Jaime only had one purpose for secretly coming to look for Sophie in the middle of the night. He wanted to find out what Sophie and his mother had gone through during this whole time, and who was the person who had saved them.
He had also listened to his mother talking about the specific process of their experience when they were at the dining table. She had told them the version of the story where this so-called mysterious person had rescued them, but he had never shown up to reveal his identi