The development of new processor capabilities which enable hardware-based memory encryption, capable of isolating and encrypting application code and data in memory, have led to the rise of confidential computing techniques that protect data when processed on untrusted computing resources (e.g., cloud). Before confidential computing technologies, applications that needed data-in-use protection, like outsourced or secure multiparty computation, used purely cryptographic techniques, which had a large negative impact on the processing performance. Processing data in trusted enclaves protected by confidential computing technologies promises to protect data-in-use while possessing a negligible performance penalty. In this paper, we have analyzed the state-of-the-art in the field of confidential computing and present a Confidential Computing System for Artificial Intelligence (CoCoS.ai), a system for secure multiparty computation, which uses virtual machine-based trusted execution environments (in this case, AMD Secure Encrypted Virtualization (SEV)). The security of the proposed solution, as well as its performance, have been formally analyzed and measured. The paper reveals many gaps not reported previously that still exist in the current confidential computing solutions for the secure multiparty computation use case, especially in the processes of creating new secure virtual machines and their attestation, which are tailored for single-user use cases.