Fair Value

3 Months Ended

Mar. 31, 2025

Fair Value Disclosures [Abstract]

Fair Value

Note 4. Fair Value

Fair Value Hierarchy

The following tables present the Company’s fair value hierarchy for assets and liabilities measured at fair value on a recurring basis as of March 31, 2025 and December 31, 2024:

March 31, 2025	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Assets:
Investment in debt security - AFS	$	—	$	—	$	8,353	$	8,353
Liabilities:
Earnout liability	$	—	$	—	$	7,470	$	7,470
WTI warrant liability					13,350		13,350
Private placement warrant liability	—		10,653		—		10,653

December 31, 2024	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs( Level 3)		Total
Assets:
Investment in debt security - AFS	$	—	$	—	$	11,187	$	11,187
Liabilities:
Earnout liability	—		—		14,752		14,752
WTI warrant liability	—		—		17,230		17,230
Private placement warrant liability	$	—	$	16,793	$	—	$	16,793

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 for the three months ended March 31, 2025 (Successor) and the three months ended March 31, 2024 (Predecessor), respectively, are as follows:

	Embedded Derivative Liability		Investment in debt securities - AFS		Earnout Liability		WTI Warrant Liability
Balance as of January 1, 2024 (Predecessor)	$	1,994	$	—	$	—	$	—
Settlement	(2,472)		—		—		—
Change in fair value	478		—		—		—
Balance as of March 31, 2024 (Predecessor)	$	—	$	—	$	—	$	—
Balance as of January 1, 2025 (Successor)	$	—	$	11,187	$	14,752	$	17,230
Additions	—		6,803				—
Settlement	—		(8,757)		(873)		—
Change in fair value	—		(880)		(6,409)		(3,880)
Balance as of March 31, 2025 (Successor)	$	—	$	8,353	$	7,470	$	13,350

There were no transfers in or out of levels during the three months ended March 31, 2025 (Successor) nor for the three months ended March 31, 2024 (Predecessor).

The following table summarizes the significant unobservable inputs (Level 3):

	Principal Valuation Techniques	Unobservable Inputs	March 31, 2025			December 31, 2024
Investment in debt securities - AFS:
	Black-Scholes model	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	13.88		%
Earnout Shares:
	Geometric Brownian Motion	Term	6.5 years			6.8 years
		Stock price	$	7.71		$	13.85
		Volatility	57.00		%	56.00		%
		Risk-free rate	4.02		%	4.42		%
		Dividend yield	—		%	—		%
		Revenue risk premium	30.30		%	36.10		%
		Revenue volatility	157.50		%	176.00		%
WTI Warrants:
	Geometric Brownian Motion	Stock price	$	7.71		$	13.85
		Stock price volatility	57.00		%	56.00		%
		Credit spread	22.20		%	18.80		%

As further discussed in Note 3. Investments, an 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.

For further information on the Earnout Shares and WTI Warrants, refer to Note 9. Earnout Shares and Note 10. Warrants, respectively.