Scope sheet
finbryn.com
Credit loss and fair value
Derivative and embedded-feature valuation for financial reporting
Finbryn provides derivative valuation support for financial reporting, marking swaps, FX forwards, warrants and embedded features to fair value under ASC 820 and IFRS 13 off replacement-rate curves, since ASC 848 relief ended December 31, 2024 (ASU 2022-06). It is a reporting valuation, not an opinion; management owns the inputs and the auditor may bring its own specialist.
What is included
- Valuation workbook with curves, inputs and sources dated to the reporting date
- Reconciliation to the counterparty statement with the difference explained
- Level 2 or Level 3 classification memo
- Sensitivity table for the unobservable inputs
- Draft fair value disclosure and the roll-forward for next period
The process
- 1.
Collect the terms
Confirmation, loan agreement, warrant agreement or note, including any reset, ratchet, call or conversion terms and the trade or issue date.
- 2.
Agree the model
A short memo proposes the technique for each instrument and lists the inputs, so management agrees the approach before the number is calculated.
- 3.
Source and date the inputs
Curves, rates and volatilities are tied to a named source and a date. Management assumptions are listed apart and labelled as management's.
- 4.
Calculate and reconcile
The valuation is run, then compared with the counterparty statement, and the difference is explained line by line.
- 5.
Classify and test sensitivity
A hierarchy level is proposed for management to conclude, with the lowest significant input named, and a sensitivity table shows the effect of reasonable changes in the Level 3 inputs.
- 6.
Hand over the audit file
Workbook, memo and draft disclosure go to your controller, and to the auditor's specialist if one is engaged.
Software
Microsoft Excel, Python
Pricing
Scoped per engagement from the number of instruments, the model complexity and the reporting dates covered. It runs separately from the monthly tiers on the /us/pricing rate card, and the fee is confirmed in writing before any valuation starts.
Finbryn is a brand of Northlane Solutions Inc., a Delaware corporation.
Reviewed October 2026