v3.26.1
Fair Value
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Fair Value
Note 4. Fair Value
The following tables present the Company’s fair value hierarchy for assets and liabilities measured at fair value on a recurring basis (in thousands):
June 30, 2026Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)		Significant Other
Observable Inputs
(Level 2)		Significant
Unobservable
Inputs
(Level 3)		Total
Assets:(in thousands)
Exchange-traded investments at fair value$106 $— $— $106 
Investment in debt security - AFS$— $— $10,049 $10,049 
Liabilities:
Earnout liability$— $— $4,790 $4,790 
2024 WTI Warrant liability$— $— $15,510 $15,510 
2025 WTI Warrant liability$— $— $3,240 $3,240 
Private placement warrant liability$— $9,933 $— $9,933 
December 31, 2025Quoted Prices in Active Markets for Identical Assets
(Level 1)		Significant Other Observable Inputs
(Level 2)		Significant Unobservable Inputs
(Level 3)		Total
Assets:(in thousands)
Investment in debt security - AFS$— $— $9,246 $9,246 
Liabilities:
Earnout liability$— $— $3,890 $3,890 
2024 WTI Warrant liability$— $— $13,080 $13,080 
2025 WTI Warrant liability$— $— $3,230 $3,230 
Private placement warrant liability$— $11,148 $— $11,148 
Gains and losses for such assets and liabilities categorized within the Level 3 table set forth may include changes in fair value that are attributable to both observable inputs (Levels 1 and 2) and unobservable inputs (Level 3).
Changes in the estimated fair value of Level 3 financial assets and liabilities that are measured on a recurring basis are as follows (in thousands):
Investment in debt securities - AFSEarnout liability2024 WTI Warrant liability2025 WTI Warrant liabilityEmbedded derivative liability (asset) - Convertible Debentures
(in thousands)
Balance as of January 1, 2025
$11,187 $14,752 $17,230 $— $— 
Additions7,278 — — 3,090 1,774 
Settlement(8,757)(873)— — — 
Change in fair value(691)(9,509)(4,780)310 22 
Balance as of June 30, 2025
$9,017 $4,370 $12,450 $3,400 $1,796 
Balance as of January 1, 2026
$9,246 $3,890 $13,080 $3,230 $— 
Additions179 — — — — 
Change in fair value624 900 2,430 10 — 
Balance as of June 30, 2026
$10,049 $4,790 $15,510 $3,240 $— 
There were no transfers in or out of levels during the three and six months ended June 30, 2026 and 2025.
The following table summarizes the significant unobservable inputs (Level 3):
Principal Valuation
Techniques
Unobservable
Inputs
June 30, 2026December 31, 2025
Investment in debt securities - AFS:
Discounted Cash Flows
AeroFlexx yield16.33 %17.01 %
Earnout Shares:
Geometric Brownian Motion
Term5.3 years5.8 years
Stock price$5.07 $4.18 
Volatility60.00 %60.00 %
Risk-free rate4.16 %3.77 %
Revenue risk premium
26.20 
%
27.80 %
Revenue volatility
137.80 
%
157.30 %
2024 WTI Warrants:
Geometric Brownian MotionStock price
$
5.07 
$
4.18 
Stock price volatility
60.00 
%
60.00 
%
Credit spread
26.50 
%
26.00 
%
2025 WTI Warrants:
Geometric Brownian MotionStock price
$
5.07 
$
4.18 
Stock price volatility
60.00 
%
60.00 
%
Credit spread
26.50 
%
26.00 
%
Outstanding principal and accrued interest of $7.3 million for the investment in debt securities - AFS was automatically converted into Class D 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 $3.65, stock price volatility of 57.00%, and credit spread of 27.70%.
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.
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 derivatives 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 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% for the April 14, 2025 issuance and 42.6% for the May 15, 2025 issuance.