| Schedule of Fair Value of Assets and Liabilities Measured on a Recurring Basis |
The following tables present the level in the fair value hierarchy at which the Company’s assets and liabilities are measured on a recurring basis (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance Sheet Location | | June 30, 2025 | | Fair Value Measurements Using Inputs Considered as: | | | | | Level 1 | | Level 2 | | Level 3 | | Assets: | | | | | | | | | | | | Derivative assets - freestanding instruments (FX) | | Prepaid expenses and other current assets | | $ | 9,373 | | | $ | — | | | $ | 9,373 | | | $ | — | | | Derivative assets - capped call derivatives (2025 Notes) | | Prepaid expenses and other current assets | | 1,303 | | | — | | | — | | | 1,303 | | | Derivative assets - capped call derivatives (2029 Notes) | | Long-term derivative assets | | 21,658 | | | — | | | — | | | 21,658 | | | | | | $ | 32,334 | | | $ | — | | | $ | 9,373 | | | $ | 22,961 | | | Liabilities: | | | | | | | | | | | | Derivative liabilities - freestanding instruments (FX) | | Accrued liabilities and other | | $ | 6 | | | $ | — | | | $ | 6 | | | $ | — | | | Derivative liabilities - embedded derivative (2025 Notes) | | Accrued liabilities and other | | 1,363 | | | — | | | — | | | 1,363 | | | Derivative liabilities - embedded derivative (2029 Notes) | | Long-term derivative liabilities | | 48,093 | | | — | | | — | | | 48,093 | | | ImThera contingent consideration arrangement | | Current contingent consideration | | 48,265 | | | — | | | — | | | 48,265 | | | ImThera contingent consideration arrangement | | Long-term contingent consideration | | 39,662 | | | — | | | — | | | 39,662 | | | | | | $ | 137,389 | | | $ | — | | | $ | 6 | | | $ | 137,383 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Balance Sheet Location | | December 31, 2024 | | Fair Value Measurements Using Inputs Considered as: | | | | | Level 1 | | Level 2 | | Level 3 | | Assets | | | | | | | | | | | | Derivative assets - freestanding instruments (FX) | | Prepaid expenses and other current assets | | $ | 738 | | | $ | — | | | $ | 738 | | | $ | — | | | Derivative assets - capped call derivatives (2025 Notes) | | Prepaid expenses and other current assets | | 2,624 | | | — | | | — | | | 2,624 | | | Derivative assets - capped call derivatives (2029 Notes) | | Long-term derivative assets | | 23,735 | | | — | | | — | | | 23,735 | | | Investment with readily determinable fair value | | Investments | | 10,144 | | | 10,144 | | | — | | | — | | | | | | $ | 37,241 | | | $ | 10,144 | | | $ | 738 | | | $ | 26,359 | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | Derivative liabilities - embedded derivative (2025 Notes) | | Accrued liabilities and other | | $ | 2,915 | | | $ | — | | | $ | — | | | $ | 2,915 | | | Derivative liabilities - embedded derivative (2029 Notes) | | Long-term derivative liabilities | | 51,819 | | | — | | | — | | | 51,819 | | | ImThera contingent consideration arrangement | | Long-term contingent consideration | | 84,218 | | | — | | | — | | | 84,218 | | | | | | $ | 138,952 | | | $ | — | | | $ | — | | | $ | 138,952 | |
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| Schedule of Recurring Fair Value Measurements Using Significant Unobservable Inputs |
The following tables present reconciliations of recurring fair value measurements that use significant unobservable inputs (Level 3) (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended June 30, 2025 | | | Capped Call Derivative Assets
(2025 Notes) | | Capped Call Derivative Assets
(2029 Notes) | | | | Embedded Derivative Liability
(2025 Notes) | | Embedded Derivative Liability
(2029 Notes) | | ImThera Contingent Consideration Liability | | March 31, 2025 | | $ | 805 | | | $ | 17,190 | | | | | $ | 874 | | | $ | 37,226 | | | $ | 85,140 | | | Changes in fair value | | 498 | | | 4,468 | | | | | 489 | | | 10,867 | | | 2,787 | | | June 30, 2025 | | $ | 1,303 | | | $ | 21,658 | | | | | $ | 1,363 | | | $ | 48,093 | | | $ | 87,927 | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended June 30, 2024 | | | Capped Call Derivative Assets
(2025 Notes) | | Capped Call Derivative Assets
(2029 Notes) | | Convertible Notes Receivable | | Embedded Derivative Liability
(2025 Notes) | | Embedded Derivative Liability
(2029 Notes) | | Contingent Consideration Liability | | March 31, 2024 | | $ | 8,010 | | | $ | 33,607 | | | $ | 269 | | | $ | 10,632 | | | $ | 94,288 | | | $ | 80,769 | | | Changes in fair value | | (571) | | | (1,493) | | | 6 | | | (615) | | | 1,104 | | | 405 | | | June 30, 2024 | | $ | 7,439 | | | $ | 32,114 | | | $ | 275 | | | $ | 10,017 | | | $ | 95,392 | | | $ | 81,174 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Six Months Ended June 30, 2025 | | | Capped Call Derivative Assets
(2025 Notes) | | Capped Call Derivative Assets
(2029 Notes) | | Embedded Derivative Liability
(2025 Notes) | | Embedded Derivative Liability
(2029 Notes) | | ImThera Contingent Consideration Liability | | December 31, 2024 | | $ | 2,624 | | | $ | 23,735 | | | $ | 2,915 | | | $ | 51,819 | | | $ | 84,218 | | | Changes in fair value | | (1,321) | | | (2,077) | | | (1,552) | | | (3,726) | | | 3,709 | | | June 30, 2025 | | $ | 1,303 | | | $ | 21,658 | | | $ | 1,363 | | | $ | 48,093 | | | $ | 87,927 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Six Months Ended June 30, 2024 | | | Capped Call Derivative Assets
(2025 Notes) | | Capped Call Derivative Assets
(2029 Notes) | | Convertible Notes Receivable | | Embedded Derivative Liability
(2025 Notes) | | Embedded Derivative Liability
(2029 Notes) | | Contingent Consideration Liability Arrangements | December 31, 2023 | | $ | 38,496 | | | $ | — | | | $ | 275 | | | $ | 45,569 | | | $ | — | | | $ | 94,652 | | | Additions | | — | | | 31,637 | | | — | | | — | | | 87,457 | | | — | | | Cash receipt | | (22,524) | | | — | | | — | | | — | | | — | | | — | | | Payment | | — | | | — | | | — | | | (36,915) | | | — | | | (13,750) | | | Changes in fair value | | (8,533) | | | 477 | | | — | | | 1,363 | | | 7,935 | | | 272 | | | June 30, 2024 | | $ | 7,439 | | | $ | 32,114 | | | $ | 275 | | | $ | 10,017 | | | $ | 95,392 | | | $ | 81,174 | |
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| Schedule of Stock Price Volatility, Fair Value, and Hypothetical Changes |
The following table presents the stock price volatility utilized in determining the fair value of LivaNova’s capped call derivative assets and embedded derivative liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | Stock Price Volatility (1) | | Capped Call Derivative Assets
(2025 Notes) | | Capped Call Derivative Assets
(2029 Notes) | | Embedded Derivative Liability
(2025 Notes) | | Embedded Derivative Liability
(2029 Notes) | | June 30, 2025 | | 44 | % | | 39 | % | | 44 | % | | 39 | % | | December 31, 2024 | | 37 | % | | 35 | % | | 37 | % | | 35 | % |
(1) The embedded and capped call derivatives are classified as Level 3 because the Company uses historical volatility and implied volatility from actual options traded to determine expected stock price volatility, an unobservable input that is significant to the valuation. In general, an increase in LivaNova’s stock price or stock price volatility would increase the fair value of the embedded and capped call derivatives, which would result in an increase in net expense. As the remaining time to the expiration of the derivatives decreases, the fair value of the derivatives decreases. The future impact of the derivatives on net income (loss) depends on how significant inputs such as stock price, stock price volatility, and time to the expiration of the derivatives change in relation to other inputs.
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