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 | 12,838.03 | 12,838.03 | 10,624,573.13 | 10,624,573.17 | 0.05 |
| 1-AX | 17,702.21 | 17,702.22 | — | — | 0.01 |
| 2-A1 | 21,864.31 | 21,864.31 | 14,144,030.49 | 14,144,030.48 | 0.01 |
| 2-AX | 21,214.41 | 21,214.39 | — | — | 0.02 |
| B-1 | 7,915.05 | 7,915.05 | 2,667,766.06 | 2,667,766.06 | 0.00 |
| B-2 | 5,276.70 | 5,276.70 | 1,778,510.71 | 1,778,510.68 | 0.03 |
| B-3 | 3,569.81 | 3,569.81 | 1,203,202.98 | 1,203,202.97 | 0.01 |
| B-4 | 2,638.35 | 2,638.35 | 889,255.35 | 889,255.35 | 0.00 |
| B-5 | 16,175.95 | 16,176.03 | 4,178,279.00 | 4,178,278.95 | 0.13 |
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.