Fair Value Measurements (Tables)
|
12 Months Ended |
Dec. 31, 2025 |
|---|
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] |
|
| Schedule of Fair Value Hierarchy for Assets and Liabilities Measured at Fair Value at Issuance Date and on Recurring Basis |
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):
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
| Schedule of Assumptions used in Pricing Model |
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:
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|
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|
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|
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|
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|
|
|
|
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|
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 |
|
|
| Schedule of Changes in Fair Values |
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:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
| Schedule of Estimated Fair Value was Measured Using a Monte Carlo Simulation Method |
The assumptions used in the Black-Scholes option-pricing model are as follows:
|
|
|
|
|
|
|
|
|
|
|
Year Ended December 31, |
|
|
Year Ended December 31, |
|
|
|
2025 |
|
|
2024 |
|
Expected volatility |
|
|
108.6 |
% |
|
|
71.2 |
% |
Risk-free interest rate |
|
|
3.7 |
% |
|
|
4.4 |
% |
Expected dividend yield |
|
|
— |
% |
|
|
— |
% |
Expected term (in years) |
|
|
5.0 |
|
|
6.1 |
|
|
| Public Warrants |
|
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] |
|
| Schedule of Changes in Fair Values |
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 |
|
|
| Earn-Out Liability |
|
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] |
|
| Schedule of Estimated Fair Value was Measured Using a Monte Carlo Simulation Method |
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 |
% |
|
| RTW Convertible Notes |
|
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] |
|
| Schedule of Estimated Fair Value was Measured Using a Monte Carlo Simulation Method |
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 |
% |
|
| Share Obligation |
|
| Fair Value Measurement Inputs and Valuation Techniques [Line Items] |
|
| Schedule of Estimated Fair Value was Measured Using a Monte Carlo Simulation Method |
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 |
% |
|