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 | 14,088.78 | 14,088.78 | 80,245.16 | 80,245.16 | 0.00 |
| 1-AX | 20,228.83 | 20,228.83 | — | — | 0.00 |
| 2-A1 | 35,799.07 | 35,799.81 | 2,847,148.65 | 2,847,148.65 | 0.74 |
| 2-AX | 34,763.83 | 34,764.52 | — | — | 0.69 |
| B-1 | 11,601.25 | 11,600.83 | 327,977.67 | 327,977.67 | 0.43 |
| B-2 | 7,734.17 | 7,733.89 | 218,651.78 | 218,651.78 | 0.28 |
| B-3 | 5,232.34 | 5,232.16 | 147,922.91 | 147,922.91 | 0.19 |
| B-4 | 3,867.08 | 3,866.94 | 109,325.89 | 109,325.89 | 0.15 |
| B-5 | 12,517.44 | 12,517.02 | 0.00 | 0.00 | 0.42 |
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.