OpenChainGraph Suite · ART-529 · Private-Input Profile · CCP Core

CCP Default Waterfall Recomputation

Recomputes the sequential loss-allocation order at a CCP defaulting-member event: defaulter's initial margin, then the defaulter's default-fund contribution, then the CCP's own skin-in-the-game, then the surviving members' default-fund pool, then assessment powers, per a waterfall structure and loss amount you declare. The structure is not hardcoded to any one CCP's rulebook. Carries an OCG Standard §25 ocg-private-input@1 declaration: the defaulter's initial margin, the defaulter's default-fund contribution, and the surviving-members' default-fund pool are member-level figures, committed via sha256-salted@1, never present in the clear. Distinct in domain from art-509, a securitisation cashflow waterfall unrelated to CCP default management.

OCG §25 Private Input PFMI Principle 4 CCP Default Management Proofs Deferred

🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data; use synthetic or anonymised inputs only. The three member-level figures below stay a private witness: only a salted commitment and the stage-by-stage recompute ever leave this page.

Private Witness: member-level figures (never leave this page in the clear)

Defaulter's IM (minor units)

Defaulter's default-fund contribution (minor units)

Surviving-members' default-fund pool (minor units)

Commitment Salt (hex, ≥256-bit, auto-generated)

Fresh CSPRNG salt per recompute run (SPEC.md §25.1). Never reused, never included in the artifact.

Public Inputs

Loss amount (minor units)

CCP skin-in-the-game (minor units, public)

Currency

Assessment-powers cap (minor units, blank = uncapped)

Waterfall structure (caller-declared order: check to include, drag not required, order below is the applied order)

PFMI Principle 4 default order shown; uncheck a stage to omit it (e.g. it was already exhausted upstream). Order is fixed to this sequence per the declared structure.

defaulter_im PRIVATE

defaulter_default_fund PRIVATE

ccp_skin_in_game PUBLIC

surviving_member_default_fund_pro_rata PRIVATE

assessment_powers PUBLIC

Stage-by-stage recompute

Private-Input Declaration (§25)

Execution Hash (SHA-256)

What this does not do

It does not size a default fund (see CCP-core sibling nodes for Cover-2 sizing), it does not run stress scenarios of its own, and it makes no determination that any CCP's actual published resources are adequate. It is a sequential recompute over a caller-declared structure and a caller-declared loss amount only.