1
Chunk 38
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% for the April 14, 2025 issuance and 42.6% for the May 15, 2025 issuance.As further discussed in Note 3. Investments, outstanding principal and accrued interest of $7,250 for the investment in debt securities - AFS was automatically converted into Class D preferred units in accordance with the loan agreement. Prior to the conversion, the fair value was estimated using a Black Scholes model. Post conversion, the fair value is estimated using a discounted cash flow model by discounting the contractual debt cash flows at a rate incorporating the credit risk of AeroFlexx.The initial fair value of the 2025 WTI Warrants (as defined and further described below) was determined using a Monte Carlo valuation model in which the future stock price is simulated assuming a Geometric Brownian Motion in a risk-neutral framework. The model utilizes significant assumptions including stock price, stock price volatility and credit spread. Specifically, the initial valuation as of the April 14, 2025 issuance date considered a stock price of 

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

$3.65, stock price volatility of 57.00%, and credit spread of 27.70%. The credit spread relates to estimated counterparty credit risk of Innventure being able to make payments related to the WTI Lenders’ put right, in which the WTI Lenders may exchange the 2025 WTI Warrants for a total cash payment of $3,000 after the 10-year anniversary of issuance. The risk-free interest rate was determined by reference to the U.S. Treasury yield curve.For further information on the Earnout Shares (as defined below), 2024 WTI Warrants (as defined below), and 2025 WTI Warrants, refer to Note 9. Earnout Shares and Note 10. Warrants.

Note 5. BorrowingsMaturitiesJune 30, 2025Interest RatesDecember 31, 2024Interest RatesSeries 1 promissory notes2025 - 2026$425 15%$725 12% - 15%Related party notes—— —14,000 8% - 15.99%Convertible debentures202628,172 —%— Term convertible notes20262,451 3.94%— Related party convertible notes2025 -