◆ Always-on Worker
Pulls every derivative, repo and SFT position against a counterparty across every system, nets it under the master agreements, and emits a single current and potential-future-exposure number. Recomputes live on each position change, not on an end-of-day batch.
Memory
Working The counterparty's live positions, collateral, and netting sets.
Semantic Master-agreement / CSA netting rules, exposure methodology.
Store Position warehouse + netting-set graph
Orchestration
router-fanout MCP
Harness · Managed Agents … sandboxed code execution for netting/PFE calculations; deterministic, reproducible runs with full lineage.
Tools
{ } Trade + collateral systems API ›_ Netting / PFE engine Code exec { } Limit framework API
Evals & guardrails
- Daily reconciliation against the official end-of-day exposure batch; breaks investigated.
- Calculation methodology model-risk validated (SR 11-7).
- Immutable lineage from headline exposure back to source trades.
Frontier edge
- ▲World-model simulation: pre-computes PFE under a sharp spread-widening or a counterparty default to see which limits would breach before the move lands.
- ▲Confidential compute: nets positions across legal entities inside a secure enclave, so cross-entity exposure is aggregated without raw books leaving their jurisdiction.
- ▲On the real-time path: recomputes incrementally on each trade event rather than rebatching the whole netting set.
In numbers
< 10s
Exposure refresh latency
100%
Counterparties aggregated live
Handoffs
Hands to → Limit Breach Monitor
Across ⇢ Markets … counterparty trading desks (position source)