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Fair Value Measurements
 3 Months Ended
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%