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Fair Value Measurements | 6 Months Ended
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Jun. 30, 2025
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Note 3. Fair Value Measurements LivaNova reviews its fair value hierarchy classification on a quarterly basis. Changes in the ability to observe valuation inputs may result in a reclassification of levels for certain securities in the fair value hierarchy. There were no transfers between Level 1, Level 2, or Level 3 for the six months ended June 30, 2025 and 2024. Assets and Liabilities Measured at Fair Value 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 |
Reconciliation of Level 3 Assets and Liabilities 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 |
Stock Price Volatility 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. Contingent Consideration Arrangement The ImThera business combination involved contingent consideration arrangements comprised of potential cash payments upon the achievement of a certain regulatory milestone and a sales-based earnout associated with sales of products. The sales-based earnouts are valued using projected sales from LivaNova’s internal strategic plan. These arrangements are Level 3 fair value measurements and included the following significant unobservable inputs as of June 30, 2025:
ImThera Acquisition |  | Valuation Technique |  | Unobservable Input |  | Inputs
Regulatory milestone-based payment |  | Discounted cash flow |  | Discount rate |  | 6.4%
|  |  |  | Probability of payment |  | 85%
|  |  |  | Projected payment year |  | 2026
Sales-based earnout |  | Monte-Carlo simulation |  | Risk-adjusted discount rate |  | 13.4% - 13.6%
|  |  |  | Credit risk discount rate |  | 6.7% - 7.5%
|  |  |  | Revenue volatility |  | 22.9%
|  |  |  | Probability of payment |  | 85%
|  |  |  | Projected years of earnout |  | 2027 - 2030

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 3: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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