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Fair Value Measurements | 3 Months Ended
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Mar. 31, 2024
Fair Value Measurements [Abstract] |
Fair Value Measurements |
| (3) | Fair Value Measurements
The following table sets forth the Company’s financial assets and liabilities that are measured at fair value, on a recurring basis (in thousands):
|  | As of March 31, 2024 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Financial Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Carlyle warrants |  | $ | — |  |  | $ | — |  |  | $ | 3,086 |  |  | $ | 3,086 |
Public warrants |  |  | 437 |  |  |  | — |  |  |  | — |  |  |  | 437 |
Private placement warrants |  |  | — |  |  |  | 318 |  |  |  | — |  |  |  | 318 |
Working capital warrants |  |  | — |  |  |  | 36 |  |  |  | — |  |  |  | 36 |
Replacement warrants |  |  | — |  |  |  | — |  |  |  | 5 |  |  |  | 5 |
Forward purchase agreement liabilities |  |  | — |  |  |  | — |  |  |  | 9,409 |  |  |  | 9,409 |
SAFE Agreements |  |  | — |  |  |  | — |  |  |  | 5,000 |  |  |  | 5,000 |
Total |  | $ | 437 |  |  | $ | 354 |  |  | $ | 17,500 |  |  | $ | 18,291 |
|  | As of December 31, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Financial Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Carlyle warrants |  | $ | — |  |  | $ | — |  |  | $ | 9,515 |  |  | $ | 9,515 |
Public warrants |  |  | 167 |  |  |  | — |  |  |  | — |  |  |  | 167 |
Private placement warrants |  |  | — |  |  |  | 122 |  |  |  | — |  |  |  | 122 |
Working capital warrants |  |  | — |  |  |  | 14 |  |  |  | — |  |  |  | 14 |
Replacement warrants |  |  | – |  |  |  | – |  |  |  | 1,310 |  |  |  | 1,310 |
Forward purchase agreement liabilities |  |  | — |  |  |  | — |  |  |  | 3,831 |  |  |  | 3,831 |
Total |  | $ | 167 |  |  | $ | 136 |  |  | $ | 14,656 |  |  | $ | 14,959 |
Carlyle Warrants As part of the Company’s amended and restated warrant agreement with CRSEF Solis Holdings, LLC and its affiliates (“Carlyle”), the Company issued Carlyle a warrant to purchase shares of Complete Solaria Common Stock at a price per share of $0.01. Refer to Note 12 – Warrants for further details. The Company valued the warrants based on a Black-Scholes Option Pricing Method, which included the following inputs:
|  | March 31, 2024 |  |  | December 31, 2023 |
Expected term |  |  | 7.0 years |  |  |  | 7.0 years |
Expected volatility |  |  | 77.0 | % |  |  | 77.0 | %
Risk-free interest rate |  |  | 3.92 | % |  |  | 3.92 | %
Expected dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
Public, Private Placement and Working Capital Warrants The public, private placement and working capital warrants are measured at fair value on a recurring basis. The public warrants were valued based on the closing price of the publicly traded instrument. The private placement and working capital warrants were valued using observable inputs for similar publicly-traded instruments. Forward Purchase Agreement Liabilities The FPA liabilities are measured at fair value on a recurring basis using a Monte Carlo simulation analysis. The expected volatility is determined based on the historical equity volatility of comparable companies over a period that matches the simulation period, which included the following inputs:
|  | March 31, 2024 |  |  | December 31, 2023 |
Common stock trading price |  | $ | 0.59 |  |  | $ | 1.66 |
Simulation period |  |  | 1.30 years |  |  |  | 1.55 years |
Risk-free interest rate |  |  | 4.90 | % |  |  | 4.48 | %
Volatility |  |  | 112.0 | % |  |  | 95.0 | %
Replacement Warrants The Company valued the Replacement Warrants based on a Black-Scholes Option Pricing Method, which included the following inputs:
|  | March 31, 2024 |  |  | December 31, 2023 |
Expected term |  |  | 0.08 years |  |  |  | 0.3 years |
Expected volatility |  |  | 78.5 | % |  |  | 78.5 | %
Risk-free interest rate |  |  | 5.49 | % |  |  | 5.4 | %
Expected dividend yield |  |  | 0.0 | % |  |  | 0.0 | %

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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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