Continuous multilateral risk optimization — all bilateral, market-risk-neutral, proven.
PTRRS compresses redundant positions, rebalances portfolios, and reduces basis risk across participants — without creating a SEF, DCO, or CCP.
View My Optimization →What is PTRRS?
Post-Trade Risk Reduction Services (PTRRS) are defined by CFTC No-Action Letter 26-20 as services that compress redundant positions, rebalance swap portfolios, or mitigate basis risk after trades are executed — without constituting a swap execution facility (SEF), designated contract market (DCM), or derivative clearing organization (DCO). PTRRS runs identify sets of bilateral legs across participants that, taken together, reduce each participant's risk without changing their net market exposure.
The Nine Conditions
Letter 26-20 specifies nine binding conditions. Every condition is a code-enforced invariant — a run that violates any condition is rejected before it reaches participants.
Market-risk-neutral
Each participant's net market risk does not increase within tolerance τ after the run.
Tail-VaR reducing
Total tail-VaR must be lower for each participant. Runs that increase any participant's tail-VaR are rejected.
No cleared→uncleared
Cleared positions are never moved to uncleared status. No clearing-evasion.
Non-price-forming
Runs use a stale, pre-identified curve — not live market prices. No price discovery function.
All-or-nothing
Each run component is accepted or rejected in full. No partial cherry-picking of legs.
No mutualization
No guarantee fund, no multilateral novation, no central counterparty. Named bilateral legs only.
Anti-homogenization
System-wide HHI must not worsen. Runs that concentrate the market are rejected.
Disinterested operator
Tomorrow and affiliates are never a counterparty to any fabric leg — hard-coded invariant.
Recordkeeping
Full audit trail: neutrality proof, leg details, participant consent, timestamps — retained per CFTC requirements.
How a Run Works
The fabric runs hourly. Each run identifies sets of bilateral legs across the participant portfolio that satisfy all nine conditions. Every participant receives a neutrality proof — a signed document showing the capital freed, tail-VaR reduced, and the bilateral counterparties involved. Participants with an armed autonomy mandate auto-consent if the run falls within their tolerance bands. Manual participants receive an all-or-nothing choice: accept all proposed legs or reject the entire run — no partial selection.
What Makes This Different
Unlike compression at a CCP, every leg produced by a PTRRS run is named and bilateral: Party A ↔ Party B. There is no guarantee fund, no multilateral novation, no pooled margin, and no central counterparty. The operator is explicitly disinterested — Tomorrow and its affiliates never take a position in any leg. A kill-switch ( RISK_FABRIC_MULTILATERAL_MODE=false) reverts the entire fabric to bilateral N=2 instantly, forward-only, without unwinding any open positions.
The Operator Role
Tomorrow is a registered CTA and NFA member, acting in an advisory role only. The optimization bots act as agents of the participant companies — not as Tomorrow intermediaries. The participants, via their bot-agents, locate counterparties, submit IOIs, and begin negotiations. The activity that could trigger introducing-broker status (soliciting/accepting orders) sits on the participant side. Tomorrow runs the optimization algorithm and proposes risk-reducing transactions — it solicits nothing and holds no margin.
Multi-Jurisdiction
Letter 26-20 covers US participants under CFTC jurisdiction. The UK (FCA/BoE), EU (ESMA/EMIR 3 Article 4b), and Australia (ASIC) have their own PTRRS-equivalent regimes with different authorization requirements (the EU requires an authorized investment firm and independence). Non-US participants receive a per-jurisdiction disclosure document in every run pack. Authorization status under non-US regimes is a separate determination.
Letter 26-20 binds only the issuing CFTC Divisions, is uncodified, and sunsets at the earlier of rulemaking or Dec 31 2028. Participants should obtain independent legal counsel on their PTRRS obligations. The kill-switch exists precisely for this reason.
FAQ
Does this create a SEF?
No. Price formation stays bilateral IOI. PTRRS optimization is non-price-forming: it uses a stale, pre-identified curve (condition N4) and proposes transactions rather than executing them. No order book, no click-to-execute. The SEF trigger under CEA §1a(50)/5h requires a many-to-many price-forming venue — PTRRS is neither.
Can I opt out of a run?
Yes, always. Runs are all-or-nothing (N5) and manual participants can reject any run without reason. An armed autonomy mandate can be revoked at any time. Set RISK_FABRIC_MULTILATERAL_MODE=false to disable the fabric entirely for your institution.
What is the kill-switch?
The env var RISK_FABRIC_MULTILATERAL_MODE=false reverts the fabric instantly to bilateral dry-run mode. No open positions are unwound — the kill-switch is forward-only. Future runs classify and notify but execute no transactions.