Fair Value (FY) (Tables)
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6 Months Ended |
12 Months Ended |
Jun. 30, 2025 |
Dec. 31, 2024 |
| Fair Value Disclosures [Abstract] |
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| Fair Value Hierarchy for Assets and Liabilities Measured at Fair Value |
The following tables present the Company’s fair value hierarchy for assets and
liabilities measured at fair value on a recurring basis as of June 30, 2025 and December 31, 2024:
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Assets:
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Investment in debt security - AFS
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$—
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$—
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$9,017
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$9,017
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Liabilities:
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Earnout liability
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$—
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$—
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$4,370
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$4,370
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2024 WTI Warrant liability
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—
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—
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12,450
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12,450
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2025 WTI Warrant liability
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—
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—
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3,400
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3,400
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Private placement warrant liability
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—
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7,146
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—
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7,146
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Embedded derivative liability - Convertible Debentures
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—
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—
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1,796
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1,796
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Assets:
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Investment in debt security - AFS
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$—
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$—
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$11,187
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$11,187
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Liabilities:
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Earnout liability
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$—
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$—
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$14,752
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$14,752
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2024 WTI Warrant liability
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—
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—
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17,230
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17,230
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Private placement warrant liability
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—
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16,793
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—
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16,793
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The following tables present the Company’s fair value hierarchy for assets and
liabilities measured at fair value on a recurring basis as of December 31, 2024 (Successor) and December 31, 2023 (Predecessor):
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Assets:
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Investment in debt security - AFS
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$—
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$—
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$11,187
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$11,187
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Liabilities:
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Earnout liability
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$—
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$—
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$14,752
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$14,752
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WTI warrant liability
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17,230
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17,230
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Private placement warrant liability
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—
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16,793
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—
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16,793
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Assets:
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Exchange-traded investments at FVTNI
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$9,685
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$—
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$—
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$9,685
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Liabilities:
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Embedded derivative liability
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$—
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$—
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$1,994
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$1,994
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Related party payables
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347
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—
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—
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347
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| Changes in Fair Value of Level 3 Assets |
Changes in the estimated fair value of Level 3 financial assets and liabilities
that are measured on a recurring basis for the six months ended June 30, 2025 (Successor) and the six months ended June 30, 2024 (Predecessor), respectively, are as follows:
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Balance as of January 1, 2024
(Predecessor)
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$1,994
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$—
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$—
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$—
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$—
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$—
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Settlement
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(2,472)
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—
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—
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—
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—
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—
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Change in fair value
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478
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—
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—
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—
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—
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—
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Balance as of June 30, 2024
(Predecessor)
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$—
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$—
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$—
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$—
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$—
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$—
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Balance as of January 1, 2025
(Successor)
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$—
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$11,187
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$14,752
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$17,230
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$—
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$—
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Additions
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—
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7,278
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—
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—
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3,090
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1,774
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Settlement
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—
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(8,757)
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(873)
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—
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—
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—
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Change in fair value
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—
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(691)
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(9,509)
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(4,780)
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310
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22
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Balance as of June 30, 2025
(Successor)
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$—
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$9,017
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$4,370
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$12,450
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$3,400
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$1,796
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Changes in the estimated fair value of Level 3 financial assets and liabilities
that are measured on a recurring basis for the Successor period from October 2, 2024 through December 31, 2024, the Predecessor period from January 1, 2024 through October 1, 2024 and the Predecessor year ended December 31, 2023, respectively,
are as follows:
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Balance as of January 1, 2023 (Predecessor)
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$—
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$1,641
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$—
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$—
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$—
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Additions
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—
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1,119
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—
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—
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—
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Change in fair value
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—
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(766)
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—
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—
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—
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Balance as of December 31, 2023 (Predecessor)
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$—
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$1,994
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$—
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$—
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$—
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Additions
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—
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—
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10,110
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—
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—
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Settlement
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—
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(2,472)
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—
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—
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—
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Change in fair value
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—
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478
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62
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—
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—
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Balance as of October 1, 2024 (Predecessor)
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—
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—
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10,172
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—
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—
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Balance as of October 2, 2024 (Successor)
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—
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—
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10,172
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11,352
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—
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Additions
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54
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—
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106
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15,690
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Settlement
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(99)
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—
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—
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—
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—
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Change in fair value
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45
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—
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909
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3,400
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1,540
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Balance as of December 31, 2024 (Successor)
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$—
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$—
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$11,187
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$14,752
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$17,230
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| Changes in Fair Value of Level 3 Liabilities |
Changes in the estimated fair value of Level 3 financial assets and liabilities
that are measured on a recurring basis for the six months ended June 30, 2025 (Successor) and the six months ended June 30, 2024 (Predecessor), respectively, are as follows:
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Balance as of January 1, 2024
(Predecessor)
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$1,994
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$—
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$—
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$—
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$—
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$—
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Settlement
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(2,472)
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—
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—
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—
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—
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—
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Change in fair value
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|
478
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—
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—
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—
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—
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—
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Balance as of June 30, 2024
(Predecessor)
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$—
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$—
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$—
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$—
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$—
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$—
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Balance as of January 1, 2025
(Successor)
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$—
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$11,187
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$14,752
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$17,230
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$—
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$—
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Additions
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—
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7,278
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—
|
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—
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3,090
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1,774
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Settlement
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—
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(8,757)
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(873)
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—
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—
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—
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Change in fair value
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—
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(691)
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(9,509)
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(4,780)
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|
310
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|
22
|
|
Balance as of June 30, 2025
(Successor)
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$—
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$9,017
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$4,370
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$12,450
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$3,400
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$1,796
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|
|
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|
|
|
|
|
|
|
|
|
|
Changes in the estimated fair value of Level 3 financial assets and liabilities
that are measured on a recurring basis for the Successor period from October 2, 2024 through December 31, 2024, the Predecessor period from January 1, 2024 through October 1, 2024 and the Predecessor year ended December 31, 2023, respectively,
are as follows:
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|
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Balance as of January 1, 2023 (Predecessor)
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|
$—
|
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|
$1,641
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|
$—
|
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|
$—
|
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|
$—
|
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Additions
|
|
|
—
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|
1,119
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—
|
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|
—
|
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|
—
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Change in fair value
|
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|
—
|
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|
(766)
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—
|
|
|
—
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|
|
—
|
|
Balance as of December 31, 2023 (Predecessor)
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|
$—
|
|
|
$1,994
|
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|
$—
|
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|
$—
|
|
|
$—
|
|
Additions
|
|
|
—
|
|
|
—
|
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|
10,110
|
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|
—
|
|
|
—
|
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Settlement
|
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|
—
|
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|
(2,472)
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—
|
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|
—
|
|
|
—
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|
Change in fair value
|
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|
—
|
|
|
478
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|
62
|
|
|
—
|
|
|
—
|
|
Balance as of October 1, 2024 (Predecessor)
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|
—
|
|
|
—
|
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|
10,172
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|
—
|
|
|
—
|
|
Balance as of October 2, 2024 (Successor)
|
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|
—
|
|
|
—
|
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|
10,172
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|
11,352
|
|
|
—
|
|
Additions
|
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|
54
|
|
|
—
|
|
|
106
|
|
|
|
|
|
15,690
|
|
Settlement
|
|
|
(99)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Change in fair value
|
|
|
45
|
|
|
—
|
|
|
909
|
|
|
3,400
|
|
|
1,540
|
|
Balance as of December 31, 2024 (Successor)
|
|
|
$—
|
|
|
$—
|
|
|
$11,187
|
|
|
$14,752
|
|
|
$17,230
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Significant Unobservable Inputs Utilized to Estimate Fair Value |
The following table summarizes the significant unobservable inputs (Level 3):
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Investment in debt securities - AFS:
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|
|
Black-Scholes model
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|
|
Volatility
|
|
|
|
|
|
120%
|
|
|
|
|
|
|
|
Time to liquidity
|
|
|
|
|
|
2 years
|
|
|
|
|
|
|
|
Discount for lack of marketability
|
|
|
|
|
|
31.00%
|
|
|
|
|
|
|
|
Weighted average cost of capital
|
|
|
|
|
|
45.00%
|
|
|
|
|
|
|
|
Risk-free rate
|
|
|
|
|
|
4.23%
|
|
|
|
|
Discounted Cash Flows
|
|
|
AeroFlexx yield
|
|
|
13.31%
|
|
|
|
|
Earnout Shares:
|
|
|
|
|
Geometric Brownian Motion
|
|
|
Term
|
|
|
6.3 years
|
|
|
6.8 years
|
|
|
|
|
|
|
|
Stock price
|
|
|
$4.80
|
|
|
$13.85
|
|
|
|
|
|
|
|
Volatility
|
|
|
56.00%
|
|
|
56.00%
|
|
|
|
|
|
|
|
Risk-free rate
|
|
|
3.87%
|
|
|
4.42%
|
|
|
|
|
|
|
|
Revenue risk premium
|
|
|
28.20%
|
|
|
36.10%
|
|
|
|
|
|
|
|
Revenue volatility
|
|
|
152.00%
|
|
|
176.00%
|
|
2024 WTI Warrants:
|
|
|
|
|
Geometric Brownian Motion
|
|
|
Stock price
|
|
|
$4.80
|
|
|
$13.85
|
|
|
|
|
|
|
|
Stock price volatility
|
|
|
56.00%
|
|
|
56.00%
|
|
|
|
|
|
|
|
Credit spread
|
|
|
25.60%
|
|
|
18.80%
|
|
2025 WTI Warrants:
|
|
|
|
|
Geometric Brownian Motion
|
|
|
Stock price
|
|
|
$4.80
|
|
|
|
|
|
|
|
|
|
|
Stock price volatility
|
|
|
56.00%
|
|
|
|
|
|
|
|
|
|
|
Credit spread
|
|
|
25.60%
|
|
|
|
|
Embedded derivative liability - Convertible
Debentures:
|
|
|
|
|
Discounted Cash Flows
|
|
|
Debt Yield
|
|
|
40.60%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A summary of the significant unobservable
inputs utilized to estimate the fair value is as follows:
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|
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|
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|
Discount Rate
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|
35%
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|
35% - 36%
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Probability of Expected Outcomes
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|
|
|
|
|
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Financing
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|
100%
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|
95%
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|
Change in control
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|
—%
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|
3%
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|
Other
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|
—%
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|
2%
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Discount Rate
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|
|
71% - 87%
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|
|
71% - 88%
|
|
Probability of Expected Outcomes
|
|
|
|
|
|
|
|
Financing
|
|
|
100%
|
|
|
95%
|
|
Change in control
|
|
|
—%
|
|
|
3%
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|
Other
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|
|
—%
|
|
|
2%
|
|
|
|
|
|
|
|
|
The 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.
|
|
|
|
|
|
|
|
|
Volatility
|
|
|
120.00%
|
|
|
120.00%
|
|
Time to liquidity
|
|
|
2 years
|
|
|
2 years
|
|
Discount for lack of marketability
|
|
|
18.00%
|
|
|
31.00%
|
|
Weighted average cost of capital
|
|
|
45.00%
|
|
|
45.00%
|
|
Risk-free rate
|
|
|
3.51%
|
|
|
4.23%
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|
|
|
|
|
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|
|
The following table summarizes the inputs used in simulating the Company’s stock price for purposes of valuing the Earnout Shares:
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Term
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|
|
7 years
|
|
|
6.8 years
|
|
Stock price
|
|
|
$10.87
|
|
|
$13.85
|
|
Volatility
|
|
|
56.00%
|
|
|
56.00%
|
|
Risk-Free Rate
|
|
|
3.62%
|
|
|
4.42%
|
|
Dividend Yield
|
|
|
—%
|
|
|
—%
|
|
|
|
|
|
|
|
|
The following table summarizes the unobservable inputs used in estimating the
fair value of the Earnout Shares based on revenue for Accelsius (Milestone One):
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|
|
|
|
|
Revenue risk premium
|
|
|
6.10%
|
|
Revenue volatility
|
|
|
44.00%
|
|
|
|
|
|
The fair value of the WTI Warrants was determined using a Monte Carlo valuation
model in which the future stock price is simulated assuming a GBM in a risk-neutral framework. The model utilizes significant assumptions including stock price, stock price volatility, and credit spread. 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 WTI Warrants for a total cash payment of $15,000 after the four-year anniversary of issuance. The
risk-free interest rate was determined by reference to the U.S. Treasury yield curve.
|
|
|
|
|
|
|
|
|
Stock Price
|
|
|
$11.50
|
|
|
$13.85
|
|
Stock Price Volatility
|
|
|
56.00%
|
|
|
56.00%
|
|
Credit Spread
|
|
|
18.60%
|
|
|
18.80%
|
|
|
|
|
|
|
|
|
|