Waterfall Forensics
We ran the contract forward for eight years. It matched to the penny.
Sequoia Mortgage Trust 2013-1: deconstructed from its prospectus into an executable encoding, then replayed against every monthly distribution the trustee ever reported — 93 periods, February 2013 through final termination.
$363M
of actual distributions reproduced
99.7%
of 2,139 comparisons within $1
$0.08
worst principal delta, ever
Every period, every class — computed from the contract vs. reported by the trustee
| Class | Interest computed | Interest reported | Principal computed | Principal reported | Δ |
|---|---|---|---|---|---|
| 1-A1 | 32,973.10 | 32,973.10 | 828,772.11 | 828,772.11 | 0.00 |
| 1-AX | 48,944.98 | 48,945.07 | — | — | 0.09 |
| 2-A1 | 102,086.44 | 102,086.44 | 767,022.65 | 767,022.65 | 0.01 |
| 2-AX | 100,051.31 | 100,051.32 | — | — | 0.01 |
| B-1 | 24,161.55 | 24,161.56 | 70,591.71 | 70,591.71 | 0.01 |
| B-2 | 16,107.70 | 16,107.71 | 47,061.14 | 47,061.14 | 0.01 |
| B-3 | 10,897.23 | 10,897.23 | 31,837.93 | 31,837.93 | 0.01 |
| B-4 | 8,053.85 | 8,053.85 | 23,530.57 | 23,530.57 | 0.00 |
| B-5 | 12,697.77 | 12,697.79 | 0.00 | 0.00 | 0.02 |
drag through 93 distribution dates — Δ is the summed absolute difference between the contract-computed and trustee-reported figures for the period
Or see all 93 periods at once: the tie-out heatmap ›
How
The governing documents are deconstructed into a provenance-linked encoding — every waterfall step, trigger, and floor provision cites the clause that defines it. A deterministic interpreter executes that encoding, period by period, against the collateral cashflows the trustee reported. State rolls forward on computed values only; an error anywhere would compound and surface. It doesn't.
The same engine then runs Monte Carlo counterfactuals — what should have happened under different prepayment, default, or servicing behavior — and exports the whole model as readable Python your own analysts run and defend. Every encoding is open to clause-by-clause verification, and every verification lands in an append-only ledger.