Fair Value Measurement (Tables)
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6 Months Ended |
Jun. 30, 2022 |
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| Fair Value Disclosures [Abstract] |
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| Carrying values and fair values of assets and liabilities recorded at fair value on a recurring and non-recurring basis |
The carrying values and fair values of Sunlight’s assets and liabilities recorded at fair value on a recurring or non-recurring basis, as well as other financial instruments for which fair value is disclosed, at June 30, 2022 and December 31, 2021 were as follows:
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Principal Balance or Notional Amount |
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Carrying Value |
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Fair Value |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
| June 30, 2022 (Successor) |
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| Assets: |
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| Financing Receivables: |
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| Loan participations, held-for-investment |
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$ |
4,005 |
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$ |
3,541 |
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$ |
— |
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$ |
— |
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$ |
3,290 |
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$ |
3,290 |
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| Loans, held-for-investment |
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284 |
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253 |
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— |
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— |
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220 |
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220 |
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| Cash and cash equivalents |
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68,913 |
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68,913 |
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68,913 |
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— |
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— |
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68,913 |
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| Restricted cash |
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1,581 |
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1,581 |
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1,581 |
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— |
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— |
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1,581 |
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| Contract derivatives |
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85,644 |
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1,504 |
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— |
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— |
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1,504 |
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1,504 |
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| Liabilities: |
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| Debt |
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20,613 |
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20,613 |
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— |
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— |
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20,613 |
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20,613 |
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| Warrants |
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312,225 |
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10,281 |
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— |
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— |
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10,281 |
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10,281 |
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| Guarantee obligation |
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n.a. |
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1,491 |
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— |
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— |
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1,491 |
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1,491 |
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| December 31, 2021 (Successor) |
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| Assets: |
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| Financing Receivables: |
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| Loan participations, held-for-investment |
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4,584 |
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4,051 |
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— |
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— |
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4,260 |
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4,260 |
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| Loans, held-for-investment |
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291 |
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262 |
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— |
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— |
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250 |
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250 |
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| Cash and cash equivalents |
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91,882 |
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91,882 |
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91,882 |
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— |
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— |
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91,882 |
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| Restricted cash |
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2,018 |
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2,018 |
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2,018 |
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— |
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— |
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2,018 |
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| Contract derivatives |
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76,770 |
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1,411 |
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— |
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— |
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1,411 |
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1,411 |
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| Liabilities: |
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| Debt |
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20,613 |
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20,613 |
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— |
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— |
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20,613 |
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20,613 |
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| Warrants |
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312,225 |
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19,007 |
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— |
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— |
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19,007 |
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19,007 |
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| Guarantee obligation |
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n.a. |
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418 |
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— |
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— |
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418 |
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418 |
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| Change in assets measured at fair value on a recurring basis |
Sunlight’s assets and liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows:
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Assets |
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Liabilities |
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Contract Derivatives |
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Warrants |
| December 31, 2021 (Successor) |
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$ |
1,411 |
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$ |
19,007 |
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Transfers(a)
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| Transfers to Level 3 |
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— |
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— |
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| Transfers from Level 3 |
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— |
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— |
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Gains (losses) included in net income(b)
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| Included in change in fair value of warrant liabilities |
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— |
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(8,726) |
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| Included in change in fair value of contract derivatives, net |
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93 |
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— |
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| Included in realized gains on contract derivatives, net |
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3,964 |
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— |
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| Payments, net |
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(3,964) |
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— |
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| June 30, 2022 (Successor) |
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$ |
1,504 |
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$ |
10,281 |
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| December 31, 2020 (Predecessor) |
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$ |
1,435 |
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$ |
5,643 |
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Transfers(a)
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| Transfers to Level 3 |
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— |
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— |
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| Transfers from Level 3 |
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— |
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— |
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Gains (losses) included in net income(b)
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| Included in change in fair value of warrant liabilities |
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— |
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4,065 |
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| Included in change in fair value of contract derivatives, net |
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(787) |
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— |
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| Included in realized gains on contract derivatives, net |
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2,986 |
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— |
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| Payments, net |
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(2,986) |
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— |
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| June 30, 2021 (Predecessor) |
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$ |
648 |
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$ |
9,708 |
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a.Transfers are assumed to occur at the beginning of the respective period, except transfers that occurred at the Closing Date of the Business Combination.
b.Increases in the fair value of liabilities represent losses included in net income.
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| Change in liabilities measured at fair value on a recurring basis |
Sunlight’s assets and liabilities measured at fair value on a recurring basis using Level 3 inputs changed as follows:
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Assets |
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Liabilities |
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Contract Derivatives |
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Warrants |
| December 31, 2021 (Successor) |
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$ |
1,411 |
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$ |
19,007 |
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Transfers(a)
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| Transfers to Level 3 |
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— |
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— |
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| Transfers from Level 3 |
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— |
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— |
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Gains (losses) included in net income(b)
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| Included in change in fair value of warrant liabilities |
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— |
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(8,726) |
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| Included in change in fair value of contract derivatives, net |
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93 |
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— |
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| Included in realized gains on contract derivatives, net |
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3,964 |
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— |
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| Payments, net |
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(3,964) |
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— |
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| June 30, 2022 (Successor) |
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$ |
1,504 |
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$ |
10,281 |
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| December 31, 2020 (Predecessor) |
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$ |
1,435 |
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$ |
5,643 |
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Transfers(a)
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| Transfers to Level 3 |
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— |
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— |
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| Transfers from Level 3 |
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— |
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— |
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Gains (losses) included in net income(b)
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| Included in change in fair value of warrant liabilities |
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— |
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4,065 |
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| Included in change in fair value of contract derivatives, net |
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(787) |
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— |
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| Included in realized gains on contract derivatives, net |
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2,986 |
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— |
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| Payments, net |
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(2,986) |
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— |
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| June 30, 2021 (Predecessor) |
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$ |
648 |
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$ |
9,708 |
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a.Transfers are assumed to occur at the beginning of the respective period, except transfers that occurred at the Closing Date of the Business Combination.
b.Increases in the fair value of liabilities represent losses included in net income.
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| Significant inputs and assumptions used in the valuation of contract derivatives, share-based compensation, and warrants |
Significant inputs used in the valuation of Sunlight’s contract derivatives include:
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| Contract Derivative |
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Significant Inputs |
| 1 |
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Inputs include expected cash flows from the financing and sale of applicable Indirect Channel Loans and discount rates that market participants would expect for the Indirect Channel Loans. Significant increases (decreases) in the discount rates in isolation would result in a significantly lower (higher) fair value measurement. |
| 2 |
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Inputs include expected prepayment rate of applicable Indirect Channel Loans sold to the Indirect Channel Loan Purchaser. Significant increases (decreases) in the expected prepayment rate in isolation would result in a significantly higher (lower) fair value measurement. |
The following significant assumptions were used to value Sunlight’s contract derivative:
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Successor |
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June 30, 2022 |
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December 31, 2021 |
| Contract Derivative 1 |
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| Discount rate |
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11.8 |
% |
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10.0 |
% |
| Weighted average life (in years) |
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0.2 |
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0.2 |
| Contract Derivative 2 |
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| Expected prepayment rate |
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75.0 |
% |
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75.0 |
% |
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Successor |
| Assumption |
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June 30, 2022 |
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Class A common share value per share(a)
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$ |
2.95 |
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Implied volatility(a)
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61.6 |
% |
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Dividend yield(b)
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— |
% |
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Time to expiry (in years)(a)
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4.0 |
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Risk free rate(a)
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3.0 |
% |
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a.Significant increases in these assumptions in isolation would result in a higher fair value measurement.
b.Significant increases in these assumptions in isolation would result in a lower fair value measurement.
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