{ "tool_id": "art-529-ccp-default-waterfall-recompute", "note": "OCG Standard §25 ocg-private-input@1. policy_parameters carries ONLY the sha256-salted@1 commitment to the three private member-level figures (defaulter IM, defaulter default-fund contribution, surviving-member default-fund pool) -- never the figures themselves. Disclosure material (salt + plaintext member figures) for these vectors lives OUT-OF-BAND in art-529-ccp-default-waterfall-recompute.disclosure.json (test-only, never shipped as a live artifact field).", "vectors": [ { "name": "loss_absorbed_at_defaulter_im", "description": "Full 5-stage structure. Loss of 500,000.00 USD is smaller than the defaulter IM alone (1,000,000.00 USD), so the waterfall is exhausted at the first stage. No breach.", "policy_parameters": { "currency": "USD", "waterfall_structure": [ "defaulter_im", "defaulter_default_fund", "ccp_skin_in_game", "surviving_member_default_fund_pro_rata", "assessment_powers" ], "loss_amount_minor_units": 50000000, "ccp_skin_in_game_minor_units": 30000000000, "assessment_powers_cap_declared": true, "assessment_powers_cap_minor_units": 100000000000, "member_figures_commitment": "sha256:abb47369cd5665fa19e76b84c34d54a954002bde70b23fb168d1432647abfccd" }, "output_payload": { "currency": "USD", "waterfall_structure": [ "defaulter_im", "defaulter_default_fund", "ccp_skin_in_game", "surviving_member_default_fund_pro_rata", "assessment_powers" ], "loss_amount_minor_units": 50000000, "loss_amount_display": "500000.00", "ccp_skin_in_game_minor_units": 30000000000, "ccp_skin_in_game_display": "300000000.00", "assessment_powers_cap_declared": true, "assessment_powers_cap_minor_units": 100000000000, "steps": [ { "stage": "defaulter_im", "private_figure": true, "absorbed_minor_units": 50000000, "absorbed_display": "500000.00", "exhausted_stage_capacity": false, "loss_fully_absorbed_at_this_stage": true } ], "residual_minor_units": 0, "residual_display": "0.00", "loss_fully_absorbed": true, "breach": false, "rejected_inputs": [], "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." ], "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.", "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." }, "golden_hash": "20602a1bc55a1fa15c8dd796c4ff979259621c331a04ca7adaccd06a0360a106" }, { "name": "breach_capped_assessment_powers_exhausted", "description": "Same 5-stage structure but a large 5,000,000,000.00 USD loss exceeds every stage including a CAPPED assessment-powers call. Residual unallocated remains -- a declared breach.", "policy_parameters": { "currency": "USD", "waterfall_structure": [ "defaulter_im", "defaulter_default_fund", "ccp_skin_in_game", "surviving_member_default_fund_pro_rata", "assessment_powers" ], "loss_amount_minor_units": 500000000000, "ccp_skin_in_game_minor_units": 30000000000, "assessment_powers_cap_declared": true, "assessment_powers_cap_minor_units": 100000000000, "member_figures_commitment": "sha256:3e5d132a1e649c633f0cf4842d716e8da0f3e15cc45b59106454e67d6f9105ec" }, "output_payload": { "currency": "USD", "waterfall_structure": [ "defaulter_im", "defaulter_default_fund", "ccp_skin_in_game", "surviving_member_default_fund_pro_rata", "assessment_powers" ], "loss_amount_minor_units": 500000000000, "loss_amount_display": "5000000000.00", "ccp_skin_in_game_minor_units": 30000000000, "ccp_skin_in_game_display": "300000000.00", "assessment_powers_cap_declared": true, "assessment_powers_cap_minor_units": 100000000000, "steps": [ { "stage": "defaulter_im", "private_figure": true, "absorbed_minor_units": 100000000, "absorbed_display": "1000000.00", "exhausted_stage_capacity": true, "loss_fully_absorbed_at_this_stage": false }, { "stage": "defaulter_default_fund", "private_figure": true, "absorbed_minor_units": 20000000, "absorbed_display": "200000.00", "exhausted_stage_capacity": true, "loss_fully_absorbed_at_this_stage": false }, { "stage": "ccp_skin_in_game", "private_figure": false, "absorbed_minor_units": 30000000000, "absorbed_display": "300000000.00", "exhausted_stage_capacity": true, "loss_fully_absorbed_at_this_stage": false }, { "stage": "surviving_member_default_fund_pro_rata", "private_figure": true, "absorbed_minor_units": 40000000000, "absorbed_display": "400000000.00", "exhausted_stage_capacity": true, "loss_fully_absorbed_at_this_stage": false }, { "stage": "assessment_powers", "private_figure": false, "absorbed_minor_units": 100000000000, "absorbed_display": "1000000000.00", "exhausted_stage_capacity": true, "loss_fully_absorbed_at_this_stage": false } ], "residual_minor_units": 329880000000, "residual_display": "3298800000.00", "loss_fully_absorbed": false, "breach": true, "rejected_inputs": [], "rationale": [ "Waterfall structure: defaulter_im -> defaulter_default_fund -> ccp_skin_in_game -> surviving_member_default_fund_pro_rata -> assessment_powers.", "Loss of 5000000000.00 USD recomputed sequentially across 5 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.", "Residual of 3298800000.00 USD remains unallocated after every declared stage -- a breach of the declared waterfall structure at this loss amount.", "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." ], "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.", "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." }, "golden_hash": "83ec17d0c95a3cb7a0b4683124f5a7f8cecf04336b61631f07b54b013da9a377" }, { "name": "reaches_uncapped_assessment_powers", "description": "A 3-stage structure omitting the defaulter-side stages (already exhausted upstream in a prior recompute) with NO assessment_powers_cap declared -- uncapped -- absorbs the full loss at the assessment_powers stage.", "policy_parameters": { "currency": "USD", "waterfall_structure": [ "ccp_skin_in_game", "surviving_member_default_fund_pro_rata", "assessment_powers" ], "loss_amount_minor_units": 4000000000000, "ccp_skin_in_game_minor_units": 30000000000, "assessment_powers_cap_declared": false, "assessment_powers_cap_minor_units": null, "member_figures_commitment": "sha256:20d36a0d67a171255bbe290f30ec77fe3fa7560915a3bf4f9804f7def0e92abf" }, "output_payload": { "currency": "USD", "waterfall_structure": [ "ccp_skin_in_game", "surviving_member_default_fund_pro_rata", "assessment_powers" ], "loss_amount_minor_units": 4000000000000, "loss_amount_display": "40000000000.00", "ccp_skin_in_game_minor_units": 30000000000, "ccp_skin_in_game_display": "300000000.00", "assessment_powers_cap_declared": false, "assessment_powers_cap_minor_units": null, "steps": [ { "stage": "ccp_skin_in_game", "private_figure": false, "absorbed_minor_units": 30000000000, "absorbed_display": "300000000.00", "exhausted_stage_capacity": true, "loss_fully_absorbed_at_this_stage": false }, { "stage": "surviving_member_default_fund_pro_rata", "private_figure": true, "absorbed_minor_units": 40000000000, "absorbed_display": "400000000.00", "exhausted_stage_capacity": true, "loss_fully_absorbed_at_this_stage": false }, { "stage": "assessment_powers", "private_figure": false, "absorbed_minor_units": 3930000000000, "absorbed_display": "39300000000.00", "exhausted_stage_capacity": false, "loss_fully_absorbed_at_this_stage": true } ], "residual_minor_units": 0, "residual_display": "0.00", "loss_fully_absorbed": true, "breach": false, "rejected_inputs": [], "rationale": [ "Waterfall structure: ccp_skin_in_game -> surviving_member_default_fund_pro_rata -> assessment_powers.", "Loss of 40000000000.00 USD recomputed sequentially across 3 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." ], "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.", "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." }, "golden_hash": "6a9659374325213c4eaef47ebf54e385910cbceb0bc41f6d845a0915d3f66998" } ] }