This Balrog of Morgoth, a Maiar, is called like that because after the War of Wrath he escaped to Moria, where he dwelt for ages.
His name and real story is not known, but we all know his importance in the third age when he battled Gandalf in the bridge of Barad Dur, where he was defeated and killed.
At the beginning, this Maiar was corrupted by Melkor and joined the other Balrogs into his servitude and he fought in many wars across the ages of middle earth and Arda, until he fled to the Misty mountains where he slept for thousands of years until he was awakened by the greedy dwarves who caved and caved to their doom.
It wasn't until January of TA 3019, that Peregrin Tuk drew his attention once again... and we all know that story very well.
Gandalf may have killed his physical form, but a Maiar's spirit cannot be so easily killed and their spirit still roams the middle earth, but nobody knows what became of him.
