Fair Value Measurements

6 Months Ended

Jun. 30, 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 June 30, 2024
	Level 1		Level 2		Level 3		Total
Financial Liabilities
Carlyle warrants	$	—	$	—	$	6,646	$	6,646
Public warrants		302		—		—		302
Private placement warrants		—		219		—		219
Working capital warrants		—		25		—		25
Forward purchase agreement liabilities		—		—		6,653		6,653
SAFE Agreements		—		—		1,000		1,000
Total	$	302	$	244	$	14,299	$	14,845

	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:

	June 30, 2024			December 31, 2023
Expected term		6.05 years			7.0 years
Expected volatility		60.8	%		77.0	%
Risk-free interest rate		4.33	%		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:

	June 30, 2024			December 31, 2023
VWAP stock price	$	1.15		$	1.66
Simulation period		1.05 years			1.55 years
Risk-free interest rate		5.07	%		4.48	%
Volatility		107.0	%		95.0	%

SAFE Agreement

The Company concluded that the carrying value of the Third SAFE Agreement approximates the fair value based upon its conversion features and management’s expectation that the Third SAFE Agreement will convert to shares of the Company’s common stock during 2024.

Replacement Warrants

There were no replacement warrants as of June 30, 2024. The Company valued the Replacement Warrants as of December 31, 2023, based on a Black-Scholes Option Pricing Method, which included the following inputs:

	December 31, 2023
Expected term		0.3 years
Expected volatility		78.5	%
Risk-free interest rate		5.4	%
Expected dividend yield		0.0	%