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 | 13,480.12 | 13,480.12 | 531,387.66 | 531,387.66 | 0.00 |
| 1-AX | 18,515.66 | 18,515.66 | — | — | 0.00 |
| 2-A1 | 25,570.89 | 25,576.04 | 2,824,149.90 | 2,824,149.89 | 5.15 |
| 2-AX | 25,101.34 | 25,106.38 | — | — | 5.04 |
| B-1 | 9,040.06 | 9,037.39 | 411,404.23 | 411,404.24 | 2.68 |
| B-2 | 6,026.71 | 6,024.93 | 274,269.49 | 274,269.49 | 1.78 |
| B-3 | 4,077.21 | 4,076.00 | 185,549.55 | 185,549.55 | 1.21 |
| B-4 | 3,013.35 | 3,012.46 | 137,134.74 | 137,134.75 | 0.90 |
| B-5 | 12,266.92 | 12,263.28 | 0.00 | 0.00 | 3.64 |
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.