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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2024
Fair Value Disclosures [Abstract] |
Fair Value Measurements | 11. 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, 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 Liabilities |  | $ | 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 |
Fair Value Measurement as of December 31, 2023 |
|  | Total Carrying Value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents |  |  |  |  |  |  |  |  |  |  |  |
Money market funds |  | $ | 30,582 |  |  | $ | 30,582 |  |  | $ | — |  |  | $ | — |
Total assets |  | $ | 30,582 |  |  | $ | 30,582 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Legacy Allurion Common Stock Warrant Liability |  | $ | 821 |  |  | $ | — |  |  | $ | — |  |  | $ | 821 |
Public Warrants |  |  | 5,943 |  |  |  | 5,943 |  |  |  | — |  |  |  | — |
Revenue Interest Financing |  |  | 36,200 |  |  |  | — |  |  |  | — |  |  |  | 36,200 |
PIPE Conversion Option (Restated) |  |  | 6,410 |  |  |  | — |  |  |  | — |  |  |  | 6,410 |
Earn-out Liability |  |  | 23,990 |  |  |  | — |  |  |  | — |  |  |  | 23,990 |
Term Loan Derivative Liability |  |  | 1,895 |  |  |  | — |  |  |  | — |  |  |  | 1,895 |
Success Fee Derivative Liability |  |  | 14 |  |  |  | — |  |  |  | — |  |  |  | 14 |
Total Liabilities |  | $ | 75,273 |  |  | $ | 5,943 |  |  | $ | — |  |  | $ | 69,330 |
Public Warrants As a result of the Business Combination on August 1, 2023, the Company recorded a liability for Public Warrants to purchase the Company's Common Stock. The Public Warrants are traded on the NYSE and are recorded at fair value using the closing price as of December 31, 2024 of $0.03, which is a Level 1 input. Legacy Allurion Warrants, Public Offering Warrants, and Private Placement Warrants The Company has classified the Legacy Allurion Common Stock Warrants, Public Offering Warrants (defined below), and Private Placement 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, and Private Placement 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, 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 |
Private Placement Warrants |  | December 31, 2024 |  | 4.35% |  |  | 30.00 |  |  |  | 10.75 |  |  | 90% |  |  | 4.50 |
|  | 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, 2023 |  |  | 3.88 | % |  | $ | 168.25 |  |  | $ | 93.50 |  |  |  | 100 | % |  |  | 7.25 |
Legacy Allurion Other Common Stock |  | December 31, 2023 |  |  | 3.95 | % |  |  | 26.25 |  |  |  | 93.50 |  |  |  | 100 | % |  |  | 3.69 |
Legacy Allurion Series D-1 Preferred Stock warrants (as converted to Common) |  | December 31, 2023 |  |  | 3.88 | % |  |  | 303.50 |  |  |  | 93.50 |  |  |  | 100 | % |  | 7.25-8.71 |
Expected dividend yield for all calculations is 0.00%. The following table reconciles the changes in fair value for the years ended December 31, 2024 and 2023 of the warrant liabilities valued using Level 3 inputs:
|  | Preferred Stock Warrants (as converted to Common) |  |  | Common Stock Warrants |  |  | Public Offering Warrants |  |  | Private Placement Warrants |  |  | Total |
Balance – January 1, 2023 |  | $ | 1,777 |  |  | $ | 596 |  |  |  | — |  |  |  | — |  |  | $ | 2,373 |
Change in fair value |  |  | (720 | ) |  |  | 172 |  |  |  | — |  |  |  | — |  |  |  | (548 | )
Exercise of warrants |  |  | (75 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (75 | )
Derecognition of liability to equity |  |  | (340 | ) |  |  | (589 | ) |  |  | — |  |  |  | — |  |  |  | (929 | )
Balance – December 31, 2023 |  | $ | 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 |
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, 2024 and 2023 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. 2023 Convertible Notes The 2023 Convertible Notes were 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 re-measured at estimated fair value on a recurring basis at each reporting period date. The fair value was measured as of August 1, 2023, just prior to the conversion of the 2023 Convertible Notes, using the share price at conversion after giving effect to the Reverse Stock Split ($176.00 per share). Upon the conversion of the 2023 Convertible Notes, the convertible note liability was derecognized. PubCo Additional Shares Liability The PubCo Additional Shares liability was initially recorded at fair value as of May 2, 2023 and revalued as of August 1, 2023, just prior to the close of the Business Combination, using the number of shares issued at the close of the Business Combination and after giving effect to the Reverse Stock Split of 15,508 and an estimated price of shares at settlement of $176.00. Upon the issuance of shares, the PubCo Additional Shares liability was derecognized. Base PubCo Shares and Backstop Shares Liability The Base PubCo Shares and Backstop Shares liability was initially recorded at fair value as of May 2, 2023 and revalued as of August 1, 2023, just prior to the close of the Business Combination, using the number of shares for each Backstop Purchaser at the close of the Business Combination and after giving effect to Reverse Stock Split of 38,000 and an estimated price of shares at settlement of $176.00. Upon the issuance of shares, the Base PubCo Shares and Backstop Shares liability was derecognized. 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, 2024 using a discounted cash flow ("DCF") method under the income approach utilizing future revenue projections and a discount rate of 21.1%. The fair value of the PIPE Conversion Option was accounted for as a derivative under ASC 815. The instrument was measured using a Monte Carlo Simulation Method using the number of shares convertible of 42,614 and the below assumptions. Upon the exercise of the PIPE Conversion Option and resulting New RIFA on October 30, 2024, the PIPE Conversion Option was reclassified as an additional to the Revenue Interest Financing liability, and as such there is no PIPE Conversion Option liability as of December 31, 2024.
|  | December 31, 2023
Stock Price |  | 93.5
Risk-free interest rate |  | 4.46%
Expected term (in years) |  | 1.6
Expected volatility |  | 82.5%
Earn-Out Liability Upon the closing of the Business Combination, 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 using the following assumptions at the following valuation dates:
|  | December 31, 2024 |  |  | December 31, 2023 |
Stock Price |  | 10.75 |  |  | 93.5 |
Risk-free interest rate |  |  | 4.3 | % |  |  | 3.9 | %
Expected term (in years) |  | 3.6 |  |  | 4.6 |
Expected volatility |  |  | 109.0 | % |  |  | 87.0 | %
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, 2024 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 $48.0 million principal amount of the RTW Convertible Notes and the following assumptions:
|  | December 31, 2024 |
Stock Price |  | 10.75 |
Risk-free interest rate |  |  | 4.4 | %
Expected term (in years) |  | 6.3 |
Expected volatility |  |  | 90.0 | %
The changes in the fair values of the Success Fee derivative liability, 2023 Convertible Notes, PubCo Additional Shares liability, Base PubCo Shares and Backstop Shares liability, Revenue Interest Financing, PIPE Conversion Option, Earn-out liability, Term Loan Derivative Liability, and RTW Convertible Notes categorized with Level 3 inputs for the years ended December 31, 2024 and 2023 were as follows:
|  | Success Fee Derivative Liability |  |  | 2023 Convertible Notes |  |  | Revenue Interest Financing |  |  | PIPE Conversion Derivative |  |  | Earn-Out Liability |  |  | Term Loan Derivative Liability |  |  | RTW Convertible Notes |  |  | PubCo Share Liability |  |  | Base PubCo & Backstop Share Liability |  |  | Total |
Balance – January 1, 2023 |  | $ | 178 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 178 |
Fair value upon issuance |  |  | — |  |  |  | 28,700 |  |  |  | 40,000 |  |  |  | 3,340 |  |  |  | 53,040 |  |  |  | 1,895 |  |  |  | — |  |  |  | 3,370 |  |  |  | 3,264 |  |  |  | 133,609 |
Change in fair value (Restated) (1) |  |  | (164 | ) |  |  | 3,751 |  |  |  | (2,008 | ) |  |  | 3,070 |  |  |  | (29,050 | ) |  |  | — |  |  |  | — |  |  |  | (642 | ) |  |  | 10,106 |  |  |  | (14,937 | )
Change in fair value - OCI (Restated) (1) |  |  | — |  |  |  | — |  |  |  | (700 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (700 | )
Repayments of debt |  |  | — |  |  |  | (10,750 | ) |  |  | (1,092 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (11,842 | )
Derecognition of liability to equity |  |  | — |  |  |  | (21,701 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (2,728 | ) |  |  | (13,370 | ) |  |  | (37,799 | )
Balance – December 31, 2023 (Restated) |  | $ | 14 |  |  | $ | — |  |  | $ | 36,200 |  |  | $ | 6,410 |  |  | $ | 23,990 |  |  | $ | 1,895 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 68,509 |
Fair value upon issuance |  |  | — |  |  | $ | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 49,100 |  |  |  | — |  |  |  | — |  |  |  | 49,100 |
Change in fair value (Restated) (1) |  |  | — |  |  |  | — |  |  |  | 4,328 |  |  |  | 990 |  |  |  | (22,900 | ) |  |  | (1,895 | ) |  |  | (18,090 | ) |  |  | — |  |  |  | — |  |  |  | (37,567 | )
Change in fair value - OCI (Restated) (1) |  |  | — |  |  |  | — |  |  |  | 4,370 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 4,700 |  |  |  | — |  |  |  | — |  |  |  | 9,070 |
Exercise of warrants |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
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 |
(1) As discussed in FN 2, Restatement of Previously Issued Financial Statements, the Company identified an Error in its historical financial statements related to the change in fair value due to instrument specific credit risk for the Revenue Interest Financing and RTW Convertible Notes, as well as a change in fair value of the PIPE Conversion Option. The only restated numbers in the table above relate to the 'Change in fair value' and 'Change in fair value - OCI' for both the Revenue Interest Financing and RTW Convertible Notes, as well as the 'Change in fair value' related to the PIPE Conversion Option. The change in fair value of the Success Fee derivative liability, 2023 Convertible Notes, PubCo Additional Shares liability, Base PubCo Shares and Backstop Shares 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.

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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/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 2: 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 3: 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 4: 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 5: 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 6: 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 7: 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 8: 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 9: 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 10: 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 11: 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 12: 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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