Global investors hold the USD senior claim; domestic institutions hold a bounded first-loss FX layer for a premium.
Short-dated emerging-market sovereign bills offer substantial premiums over developed-market cash, and conventional FX hedging consumes most or all of it. Emerging-market currencies do not move smoothly; forwards price protection continuously. The structure separates the yield from a defined share of the currency tail.
The senior tranche is denominated in dollars and the junior tranche in the local currency; the two are never blended. The structure is backed by short-dated sovereign bills and permitted cash or deposit balances; the senior and junior claims remain separately denominated and separately accounted for. The senior side pays part of its carry to the junior side in exchange for the junior taking the agreed first-loss layer; the junior, held by a domestic institution, elects that layer in a loss order agreed before entry.
The senior claim is not free of currency risk. Its tail is bounded by the junior layer, and losses beyond that layer remain with the senior. The structure is designed to reduce or park exposure when predefined stress thresholds are reached.
Every trade lives inside a rules-based state machine. The engine computes both NAVs daily from published prices; when cumulative losses reach pre-committed thresholds the trade parks, with exposure coming off by rule rather than discretion. Re-entry follows when the regime clears, subject to entry rules and approval. Human approval gates every capital-impacting instruction.
Any NAV, on any day, is reproducible by an independent fund administrator from raw inputs, parameters, engine version and approval log. An engine change that would move a historical NAV fails the regression suite and cannot ship.
Allocations, market partnerships, banking and custody. Economics and risk budgets are set out in qualified materials, available on request.