The LatAm Yield Arbitrage Nobody Talks About

Since the CETES and Brazilian Letra do Tesório Nacional (LTN) integrations went live, a persistent 350–480 bps spread has existed between the real yield of these tokenized emerging-market instruments and the cost of borrowing USDf on Morpho Blue vaults optimized by Falcon liquidity. Sophisticated users—mostly remittance-focused funds and family offices—are depositing $200 k–$5 m chunks of tokenized CETES (currently ≈22 % of all RWA collateral in the vault), minting USDf at 105.5 % collateralization, and immediately supplying that USDf into 98 % LTV Morpho vaults that pay 7.2–8.1 %.#falconfinance $FF

Net carry: 2.9–4.2 % annualized in real terms, fully on-chain, with no duration or forex risk. The trade only works because Falcon’s risk engine treats short-dated sovereign LATAM paper as tier-1 collateral (105–107 % ratio) while the broader DeFi market still prices USDf borrowing demand as if it were purely crypto-backed. The spread has persisted for 11 weeks and shows no sign of closing as new LATAM tokenization pipelines from Etherfuse and Liink come online.@Falcon Finance