E1 · Reviewed-opening loan accounting
USD quarterly accounting, sourced rate observations and mandatory PIK; opening-mode forward DCF remains unsupported.
Calculation / workflow path Example / evidenceHow to read this matrix
Support applies to the stated combination of instrument, terms, evidence and workflow—not every instrument with the same label. Examples are synthetic. A status describes product coverage, not regulatory approval or client acceptance.
Supported
Implemented path and demonstrated example within the stated boundary.
Conditional
A narrower path or retained workflow exists; map and verify the client’s exact case before promising it.
Unsupported
No accepted calculation or workflow for this combination. Do not substitute another engine.
Owners below are accountable roles, not automatic approvals. Client preparer/reviewer assignments and the agreed pilot scope still apply. NSigma owns product-boundary confirmation.
Accounting
Loan carrying values and receipts. Accounting eligibility does not establish valuation or covenant eligibility.
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| Convention / instrument | Status and exact boundary | Required source evidence | Example, path and owner |
|---|---|---|---|
| USD cash-pay bullet; reviewed opening balances | Supported Quarterly US 30/360, dated benchmark plus spread and contractual floor. Zero OID/fees and opening receivable; principal = opening cost = carrying. | Reviewed opening register; agreement pages; complete dated rate intervals; receipt allocations. | Meridian Q3: $18m carrying and $450,000 coupon. E1Owner: Fund controller |
| Mandatory PIK bullet; reviewed opening balances | Supported Same USD/quarterly convention. Opening principal already includes historical PIK; current PIK is added once. | Opening principal and cumulative PIK; sourced mandatory rate; booked ANC_PIK ledger. | Havenmark: $14.2m opening principal includes $200,000 historical PIK. E1Owner: Fund controller |
| Dated rate changes and first/final short periods | Supported Opening mode covers complete observed intervals through quarter end using US 30/360. No future reset curve or historical reconstruction. | Rate source, observation/effective dates and interval coverage; independent opening review. | Existing rate-boundary, first-stub ($2,500) and final-stub worked examples. E2Owner: Fund controller |
| Original full-life cash/PIK bullet accounting | Supported USD reporting convention; quarterly 30/360 periods from origination. One benchmark/floor/spread and fixed PIK assumption across the schedule. | Every term has reference, page and quotation; actual cash and SBA ledger remain separate. | Foundation $1m cash-pay / 4%: $10,000 quarterly; 4% PIK: $10,000 then $10,100. E3Owner: Fund controller |
| Level-principal amortization, amortizing PIK, OID/fees | Conditional Original engine only: equal original-principal installments plus final payoff and effective-interest accretion. Not supported in reviewed-opening mode; validate the client structure before committing. | Full origination terms, fee/OID basis and sourced receipts; client-specific reconciliation. | Existing original-engine reference fixtures; no combined-book opening-mode example. E3Owner: Fund controller + NSigma implementation lead |
| PIK toggle or fixed-rate loan representation | Conditional The original “pik_toggle” label uses a fixed cash/PIK split, not dated elections. Cash coupon is max(benchmark, floor) + spread; a fixed-rate representation needs explicit reviewed mapping. | Agreed mapping of contractual coupon and fixed PIK split; no hidden election or reset assumptions. | Existing 5% cash / 4.5% PIK accounting fixture; not a discretionary toggle. E3Owner: Fund controller + NSigma implementation lead |
| Revolver, discretionary PIK, bespoke amortization | Unsupported No revolving carrying engine, dated PIK-election engine or arbitrary amortization schedule. Existing position storage is not calculation support. | Client terms identify the gap; keep outside the calculated accounting scope. | Havenmark revolver is excluded from the combined SBIC holding population. E1Owner: NSigma implementation lead |
| Other currencies/day-counts/frequencies; opening-mode early repayment or charge-off | Unsupported No FX conversion, ACT/360 or ACT/365 accounting, monthly/semiannual schedules, or opening-mode early-payment/charge-off treatment. | Explicit currency, dates and cash terms required to qualify; never convert missing data to zero. | Existing non-USD, ACT/365, fee and opening-receivable rejection examples. E2Owner: NSigma implementation lead |
Valuation
Proposed DCF values, administrator marks and retained human decisions are separate.
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| Convention / instrument | Status and exact boundary | Required source evidence | Example, path and owner |
|---|---|---|---|
| Performing USD cash-pay bullet DCF | Supported Fixed coupon or floating benchmark + margin with optional floor; quarterly resets for floating loans. US 30/360, immediately after coupon; bullet principal. | Principal, terms, projection, discount, calibration, market, borrower and structure references/rationales; all eligibility confirmations reviewed. | Saved synthetic regression: $10m principal, 9.5% coupon, 12% yield → $9,421,710.99. E4Owner: Valuation preparer + independent reviewer |
| DCF schedule and measurement | Supported Regular 90-day quarters or explicit quarter-end schedule with final short period; no business-day adjustment. Clean = dirty at the supported after-coupon measurement. | Coupon calendar, measurement date and maturity; confirmation of the chosen schedule. | Existing one-day final-stub example: $2,638.89 coupon on $10m. E4Owner: Valuation reviewer |
| Flat benchmarks, calibration and sensitivity | Supported Reviewed flat projection/discount assumptions, not forward curves. Inception calibration requires fair-value transaction confirmation. Yield sensitivity holds cash flows constant. | Dated benchmarks, transaction price/rationale, calibrated spread and supported adjustments. | Existing par calibration and ±100/200bp sensitivity examples. E4Owner: Valuation reviewer |
| Standalone proposed DCF: PIK/amortizing/OID/default/revolver/option loans; other currencies or mid-period marks | Unsupported No proposed DCF for these combinations, warrants/convertibles, unfunded commitments, fees, prepayment/default or arbitrary schedules. Opening-accounting eligibility does not enable forward DCF. | Eligibility evidence must identify and stop an unsupported proposal. | Existing rejection examples: PIK, EUR, amortization and mid-period measurement. E4Owner: NSigma implementation lead + valuation reviewer |
| Original SBIC GAAP recomputation for PIK/amortizing loans | Conditional Separate from the standalone proposed DCF. Quarterly 30/360 remaining-flow PV supports the original fixed-split PIK and level-amortizing families, with submitted/evidence yield build-ups. Reviewed-opening mode has no forward DCF. | Sourced original principal, elapsed/remaining periods, contractual cash/PIK split and yield evidence; qualify client terms. | Existing original SBIC GAAP reference examples; not an NSNS opening-mode mark. E11Owner: Valuation reviewer + NSigma implementation lead |
| Administrator marks, movement and divergence | Supported Retain supplied marks and methods; compare credit marks with covenant cushions across up to four trailing observations. Equity remains a separate basket. Implied multiple uses annualized quarterly EBITDA. | Administrator investment marks, approval history, quarterly financials and covenant series. | Kilnbrace credit mark/performance divergence; zero equity remains separate. E5Owner: Valuation reviewer |
| Market comparable, recent transaction, cost; equity/warrant valuation | Conditional Method labels and externally decided values can be retained. These labels do not implement comparable-company, option-pricing or equity DCF engines. Equity MOIC is separate from valuation. | External methodology, source values and human disposition; qualify the exact security. | Existing credit valuation methods and equity marks; no general automatic equity/warrant pricing claim. E5Owner: Valuation reviewer |
Covenants
Borrower certificates are the comparison evidence. Agreement-defined calculations are distinct from supplied actuals.
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| Convention / instrument | Status and exact boundary | Required source evidence | Example, path and owner |
|---|---|---|---|
| Gross/senior leverage, interest coverage, minimum LTM EBITDA | Supported Named contractual templates, effective-dated thresholds, USD millions and sourced LTM inputs. Compliance and cushion status are shown separately. | Agreement definition/amendments; four-quarter basis; mapped add-backs/caps/rounding; borrower certificate. | Brakeholt Q3 leverage 4.50× vs 4.00×; borrower reported 4.20×, mismatch acknowledged. E6Owner: Credit preparer + independent reviewer |
| Net debt with fixed cash cap; true FCCR | Conditional Existing templates require the exact supported definition. FCCR needs cash interest, scheduled principal, capex, taxes and distributions or reviewed exclusions. | Sourced debt/cash cap or all fixed-charge inputs; missing evidence returns Not tested. | Brakeholt Q3 FCCR is Not tested because scheduled-principal support is missing. E6Owner: Credit reviewer |
| Legacy quarterly monitoring / supplied actuals | Supported Legacy EBITDA = revenue − COGS − SG&A; quarterly leverage and interest coverage. A supplied actual remains labelled not independently verified. | Quarterly financial source, applicable threshold and retained certificate comparison. | Original six borrowers retain supplied comparisons, distinct from Brakeholt contractual results. E6Owner: Credit reviewer |
| Waivers, cures, springing conditions and liquidity | Conditional Existing reviewed register supports bounded condition shapes and temporal relief; it retains raw breaches. Daily liquidity uses UTC calendar observations. | Agreement clause, period, evidence and independent disposition; exact client clause must fit the implemented shape. | Saved Q2 springing, liquidity/grace and excess-cash examples; historical waiver acceptance in the handoff. E7Owner: Credit reviewer |
| Arbitrary covenant formula, FX netting, unsourced annualization | Unsupported No general legal-definition interpreter, multi-currency consolidation or invented LTM inputs. Loan payment frequency does not determine covenant reporting frequency. | Map the actual definition and reporting period before promising coverage. | An unmapped formula or missing fixed-charge input cannot be called a verified pass. E6Owner: NSigma implementation lead + credit reviewer |
SBA reporting support
A sourced workpaper is not an SBA filing or a determination of regulatory eligibility.
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| Convention / instrument | Status and exact boundary | Required source evidence | Example, path and owner |
|---|---|---|---|
| Supported loan/equity/warrant records and SBA cost bridge | Supported USD / USD-million source units normalize to decimal money; retain cost, SBA value and GAAP mark separately. Apply the existing position rules and ledger codes. | Reviewed investment schedule, dated ledger, depreciation evidence and identity mapping; no inferred missing value. | Q3 ten holdings: $100.4m GAAP, $95.6m SBA; original $0 equity retained. E8Owner: SBIC controller + independent reviewer |
| Capital impairment cross-check and quarter package | Supported Existing capital engine checks sourced regulatory/TB inputs against the filed figure; independent confirmation precedes close. Issued versions preserve their basis. | Regulatory policy mappings, TB controls, filed comparator and reviewed population; resolve blocking reconciliation. | Retained NSNS Q3 close, capital computation and downloadable support workbook. E8Owner: SBIC controller + independent reviewer |
| Form 468 schedules and exports | Conditional Current supported population, reconciliation, Schedule 1/3/4 and computation workpapers; confirm the client’s applicable form, mappings and official output separately. No complete-return or filing promise. | Applicable template/rules, source schedules, independent review and actual filing evidence outside this demo. | Saved Q3 workpaper exports; official blank assets are separate from generated support. E8Owner: SBIC controller |
| Loan accounting applicability for equity/warrants | Unsupported Loan carrying calculations do not apply to equity/warrants. Their sourced values can still appear in the reporting population. | Security type and external value evidence; do not apply a loan interest schedule. | Meridian/Summit equity rows show loan accounting not applicable. E8Owner: SBIC controller |
| Closing / Form 480 / 652 / quarterly 1031 automation; full fund/LP pack | Unsupported Not delivered by this component. A future-state capability deck is not current acceptance evidence. Partner schedules, dated equity XIRR and arbitrary waterfalls are not promised here. | Separate component acceptance and client scope required; no assumed signing or submission. | Master book components 2A–2C and later 4A–4C remain separate work. E9Owner: NSigma delivery lead + client sponsor |
Deployment & ownership
Each client receives a dedicated instance and database, configured for the agreed credit book, with perpetual deployment rights and ownership of its data. Those rights do not by themselves promise source-code ownership. NSigma support is optional; the client’s internal IT team can operate the delivered deployment. Hosting, backups, security maintenance and third-party services remain operating costs.
Enabled modules and actual review permissions govern the working application. The public clickable demo is a frozen, read-only copy: it shows retained examples and downloads, and does not accept uploads, create approvals or send messages. Deployment and client acceptance must be evidenced separately.
Collection and alerts: reviewed requirements, UTC deadlines, scoped uploads, receipt review and deduplicated inbox evaluation are implemented. Reminder/escalation delivery is simulated. A scheduler, scoped service account, operating calendar, live transport and observed delivery remain deployment tasks; no live-email success is claimed. E10
AI-assisted extraction requires configured services and human review. It can transmit source text to the configured provider; agree data handling before enabling it. Retained uploads are convenience copies, not the document system of record. Missing data stays missing; proposed, approved and filed figures remain distinct.
Owner: client IT for operation and backups; client controller/CCO for evidence and acceptance; NSigma delivery lead for agreed scope. Before promising a pilot, identify the exact engine, match all conventions, gather the evidence and have these owners resolve every conditional item.
Partner capital and fund schedules · component 4A
Available through the sourced USD net-allocation adapter, independent review and retained original/replacement outputs. Open the saved synthetic example and workbooks. Full LP packs and dated equity returns remain outside this component. Earlier limitation rows below describe their original component baseline.
Dated equity returns · component 4B
Reviewed sourced lifetime flows and terminal marks support position and aggregate equity-only XIRR. Open the retained example and workbooks. Sparse legacy records still have no XIRR. This does not provide fund-net or LP returns.
Examples & calculation paths
Open the saved public examples below. Technical source links point to the private repository baseline ba0bb3e and require repository access. Existing fixtures are identified as fixtures, not client acceptance or newly verified live workflows.
E2 · Rate boundaries and short periods
Answer-key cases rate-boundary, first-stub, final-stub and opening-pik-not-counted-twice. These edge cases are saved worked examples, not new public client records.
Calculation / workflow path Example / evidenceE3 · Original accounting conventions
Original engine family names do not establish support for discretionary PIK or a bespoke amortization schedule.
Calculation / workflow path Example / evidenceE4 · Proposed cash-pay DCF
Fixture-derived demonstration; not the combined NSNS opening-accounting valuation. Human disposition is required; no automatic approved mark and no independent ASC 820 certification.
Calculation / workflow path Example / evidenceE5 · Mark evidence and equity metrics
Compare loan marks with administrator investment marks. The method label is retained evidence, not another pricing engine; legacy equity has MOIC, not dated XIRR.
Calculation / workflow path Example / evidenceE6 · Covenant calculation and comparison
Four Brakeholt contractual results are calculation-verified; the original-six supplied comparisons remain explicitly not independently verified.
Calculation / workflow path Example / evidenceE7 · Reviewed contractual register
Review and relief do not erase the raw breach or issued historical result.
Calculation / workflow path Example / evidenceE8 · SBA computations and retained outputs
An applicability label may prove source presence only; a retained, reviewed calculation and reconciled population supply the economic evidence. Filed figures remain the comparator.
Calculation / workflow path Example / evidenceE9 · Undelivered component boundaries
Form 1031/closing automation and later fund/LP work are separate component commitments; no future-state document upgrades current support.
Example / evidenceE11 · Original SBIC GAAP valuation
Fixed-split PIK and level amortization are distinct from discretionary elections, and from the more restrictive standalone proposed DCF.
Calculation / workflow path Example / evidenceE10 · Collection and deployment
Real transport and scheduled operation are not enabled. Client IT must establish and prove those deployment choices.
Calculation / workflow path Example / evidenceNSight by NSigma · Component 1B · Current-scope reference, 27 September 2026. Requalify affected rows when an engine or deployment changes. Back to matrix key