The Office of Financial Research (OFR) Working Paper Series allows members of the OFR staff and their coauthors to disseminate preliminary research findings in a format intended to generate discussion and critical comments. Papers in the OFR Working Paper Series are works in progress and subject to revision. Views and opinions expressed are those of the authors and do not necessarily represent official positions or policy of the OFR or Treasury. Comments and suggestions for improvements are welcome and should be directed to the authors. OFR working papers may be quoted without additional permission. Central Counterparty Default Waterfalls and Systemic Loss Mark Paddrik Office of Financial Research mark.paddrik@ofr.treasury.gov Simpson Zhang Office of the Comptroller of the Currency simpson.zhang@occ.treas.gov 20-04 | June 18, 2020