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Fair Value Measurement (Tables)
 3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
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 March 31, 2022 and December 31, 2021 were as follows:

Principal Balance or Notional AmountCarrying ValueFair Value
Level 1Level 2Level 3Total
March 31, 2022 (Successor)
Assets:
Financing Receivables:
Loan participations, held-for-investment$4,280 $3,869 $— $— $3,770 $3,770 
Loans, held-for-investment288 257 — — 240 240 
Cash and cash equivalents69,574 69,574 69,574 — — 69,574 
Restricted cash2,355 2,355 2,355 — — 2,355 
Contract derivatives71,356 1,184 — — 1,184 1,184 
Liabilities:
Debt20,613 20,613 — — 20,613 20,613 
Warrants312,225 23,891 — — 23,891 23,891 
Guarantee obligationn.a.408 — — 408 408 
December 31, 2021 (Successor)
Assets:
Financing Receivables:
Loan participations, held-for-investment4,584 4,051 — — 4,260 4,260 
Loans, held-for-investment291 262 — — 250 250 
Cash and cash equivalents91,882 91,882 91,882 — — 91,882 
Restricted cash2,018 2,018 2,018 — — 2,018 
Contract derivatives76,770 1,411 — — 1,411 1,411 
Liabilities:
Debt20,613 20,613 — — 20,613 20,613 
Warrants312,225 19,007 — — 19,007 19,007 
Guarantee obligationn.a.418 — — 418 418 
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:

AssetsLiabilities
Contract DerivativesWarrants
December 31, 2021 (Successor)$1,411 $19,007 
Transfers(a)
Transfers to Level 3— — 
Transfers from Level 3— — 
Gains (losses) included in net income(b)
Included in change in fair value of warrant liabilities— 4,884 
Included in change in fair value of contract derivatives, net(227)— 
Included in realized gains on contract derivatives, net1,909 — 
Payments, net(1,909)— 
March 31, 2022 (Successor)$1,184 $23,891 
December 31, 2020 (Predecessor)$1,435 $5,643 
Transfers(a)
Transfers to Level 3— — 
Transfers from Level 3— — 
Gains (losses) included in net income(b)
Included in change in fair value of warrant liabilities— 2,614 
Included in change in fair value of contract derivatives, net(856)— 
Included in realized gains on contract derivatives, net2,267 — 
Payments, net(2,267)— 
March 31, 2021 (Predecessor)$579 $8,257 
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.Changes in the fair value of liabilities shown as losses included in net income.
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:

AssetsLiabilities
Contract DerivativesWarrants
December 31, 2021 (Successor)$1,411 $19,007 
Transfers(a)
Transfers to Level 3— — 
Transfers from Level 3— — 
Gains (losses) included in net income(b)
Included in change in fair value of warrant liabilities— 4,884 
Included in change in fair value of contract derivatives, net(227)— 
Included in realized gains on contract derivatives, net1,909 — 
Payments, net(1,909)— 
March 31, 2022 (Successor)$1,184 $23,891 
December 31, 2020 (Predecessor)$1,435 $5,643 
Transfers(a)
Transfers to Level 3— — 
Transfers from Level 3— — 
Gains (losses) included in net income(b)
Included in change in fair value of warrant liabilities— 2,614 
Included in change in fair value of contract derivatives, net(856)— 
Included in realized gains on contract derivatives, net2,267 — 
Payments, net(2,267)— 
March 31, 2021 (Predecessor)$579 $8,257 
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.Changes in the fair value of liabilities shown as losses included in net income.
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:
Contract DerivativeSignificant Inputs
1Inputs 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.
2Inputs 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:

Successor
March 31, 2022December 31, 2021
Contract Derivative 1
Discount rate10.4 %10.0 %
Weighted average life (in years)0.20.2
Contract Derivative 2
Expected prepayment rate75.0 %75.0 %
Sunlight uses the observed market price of its publicly-traded Class A common shares and the warrants thereon to measure the value of RSU awards on the grant date and the value of Public Warrants, respectively. For Private Placement Warrants, Sunlight uses an independent third-party valuation firm to value those warrants using a Monte Carlo option pricing model, which includes the following estimates of underlying asset value, volatility, dividend rates, expiration dates, and risk-free rates:
Successor
AssumptionMarch 31, 2022
Class A common share value per share(a)
$5.04 
Implied volatility(a)
53.9 %
Dividend yield(b)
— %
Time to expiry (in years)(a)
4.3 
Risk free rate(a)
2.5 %
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.