v3.26.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements

9. Fair Value Measurements

The following tables present the fair value hierarchy for assets and liabilities that are measured at fair value at issuance date and on a recurring basis and indicate the level within the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value (in thousands):

 

Fair Value Measurement as of December 31, 2025

 

 

Total
Carrying
Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

3,618

 

 

$

3,618

 

 

$

—

 

 

$

—

 

Total assets

 

$

3,618

 

 

$

3,618

 

 

$

—

 

 

$

—

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Legacy Allurion Common Stock Warrant Liabilities

 

$

2

 

 

$

—

 

 

$

—

 

 

$

2

 

Public Warrants

 

 

202

 

 

 

202

 

 

 

—

 

 

 

—

 

Public Offering Warrants

 

 

397

 

 

 

—

 

 

 

—

 

 

 

397

 

July 2024 Private Placement Warrants

 

 

30

 

 

 

—

 

 

 

—

 

 

 

30

 

January 2025 Warrants

 

 

814

 

 

 

—

 

 

 

—

 

 

 

814

 

February 2025 Offering Warrants

 

 

1,596

 

 

 

—

 

 

 

—

 

 

 

1,596

 

November 2025 Private Placement Warrants

 

 

2,788

 

 

 

—

 

 

 

—

 

 

 

2,788

 

Revenue Interest Financing

 

 

47,700

 

 

 

—

 

 

 

—

 

 

 

47,700

 

Earn-out Liability

 

 

31

 

 

 

—

 

 

 

—

 

 

 

31

 

RTW Convertible Notes

 

 

28,070

 

 

 

—

 

 

 

—

 

 

 

28,070

 

Success Fee Derivative Liability

 

 

14

 

 

 

—

 

 

 

—

 

 

 

14

 

Share Obligation

 

 

370

 

 

 

—

 

 

 

—

 

 

 

370

 

Total Liabilities

 

$

82,014

 

 

$

202

 

 

$

—

 

 

$

81,812

 

 

Fair Value Measurement as of December 31, 2024

 

 

 

Total
Carrying
Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

11,992

 

 

$

11,992

 

 

$

—

 

 

$

—

 

Total assets

 

$

11,992

 

 

$

11,992

 

 

$

—

 

 

$

—

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Legacy Allurion Common Stock Warrant Liability

 

$

41

 

 

$

—

 

 

$

—

 

 

$

41

 

Public Warrants

 

 

396

 

 

 

396

 

 

 

—

 

 

 

—

 

Public Offering Warrants

 

 

3,630

 

 

 

—

 

 

 

—

 

 

 

3,630

 

Private Placement Warrants

 

 

500

 

 

 

—

 

 

 

—

 

 

 

500

 

Revenue Interest Financing

 

 

49,200

 

 

 

—

 

 

 

—

 

 

 

49,200

 

Earn-out Liability

 

 

1,090

 

 

 

—

 

 

 

—

 

 

 

1,090

 

RTW Convertible Notes

 

 

35,710

 

 

 

—

 

 

 

—

 

 

 

35,710

 

Success Fee Derivative Liability

 

 

14

 

 

 

—

 

 

 

—

 

 

 

14

 

Total Liabilities

 

$

90,581

 

 

$

396

 

 

$

—

 

 

$

90,185

 

 

Public Warrants

As a result of the Business Combination on August 1, 2023, the Company assumed 13,206,922 outstanding public warrants (the "Public Warrants") to purchase an aggregate 750,394 shares of Allurion Common Stock at $202.50 per share following the Warrant Amendment (defined in Note 11, Capital Stock and Stockholders Deficit). The Company concluded the Public Warrants met the definition of a liability based on the settlement provision that allows the warrant holders to net-share settle their warrants in the event of a failed registration statement within 60 days of the Business Combination or any time a registration is not effective. The Public Warrants are traded on the NYSE and are recorded at fair value using the closing price as of December 31, 2025 of $0.02, which is a Level 1 input.

Legacy Allurion Warrants, Public Offering Warrants, July 2024 Private Placement Warrants, January 2025 Warrants, February 2025 Offering Warrants, and November 2025 Warrants

The Company has classified the Legacy Allurion Common Stock Warrants, Public Offering Warrants (defined below), July 2024 Private Placement Warrants (defined below), January 2025 Warrants (defined below), February 2025 Offering Warrants, (defined below), and November 2025 Warrants (defined below) within Level 3 of the hierarchy as the fair value is derived using the Black-Scholes option pricing model, which uses a combination of observable (Level 2) and unobservable (level 3) inputs. See table below for the assumptions used in the pricing model of the Legacy Allurion Common Stock Warrants, Public Offering Warrants, July 2024 Private Placement Warrants, January 2025 Warrants, February 2025 Offering Warrants, and November 2025 Warrants:

 

 

Measurement
Date

 

Interest
Rate

 

 

Exercise
Price

 

 

Estimated Fair Value of Underlying Share Price

 

 

Expected
Volatility

 

 

Expected
Life
(Years)

 

Legacy Allurion Series C Preferred Stock warrants (as converted to Common)

 

December 31, 2025

 

 

3.76

%

 

$

168.25

 

 

$

1.23

 

 

 

106.9

%

 

 

5.25

 

Legacy Allurion Other Common Stock

 

December 31, 2025

 

 

3.47

%

 

 

26.25

 

 

 

1.23

 

 

 

130.0

%

 

 

1.69

 

Legacy Allurion Series D-1 Preferred Stock
warrants (as converted to Common)

 

December 31, 2025

 

3.76%-3.91%

 

 

 

303.50

 

 

 

1.23

 

 

 

106.9

%

 

5.25-6.71

 

Public Offering Warrants

 

December 31, 2025

 

 

3.60

%

 

6.00-30.00

 

 

 

1.23

 

 

 

120.0

%

 

 

3.50

 

July 2024 Private Placement Warrants

 

December 31, 2025

 

 

3.60

%

 

 

30.00

 

 

 

1.23

 

 

 

120.0

%

 

 

3.50

 

January 2025 Warrants

 

December 31, 2025

 

 

3.67

%

 

 

6.00

 

 

 

1.23

 

 

 

110.0

%

 

 

4.28

 

February 2025 Offering Warrants

 

December 31, 2025

 

 

3.67

%

 

 

5.23

 

 

 

1.23

 

 

 

110.0

%

 

 

4.28

 

November 2025 Private Placement Warrants

 

December 31, 2025

 

 

3.73

%

 

 

1.67

 

 

 

1.23

 

 

 

108.6

%

 

 

4.92

 

 

 

 

Measurement
Date

 

Interest
Rate

 

Exercise
Price

 

 

Estimated Fair Value of Underlying Share Price

 

 

Expected
Volatility

 

Expected
Life
(Years)

 

Legacy Allurion Series C Preferred Stock warrants (as converted to Common)

 

December 31, 2024

 

4.44%

 

$

168.25

 

 

$

10.75

 

 

90%

 

 

6.25

 

Legacy Allurion Other Common Stock

 

December 31, 2024

 

4.26%

 

 

26.25

 

 

 

10.75

 

 

90%

 

 

2.69

 

Legacy Allurion Series D-1 Preferred Stock
warrants (as converted to Common)

 

December 31, 2024

 

4.44%-4.5%

 

 

303.50

 

 

 

10.75

 

 

90%

 

6.25-7.71

 

Public Offering Warrants

 

December 31, 2024

 

4.35%

 

 

30.00

 

 

 

10.75

 

 

90%

 

 

4.50

 

July 2024 Private Placement Warrants

 

December 31, 2024

 

4.35%

 

 

30.00

 

 

 

10.75

 

 

90%

 

 

4.50

 

 

Expected dividend yield for all calculations is 0.00%.

The following table reconciles the changes in fair value for the years ended December 31, 2025 and 2024 of the warrant liabilities valued using Level 3 inputs:

 

 

Preferred Stock Warrants (as converted to Common)

 

 

Common Stock Warrants

 

 

Public Offering Warrants

 

 

July 2024 Private Placement Warrants

 

 

January 2025 Warrants

 

 

February 2025 Warrants

 

 

November 2025 Warrants

 

 

Total

 

Balance – January 1, 2024

 

$

642

 

 

$

179

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

821

 

Fair value at issuance

 

 

—

 

 

 

—

 

 

 

13,157

 

 

 

1,670

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

14,827

 

Change in fair value

 

 

(610

)

 

 

(170

)

 

 

(9,527

)

 

 

(1,170

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(11,477

)

Balance – December 31, 2024

 

$

32

 

 

$

9

 

 

$

3,630

 

 

$

500

 

 

$

—

 

 

$

—

 

 

$

—

 

 

$

4,171

 

Fair value at issuance

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

5,344

 

 

 

5,021

 

 

 

3,520

 

 

 

13,885

 

Change in fair value

 

 

(30

)

 

 

(9

)

 

 

(3,233

)

 

 

(470

)

 

 

(4,530

)

 

 

(3,425

)

 

 

(732

)

 

 

(12,429

)

Balance – December 31, 2025

 

$

2

 

 

$

—

 

 

$

397

 

 

$

30

 

 

$

814

 

 

$

1,596

 

 

$

2,788

 

 

$

5,627

 

 

2019 Term Loan Success Fee Derivative Liability

The derivative liability for the success fee associated with Legacy Allurion's November 2019 loan and security agreement with Western Alliance Bank (the "2019 Term Loan" and such fee, the "Success Fee") was recorded at fair value as of December 31, 2025 and 2024 using the following assumptions: weighted-average probability for the likelihood of a change in control or liquidity event within four years from the initial valuation date of the derivative liability and a market-based discount rate that will increase or decrease each period based on changes in the probability in the future cash flows.

Revenue Interest Financing and PIPE Conversion Option

The Revenue Interest Financing was accounted for using the FVO election. Under the FVO election, the financial instrument is initially measured at its issue-date estimated fair value and subsequently remeasured at estimated fair value on a recurring basis at each reporting period date. The fair value of the Revenue Interest Financing was remeasured as of December 31, 2025 and December 31, 2024 using a discounted cash flow ("DCF") method under the income approach utilizing future revenue projections and a discount rate of 26.5% and 21.1%, respectively.

The fair value of the PIPE Conversion Option was accounted for as a derivative under ASC 815. Upon the exercise of the PIPE Conversion Option and resulting New RIFA on October 30, 2024, the PIPE Conversion Option was reclassified as an addition to the

Revenue Interest Financing liability, and as such there is no PIPE Conversion Option liability as of December 31, 2025 and December 31, 2024.

Earn-Out Liability

Upon the closing of the Business Combination, Legacy Allurion equity holders are entitled to receive additional shares of Allurion Common Stock if the share price achieves certain targets (the "Earn-Out Shares). The Earn-Out Shares were accounted for as a liability because the triggering events that determine the number of shares to be earned included events that were not indexed to Allurion Common Stock, with the change in fair value recognized in Change in the fair value of earn-out liabilities in the consolidated statement of operations. The estimated fair value of the earn-out shares was determined using a Monte Carlo Simulation Method ("MCSM") using the following assumptions at the following valuation dates:

 

 

December 31, 2025

 

 

December 31, 2024

 

Stock Price

 

$

1.23

 

 

$

10.75

 

Risk-free interest rate

 

 

3.5

%

 

 

4.3

%

Expected term (in years)

 

 

2.6

 

 

3.6

 

Expected volatility

 

 

145.0

%

 

 

109.0

%

 

Term Loan Derivative Liability

The Term Loan Derivative Liability associated with the Fortress Term Loan was derecognized during the second quarter of 2024 as the Fortress Loan was repaid on April 16, 2024.

RTW Convertible Notes

The RTW Convertible Notes are accounted for using the FVO election. Under the FVO election, the financial instrument is initially measured at its issue-date estimated fair value and subsequently measured at estimated fair value on a recurring basis at each reporting period date. The fair value of the RTW Convertible Notes was remeasured as of December 31, 2025 using a DCF method under the income approach with MCSM applied to determine the simulated stock price at each payment date and event that may trigger conversion of the RTW Convertible Notes. The fair value was measured using the $38.0 million principal amount and $4.9 million of payment in kind interest of the RTW Convertible Notes and the following assumptions:

 

December 31, 2025

 

 

December 31, 2024

 

Stock Price

 

$

1.23

 

 

$

10.75

 

Risk-free interest rate

 

 

3.8

%

 

 

4.4

%

Discount Rate

 

 

18.6

%

 

 

17.4

%

Expected term (in years)

 

5.3

 

 

6.3

 

Expected volatility

 

 

117.5

%

 

 

90.0

%

 

Share Obligation

The Share Obligation is accounted for as a liability under ASC 480, with the liability initially measured at its issue-date estimate fair value and subsequently measured at its estimated fair value on a recurring basis at each reporting period date. The estimated fair value of the Share Obligation was determined using a MCSM with the following assumptions at the valuation date:

 

December 31,
2025

 

Stock Price

 

$

1.23

 

Risk-free interest rate

 

 

3.5

%

Expected term (in years)

 

 

1.0

 

Expected volatility

 

 

157.5

%

 

 

The changes in the fair values of the Success Fee derivative liability, Revenue Interest Financing, PIPE Conversion Option, Earn-out liability, Term Loan Derivative Liability, RTW Convertible Notes, and Share Obligation categorized with Level 3 inputs for the years ended December 31, 2025 and 2024 were as follows:

 

 

Success Fee
Derivative Liability

 

 

Revenue
Interest
Financing

 

 

PIPE
Conversion
Derivative

 

 

Earn-Out
Liability

 

 

Term Loan Derivative Liability

 

 

RTW Convertible Notes

 

 

Share Obligation

 

 

Total

 

Balance – January 1, 2024

 

$

14

 

 

$

36,200

 

 

$

6,410

 

 

$

23,990

 

 

$

1,895

 

 

$

—

 

 

$

—

 

 

$

68,509

 

Fair value upon issuance

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

49,100

 

 

 

—

 

 

 

49,100

 

Change in fair value

 

 

—

 

 

 

4,328

 

 

 

990

 

 

 

(22,900

)

 

 

(1,895

)

 

 

(18,090

)

 

 

—

 

 

 

(37,567

)

Change in fair value - OCI

 

 

—

 

 

 

4,370

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

4,700

 

 

 

—

 

 

 

9,070

 

Exercise of PIPE Conversion Option

 

 

—

 

 

 

7,400

 

 

 

(7,400

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Repayments of debt

 

 

—

 

 

 

(3,098

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(3,098

)

Balance – December 31, 2024

 

$

14

 

 

$

49,200

 

 

$

—

 

 

$

1,090

 

 

$

—

 

 

$

35,710

 

 

$

—

 

 

$

86,014

 

Fair value upon issuance

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1,297

 

 

 

1,297

 

Change in fair value

 

 

—

 

 

 

9,090

 

 

 

—

 

 

 

(1,059

)

 

 

—

 

 

 

3,615

 

 

 

(927

)

 

 

10,719

 

Change in fair value - OCI

 

 

—

 

 

 

(8,180

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(5,330

)

 

 

—

 

 

 

(13,510

)

Extinguishment of debt

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

660

 

 

 

—

 

 

 

660

 

Conversion of convertible notes

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(6,585

)

 

 

—

 

 

 

(6,585

)

Repayments of debt

 

 

—

 

 

 

(2,410

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(2,410

)

Balance – December 31, 2025

 

$

14

 

 

$

47,700

 

 

$

—

 

 

$

31

 

 

$

—

 

 

$

28,070

 

 

$

370

 

 

$

76,185

 

The change in fair value of the Success Fee derivative liability, Revenue Interest Financing, PIPE Conversion Option, Earn-Out liability, Term Loan Derivative Liability, and RTW Convertible Notes at each period is recorded as a component of Other income (expense) in the consolidated statements of operations, with the exception of the change in fair value associated with the change in credit risk related to the Revenue Interest Financing and RTW Convertible Notes, which is recorded as a component of other comprehensive loss.