Prime jumbo RMBS
Sequoia Mortgage Trust 2011-1
424B5 filed 2011-02-28, acc 0001144204-11-011311
machine-encoded from the prospectus by the extraction pipeline and tied out over 20 periods (2014-04-25 to 2015-11-25); not yet expert-verified
Backtested periods
20
2014-04-25 to 2015-11-25
Comparison points within $1
99.7%
342 points
Max principal delta
$0.02
interest $527.95 · balance $0.02
What the encoder found in the filings
- class names aligned across report formats: A1->A-1, B1->B-1, B2->B-2, B3->B-3, B4->B-4, B5->B-5
- 8 restatement(s) across 2 date(s): 2013-03-25..2014-04-25; largest A-1 opens -3,409,605.53 off its previous close
- longest run (24 periods from 2011-03-25) misses by $1,136,191.70 on principal; using the 20-period run from 2014-04-25, which ties
- window starts at deal month 38 (2014-04-25); earlier reports are not in the machine-readable run
Capital structure · original faces
A-1
$273,280,000.00
B-1
$7,385,000.00
B-2
$5,171,000.00
B-3
$3,693,000.00
B-4
$2,215,000.00
B-5
$3,693,297.00
viridian = senior (per-pool) · burgundy = cross-collateralized subordinates · IO classes (A-IO) accrue on senior notionals
Worst remaining deltas · computed vs reported
interest
| 2015-11-25 | B-5 | -527.95 |
| 2015-02-25 | B-5 | +0.04 |
| 2015-01-26 | B-5 | +0.03 |
| 2014-09-25 | B-5 | -0.02 |
| 2014-12-26 | B-5 | +0.02 |
principal
| 2015-11-25 | A-1 | +0.02 |
| 2015-11-25 | B-2 | +0.01 |
| 2015-11-25 | B-4 | -0.01 |
| 2015-11-25 | B-1 | -0.01 |
| 2014-11-25 | B-3 | +0.00 |
ending balance
| 2015-09-25 | A-1 | +0.02 |
| 2015-06-25 | A-1 | +0.02 |
| 2015-10-26 | A-1 | +0.02 |
| 2015-07-27 | A-1 | +0.01 |
| 2015-08-25 | A-1 | +0.01 |