{
  "tool_id": "art-530-default-fund-cover2-sizing",
  "kernel_id": "art-530-default-fund-cover2-sizing",
  "display_name": "CCP Default Fund Cover-2 Sizing",
  "tool_version": "1.0.0",
  "mandate_type": "risk_parameter",
  "purpose": "Sizes a CCP default fund under the PFMI Principle 4 \"Cover 2\" standard: fund size must be at least the largest plus second-largest clearing-member stress loss across caller-declared stress scenarios. Applies each caller-declared scenario loss rate (in basis points, shaped from qfa-03-stress-test-engine's scenario_losses output as a chained input) to every caller-declared member exposure, ranks members per scenario, takes the two largest, and checks a caller-declared fund size against the worst scenario across the declared set. Not a stress-loss engine itself -- qfa-03 already computes multi-scenario portfolio stress losses; this node consumes that shape read-only and never reimplements it. Region-portable: no CCP, currency, or jurisdiction is hardcoded. Arithmetic sizing check only, no fund-size recommendation.",
  "control_description": "Sizes a CCP default fund under the PFMI Principle 4 \"Cover 2\" standard: fund size must be at least the largest plus second-largest clearing-member stress loss across caller-declared stress scenarios. Applies each caller-declared scenario loss rate (in basis points, shaped from qfa-03-stress-test-engine's scenario_losses output as a chained input) to every caller-declared member exposure, ranks members per scenario, takes the two largest, and checks a caller-declared fund size against the worst scenario across the declared set. Not a stress-loss engine itself -- qfa-03 already computes multi-scenario portfolio stress losses; this node consumes that shape read-only and never reimplements it. Region-portable: no CCP, currency, or jurisdiction is hardcoded. Arithmetic sizing check only, no fund-size recommendation.",
  "declared_inputs": [
    "qfa-03-stress-test-engine"
  ],
  "declared_outputs": [],
  "kernel_digest": "sha256:4d53619712ff1da614212e1de80b28da3a815322d590e9fa5f7dd3db647c59b2",
  "trust_label": "independently verified: zkVM execution proof (risc0/groth16-bn254)",
  "data_vintage": "2026-08-04",
  "last_validated": "2026-08-04",
  "conformance_fixtures_vendored": true,
  "compute_proof_ready": "ready",
  "wave": 81,
  "source_url": "https://ainumbers.co/chaingraph/art-530-default-fund-cover2-sizing.html",
  "generated_at": "2026-08-15T11:12:17.704Z"
}