Every dollar answers to a clause.

We turn securitization contracts into running code and prove the code against history. Tied out to the penny.

Try the simulation studio Read the tie-out

The simulation studio running Sequoia Mortgage Trust 2013-1: percentile bands for the B-5 ending balance and writedown probabilities for every class

monthly distributions rebuilt, first to last

$363M

of actual cash flows reproduced from the contract alone

99.7%

of 2,139 comparisons within one dollar

$0.08

worst principal miss in eight years

Sequoia Mortgage Trust 2013-1, served live from the verification engine as it runs. Not a screenshot.

This waterfall is live

Eight years of actual distributions replay in about a minute. Every particle is sized by dollars the trustee reported, and every bar tracks a reported balance. Or switch to what-if and drag prepayments and defaults through the same rules. B-5 was locked out of principal from the first distribution date to the last, and this page knows why.

loading the deal's reported history from the engine

rules from the 424B2, pages S-72 to S-77

From filed prospectus to numbers you can swear to.

One verified encoding per deal. Everything downstream runs on it.

Backtested against everything the trustee ever reported

Every period, every class: interest and principal computed from the contract, side by side with the remittance reports. An engine that cannot reproduce the past has no business predicting the future.

Read the tie-out ›

The tie-out browser: contract-computed interest and principal beside the trustee-reported figures for all nine classes of one distribution date

The verification workspace: the Class 1-A1 encoding beside the governing clause of the 424B2, with the append-only confirmation ledger

Your experts verify it, clause by clause

Each encoding sits beside the source text that defines it. Confirm it or flag it. The ledger is append-only: a correction is a new row with a name on it, forever. That is what an expert can stand behind in a deposition.

Open the verification workspace ›

Take the model home

The export is readable Python and R with the clause citations inline, datasets with a source on every row, and a manifest of hashes. One script reproduces the trustee's numbers on your own machine.

Browse the deal library

sequoia_mortgage_trust_2013_1_waterfall.py, generated

# Senior Prepayment Percentage (S-72):
# "for any distribution date occurring
#  before February 2018, 100%"
prepay_pct = min(1.0, pct + shift * sub_pct)

# Subordinate lockout (S-76/77): a class
# at or below 1.20% of closing balance
# stops receiving principal. B-5 fails
# this test on day one.
if cum_junior <= floor_amt:
    locked.add(cls)

Built for the people who have to swear to it.

Expert teams rebuild these models by hand, matter by matter, then throw them away when the case ends. Subscribe to the library instead. Verify once, cite forever.

Create an account Try the simulation studio

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