I've created a handler to fill MDC from incoming request header.

public class CorrelationHandler implements HttpHandler
{
    private HttpHandler next;
    public CorrelationHandler(HttpHandler next) {
        this.next = next;
    }
    @Override
    public void handleRequest(HttpServerExchange e) throws Exception {
        String corr = e.getRequestHeaders().getFirst("IDP-CORR-ID");
        MDC.put("corr", corr);
        next.handleRequest(e);
    }
}

But most of my processing is done in worker thread and mdc is not passed threre. How to pass it?