Fair Value Measurements (Tables)
|
3 Months Ended |
Mar. 31, 2026 |
|---|
| 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 the Company's 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 March 31, 2026 |
|
|
|
Total
Carrying
Value |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Cash equivalents |
|
|
|
|
|
|
|
|
|
|
|
|
Money market funds |
|
$ |
3,707 |
|
|
$ |
3,707 |
|
|
$ |
— |
|
|
$ |
— |
|
Total assets |
|
$ |
3,707 |
|
|
$ |
3,707 |
|
|
$ |
— |
|
|
$ |
— |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Legacy Allurion Common Stock Warrant Liabilities |
|
$ |
2 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2 |
|
Public Warrants |
|
|
265 |
|
|
|
265 |
|
|
|
— |
|
|
|
— |
|
Public Offering Warrants |
|
|
239 |
|
|
|
— |
|
|
|
— |
|
|
|
239 |
|
July 2024 Private Placement Warrants |
|
|
21 |
|
|
|
— |
|
|
|
— |
|
|
|
21 |
|
January 2025 Warrants |
|
|
140 |
|
|
|
— |
|
|
|
— |
|
|
|
140 |
|
February 2025 Offering Warrants |
|
|
420 |
|
|
|
— |
|
|
|
— |
|
|
|
420 |
|
November 2025 Private Placement Warrants |
|
|
1,209 |
|
|
|
— |
|
|
|
— |
|
|
|
1,209 |
|
Inducement Warrants |
|
|
2,800 |
|
|
|
— |
|
|
|
— |
|
|
|
2,800 |
|
Revenue Interest Financing |
|
|
48,800 |
|
|
|
— |
|
|
|
— |
|
|
|
48,800 |
|
Earn-out Liability |
|
|
31 |
|
|
|
— |
|
|
|
— |
|
|
|
31 |
|
RTW Convertible Notes |
|
|
28,550 |
|
|
|
— |
|
|
|
— |
|
|
|
28,550 |
|
Success Fee Derivative Liability |
|
|
14 |
|
|
|
— |
|
|
|
— |
|
|
|
14 |
|
Share Obligation |
|
|
250 |
|
|
|
— |
|
|
|
— |
|
|
|
250 |
|
Total Liabilities |
|
$ |
82,741 |
|
|
$ |
265 |
|
|
$ |
— |
|
|
$ |
82,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 Liability |
|
$ |
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 |
|
|
| Schedule of Assumptions used in Pricing Model |
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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) |
|
March 31, 2026 |
|
|
3.76 |
% |
|
$ |
168.25 |
|
|
$ |
0.68 |
|
|
|
106.9 |
% |
|
|
5.00 |
|
Legacy Allurion Other Common Stock |
|
March 31, 2026 |
|
|
3.47 |
% |
|
|
26.25 |
|
|
|
0.68 |
|
|
|
130.0 |
% |
|
|
1.40 |
|
Legacy Allurion Series D-1 Preferred Stock
warrants (as converted to Common) |
|
March 31, 2026 |
|
3.76% - 3.91% |
|
|
|
303.50 |
|
|
|
0.68 |
|
|
|
106.9 |
% |
|
5.00 - 6.50 |
|
Public Offering Warrants |
|
March 31, 2026 |
|
|
3.75 |
% |
|
6.00-30.00 |
|
|
|
0.68 |
|
|
|
145.0 |
% |
|
|
3.25 |
|
July 2024 Private Placement Warrants |
|
March 31, 2026 |
|
|
3.75 |
% |
|
|
30.00 |
|
|
|
0.68 |
|
|
|
145.0 |
% |
|
|
3.25 |
|
January 2025 Warrants |
|
March 31, 2026 |
|
|
3.79 |
% |
|
|
6.00 |
|
|
|
0.68 |
|
|
|
130.0 |
% |
|
|
4.03 |
|
February 2025 Offering Warrants |
|
March 31, 2026 |
|
|
3.79 |
% |
|
|
5.23 |
|
|
|
0.68 |
|
|
|
130.0 |
% |
|
|
4.03 |
|
November 2025 Private Placement Warrants |
|
March 31, 2026 |
|
|
3.90 |
% |
|
|
1.67 |
|
|
|
0.68 |
|
|
|
120.0 |
% |
|
|
4.71 |
|
Inducement Warrants |
|
March 31, 2026 |
|
|
3.87 |
% |
|
|
1.15 |
|
|
|
0.68 |
|
|
|
115.0 |
% |
|
|
5.25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
| Schedule of Changes in Fair Values |
The following table reconciles the changes in fair value for the three months ended March 31, 2026 and 2025 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 |
|
|
Inducement Warrants |
|
|
Total |
|
Balance – January 1, 2025 |
|
$ |
32 |
|
|
$ |
9 |
|
|
$ |
3,630 |
|
|
$ |
500 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,171 |
|
Fair value at issuance |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
5,344 |
|
|
|
5,021 |
|
|
|
— |
|
|
|
— |
|
|
|
10,365 |
|
Change in fair value |
|
|
(23 |
) |
|
|
(8 |
) |
|
|
(2,399 |
) |
|
|
(310 |
) |
|
|
(2,814 |
) |
|
|
(101 |
) |
|
|
— |
|
|
|
— |
|
|
|
(5,655 |
) |
Balance – March 31, 2025 |
|
$ |
9 |
|
|
$ |
1 |
|
|
$ |
1,231 |
|
|
$ |
190 |
|
|
$ |
2,530 |
|
|
$ |
4,920 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
8,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance - January 1, 2026 |
|
$ |
2 |
|
|
$ |
— |
|
|
$ |
397 |
|
|
$ |
30 |
|
|
$ |
814 |
|
|
$ |
1,596 |
|
|
$ |
2,788 |
|
|
$ |
— |
|
|
$ |
5,627 |
|
Warrant inducement (gain) loss |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(510 |
) |
|
|
(780 |
) |
|
|
(450 |
) |
|
|
5,885 |
|
|
|
4,145 |
|
Change in fair value |
|
|
— |
|
|
|
— |
|
|
|
(158 |
) |
|
|
(10 |
) |
|
|
16 |
|
|
|
(136 |
) |
|
|
(1,015 |
) |
|
|
(3,085 |
) |
|
|
(4,388 |
) |
Exercise of warrants |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(180 |
) |
|
|
(260 |
) |
|
|
(113 |
) |
|
|
— |
|
|
|
(553 |
) |
Balance – March 31, 2026 |
|
$ |
2 |
|
|
$ |
— |
|
|
$ |
239 |
|
|
$ |
20 |
|
|
$ |
140 |
|
|
$ |
420 |
|
|
$ |
1,210 |
|
|
$ |
2,800 |
|
|
$ |
4,831 |
|
|
| 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, Earn-out liability, RTW Convertible Notes, and Share Obligation categorized with Level 3 inputs for the three months ended March 31, 2026 and 2025 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Success Fee
Derivative Liability |
|
|
Revenue
Interest
Financing |
|
|
Earn-Out
Liability |
|
|
RTW Convertible Notes |
|
|
Share Obligation |
|
|
Total |
|
Balance - January 1, 2025 |
|
$ |
14 |
|
|
$ |
49,200 |
|
|
$ |
1,090 |
|
|
$ |
35,710 |
|
|
$ |
— |
|
|
$ |
86,014 |
|
Fair value upon issuance |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,297 |
|
|
|
1,297 |
|
Change in fair value |
|
|
— |
|
|
|
3,820 |
|
|
|
(910 |
) |
|
|
(3,330 |
) |
|
|
(597 |
) |
|
|
(1,017 |
) |
Change in fair value - OCI |
|
|
— |
|
|
|
(3,020 |
) |
|
|
— |
|
|
|
(1,420 |
) |
|
|
— |
|
|
|
(4,440 |
) |
Balance – March 31, 2025 |
|
$ |
14 |
|
|
$ |
50,000 |
|
|
$ |
180 |
|
|
$ |
30,960 |
|
|
$ |
700 |
|
|
$ |
81,854 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance - January 1, 2026 |
|
$ |
14 |
|
|
$ |
47,700 |
|
|
$ |
31 |
|
|
$ |
28,070 |
|
|
$ |
370 |
|
|
$ |
76,185 |
|
Change in fair value |
|
|
— |
|
|
|
1,820 |
|
|
|
— |
|
|
|
750 |
|
|
|
(120 |
) |
|
|
2,450 |
|
Change in fair value - OCI |
|
|
— |
|
|
|
(720 |
) |
|
|
— |
|
|
|
(270 |
) |
|
|
— |
|
|
|
(990 |
) |
Balance – March 31, 2026 |
|
$ |
14 |
|
|
$ |
48,800 |
|
|
$ |
31 |
|
|
$ |
28,550 |
|
|
$ |
250 |
|
|
$ |
77,645 |
|
|
| 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:
|
|
|
|
|
|
|
|
|
|
|
March 31, 2026 |
|
|
December 31, 2025 |
|
Stock Price |
|
$ |
0.68 |
|
|
$ |
1.23 |
|
Risk-free interest rate |
|
|
3.5 |
% |
|
|
3.5 |
% |
Expected term (in years) |
|
2.3 |
|
|
2.6 |
|
Expected volatility |
|
|
145.0 |
% |
|
|
145.0 |
% |
|
| 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 $5.5 million of payment in kind interest of the RTW Convertible Notes and the following assumptions:
|
|
|
|
|
|
|
|
|
|
|
March 31, 2026 |
|
|
December 31, 2025 |
|
Stock Price |
|
$ |
0.68 |
|
|
$ |
1.23 |
|
Risk-free interest rate |
|
|
3.9 |
% |
|
|
3.8 |
% |
Discount Rate |
|
|
19.2 |
% |
|
|
18.6 |
% |
Expected term (in years) |
|
|
5.0 |
|
|
5.3 |
|
Expected volatility |
|
|
125.0 |
% |
|
|
117.5 |
% |
|
| 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:
|
|
|
|
|
|
|
|
|
|
|
March 31, 2026 |
|
|
December 31, 2025 |
|
Stock Price |
|
$ |
0.68 |
|
|
$ |
1.23 |
|
Risk-free interest rate |
|
|
3.7 |
% |
|
|
3.5 |
% |
Expected term (in years) |
|
|
0.8 |
|
|
|
1.0 |
|
Expected volatility |
|
|
170.0 |
% |
|
|
157.5 |
% |
|