Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2024

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 September 30, 2024
	Total Carrying Value		Level 1		Level 2		Level 3
Assets:
Cash equivalents
Money market funds	$	23,749	$	23,749	$	—	$	—
Total assets	$	23,749	$	23,749	$	—	$	—
Liabilities:
Legacy Allurion Common Stock Warrant Liabilities	$	71	$	—	$	—	$	71
Public Warrants		531		531		—		—
Public Offering Warrants		5,970		—		—		5,970
Private Placement Warrants		810		—		—		810
Revenue Interest Financing		38,500		—		—		38,500
PIPE Conversion Option		9,850		—		—		9,850
Earn-out Liability		1,850		—		—		1,850
RTW Convertible Notes		36,090		—		—		36,090
Success Fee Derivative Liability		14		—		—		14
Total Liabilities	$	93,686	$	531	$	—	$	93,155


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 Liabilities	$	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

Schedule of Assumptions used in Pricing Model

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)	September 30, 2024		3.65	%	$	168.25	$	15.25		90	%		6.50
Legacy Allurion Other Common Stock	September 30, 2024		3.59	%		26.25		15.25		90	%		2.94
Legacy Allurion Series D-1 Preferred Stock warrants (as converted to Common)	September 30, 2024	3.65%-3.71%				303.50		15.25		90	%	6.5-7.96
Public Offering Warrants	September 30, 2024		3.58	%		30.00		15.25		90	%		4.75
Private Placement Warrants	September 30, 2024		3.58	%		30.00		15.25		90	%		4.75


	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

Schedule of Changes in Fair Values

The following table reconciles the changes in fair value for the three and nine months ended September 30, 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 – June 30, 2023	$	2,679		$	1,351			—			—		$	4,030
Change in fair value		(1,571	)		(555	)		—			—			(2,126	)
Exercise of warrants		(53	)		—			—			—			(53	)
Derecognition of liability to equity		(340	)		(589	)		—			—			(929	)
Balance – September 30, 2023	$	715		$	207		$	—		$	—		$	922
Balance – June 30, 2024	$	110		$	35			—			—		$	145
Fair value at issuance		—			—			13,157			1,670			14,827
Change in fair value		(55	)		(19	)		(7,187	)		(860	)		(8,121	)
Balance – September 30, 2024	$	55		$	16		$	5,970		$	810		$	6,851


	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		(647	)		200			—			—			(447	)
Exercise of warrants		(75	)		—			—			—			(75	)
Derecognition of liability to equity		(340	)		(589	)		—			—			(929	)
Balance – September 30, 2023	$	715		$	207		$	—		$	—		$	922
Balance – January 1, 2024	$	642		$	179		$	—		$	—		$	821
Fair value at issuance		—			—			13,157			1,670			14,827
Change in fair value		(587	)		(163	)		(7,187	)		(860	)		(8,797	)
Balance – September 30, 2024	$	55		$	16		$	5,970		$	810		$	6,851

Schedule of Estimated Fair Value was Measured Using a Monte Carlo Simulation Method

The assumptions used in the Black Scholes option-pricing model for the nine months ended September 30, 2024 and 2023 are as follows:


	Nine Months Ended September 30,
	2024			2023
Expected volatility		71	%		86	%
Risk-free interest rate		4.36	%		4.50	%
Expected dividend yield		0	%		0	%
Expected term (in years)		6.1			5.8

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, 2023 Convertible Notes, Revenue Interest Financing, PIPE Conversion Option, Earn-out liability, Term Loan Derivative liability, RTW Convertible Notes, PubCo Share liability, Base PubCo and Backstop Share liability, and Warrant Overallotment Liability categorized with Level 3 inputs for the three and nine months ended September 30, 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 – June 30, 2023	$	213		$	16,793		$	—		$	—	$	—		$	—	$	—		$	3,327		$	3,305		$	23,638
Fair value upon issuance		—			9,150		$	40,000			3,340		53,040			—		—			—			—		$	105,530
Change in fair value		(201	)		6,008			(3,400	)		2,100		(24,330	)		—		—			(599	)		10,065		$	(10,357	)
Repayments of debt		—			(10,250	)		—			—		—			—		—			—			—		$	(10,250	)
Derecognition of liability to equity		—			(21,701	)		—			—		—			—		—			(2,728	)		(13,370	)	$	(37,799	)
Balance – September 30, 2023	$	12		$	—		$	36,600		$	5,440	$	28,710		$	—	$	—		$	—		$	—		$	70,762
Balance – June 30, 2024	$	14		$	—		$	39,000		$	5,450	$	4,110		$	—	$	40,950		$	—		$	—		$	89,524
Change in fair value (Restated)(1)		—			—			(4,896	)		4,400		(2,260	)		—		(7,930	)		—			—			(10,686	)
Change in fair value - OCI (Restated)(1)		—			—			5,800			—		—			—		3,070			—			—			8,870
Repayments of debt		—			—			(1,404	)		—		—			—		—			—			—			(1,404	)
Balance – September 30, 2024	$	14		$	—		$	38,500		$	9,850	$	1,850		$	—	$	36,090		$	—		$	—		$	86,304

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.


	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			—			—			3,370			3,264			131,714
Change in fair value		(166	)		3,751			(3,400	)		2,100		(24,330	)		—			—			(642	)		10,106			(12,581	)
Repayments of debt		—			(10,750	)		—			—		—			—			—			—			—			(10,750	)
Derecognition of liability to equity		—			(21,701	)		—			—		—			—			—			(2,728	)		(13,370	)		(37,799	)
Balance – September 30, 2023	$	12		$	—		$	36,600		$	5,440	$	28,710		$	—		$	—		$	—		$	—		$	70,762
Balance – January 1, 2024 (Restated) (1)	$	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)		—			—			4,158			3,440		(22,140	)		(1,895	)		(16,000	)		—			—			(32,437	)
Change in fair value - OCI (Restated)(1)		—			—			600			—		—			—			2,990			—			—			3,590
Repayments of debt		—			—			(2,458	)		—		—			—			—			—			—			(2,458	)
Balance – September 30, 2024	$	14		$	—		$	38,500		$	9,850	$	1,850		$	—		$	36,090		$	—		$	—		$	86,304

(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' and 'Balance - January 1, 2024' related to the PIPE Conversion Option.

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 MCSM with the following assumptions at each valuation date:


	September 30, 2024			December 31, 2023
Stock Price	$	15.25		$	93.50
Risk-free interest rate		3.6	%		3.9	%
Expected term (in years)		3.8			4.6
Expected volatility		105.0	%		87.0	%

Revenue Interest Financing and PIPE Conversion Option

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 of the PIPE Conversion Option was accounted for as a derivative under ASC 815. The instrument is measured using a Monte Carlo Simulation Method ("MCSM") using the number of shares convertible of 42,614 and the following assumptions:


	September 30, 2024			December 31, 2023
Stock Price	$	15.25		$	93.50
Risk-free interest rate		4.03	%		4.46	%
Expected term (in years)		0.8			1.6
Expected volatility		130.0	%		82.5	%

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 $48.0 million principal amount of the RTW Convertible Notes and the following assumptions:


	September 30, 2024
Stock Price	$	15.25
Risk-free interest rate		3.6	%
Expected term (in years)		6.5
Expected volatility		90.0	%

ALLURION TECHNOLOGIES, INC. 10-Q/A