{
  "tool_id": "art-529-ccp-default-waterfall-recompute",
  "tool_version": "1.0.0",
  "display_name": "CCP Default Waterfall Recomputation",
  "mcp_name": "recompute_ccp_default_waterfall",
  "mandate_type": "analytics_mandate",
  "wave": 83,
  "gpu": false,
  "url": "https://ainumbers.co/chaingraph/art-529-ccp-default-waterfall-recompute.html",
  "description": "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 caller-declared waterfall structure and a caller-declared loss amount. The structure is not hardcoded to any one CCP's rulebook; a caller supplies its own stage order and subset per PFMI Principle 4 and its own published 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 in policy_parameters.member_figures_commitment, never disclosed in the clear. The CCP's own skin-in-the-game and any assessment-powers cap are the CCP's own already-published figures and stay public inputs. Emits, stage by stage, how much of the declared loss each stage absorbed and whether a residual remains unallocated -- a breach of the declared structure at that loss amount. Distinct in domain from art-509-recompute-payment-waterfall, a securitisation cashflow waterfall unrelated to CCP default management. It performs no fund-sizing of its own, no stress-scenario modelling, and makes no determination that any CCP's published resources are adequate.",
  "input_schema_ref": "chaingraph/art-529-ccp-default-waterfall-recompute.html#manifest",
  "consumes": [],
  "feeds": [],
  "status": "live",
  "conformance_fixtures": true,
  "compute_capability": "server",
  "compute_images": [
    {
      "system": "sha256-source",
      "image_id": "sha256:1fa3932e10c166675cb5eaf1c41a165ee448e916df2086e1cf963e95ee4a2f97",
      "valid_from": "2026-07-10"
    },
    {
      "system": "risc0",
      "image_id": "sha256:adf39b5c4e8fe19f9dbc25e2b8eb84090f0ee6c9370f14ad10d5039e8e65b0ec",
      "valid_from": "2026-08-04"
    }
  ],
  "export_capability": [
    "json"
  ],
  "compute_proof_ready": "ready",
  "compute_proof": {
    "type": "ZkVmReceipt",
    "system": "risc0",
    "receiptFormat": "groth16-bn254",
    "imageId": "sha256:adf39b5c4e8fe19f9dbc25e2b8eb84090f0ee6c9370f14ad10d5039e8e65b0ec",
    "seal": "EOHLdLc2X7oSFnQMFdoTTHSO4tSPN2FwDZHCsjlZqpIOAkLYht0soQl43oVRy2b0arHIJ6r7tSAOzL2NlMEsvhLswwHDKnbW9RRDFbiekUrr03oZS3Bc5BvApLKzjfOMAcqU+ITzfHrL7I0qOUJTMHZYVqoVeRaAHe4dCfDJhloA8lG9u3AIZmPiuJ9UfwUNVXglDdGl2CCiQzD2z4qBnSfOHdmZuqwim/p2ZjHIWFczXaCjZp5OESKO2gb7ntM7L0zWzNWNddZd6U6yF0hWLp+zfLrIQ83UYP/BIJOqqfAob+mlJCDG33mObmnHfdf8CmQpL17VfSC2DTyRxo2f4A==",
    "journal": {
      "chaingraph_version": "0.4.0",
      "commitment": "sha256:abb47369cd5665fa19e76b84c34d54a954002bde70b23fb168d1432647abfccd",
      "commitments": [
        "sha256:abb47369cd5665fa19e76b84c34d54a954002bde70b23fb168d1432647abfccd"
      ],
      "kernel_digest": "sha256:1fa3932e10c166675cb5eaf1c41a165ee448e916df2086e1cf963e95ee4a2f97",
      "output": {
        "assessment_powers_cap_declared": true,
        "assessment_powers_cap_minor_units": 100000000000,
        "breach": false,
        "ccp_skin_in_game_display": "300000000.00",
        "ccp_skin_in_game_minor_units": 30000000000,
        "currency": "USD",
        "loss_amount_display": "500000.00",
        "loss_amount_minor_units": 50000000,
        "loss_fully_absorbed": true,
        "note": "Deterministic, single-run recompute of a sequential default-waterfall loss allocation. The defaulter IM, defaulter default-fund contribution, and surviving-member default-fund pool are member-level figures committed via sha256-salted@1 (OCG Standard §25) and never appear in the clear anywhere in this artifact. It forecasts nothing, sizes no fund, and makes no determination that a CCP's published resources are adequate.",
        "provenance": "PFMI Principle 4 (Credit Risk) -- the standing Cover-2 / waterfall-sequencing requirement -- and the caller-declared waterfall structure, which is not hardcoded to any one CCP rulebook.",
        "rationale": [
          "Waterfall structure: defaulter_im -> defaulter_default_fund -> ccp_skin_in_game -> surviving_member_default_fund_pro_rata -> assessment_powers.",
          "Loss of 500000.00 USD recomputed sequentially across 1 stage(s) reached; the three member-level absorption capacities (defaulter IM, defaulter default-fund contribution, surviving-member default-fund pool) are private witnesses committed under OCG Standard §25 ocg-private-input@1, never disclosed in the clear.",
          "Loss fully absorbed; residual unallocated is 0.00 USD.",
          "This is a sequential recompute over a caller-declared waterfall structure and a caller-declared loss amount, per PFMI Principle 4 and each CCP's own published rulebook order. It is not a determination that any CCP's actual default-fund sizing is adequate, and it performs no stress-scenario modelling of its own."
        ],
        "rejected_inputs": [],
        "residual_display": "0.00",
        "residual_minor_units": 0,
        "steps": [
          {
            "absorbed_display": "500000.00",
            "absorbed_minor_units": 50000000,
            "exhausted_stage_capacity": false,
            "loss_fully_absorbed_at_this_stage": true,
            "private_figure": true,
            "stage": "defaulter_im"
          }
        ],
        "waterfall_structure": [
          "defaulter_im",
          "defaulter_default_fund",
          "ccp_skin_in_game",
          "surviving_member_default_fund_pro_rata",
          "assessment_powers"
        ]
      }
    }
  }
}