$FF @Falcon Finance Most users only see the interface: deposit asset → receive USDf. What happens inside the vault is much more intricate. Falcon operates a single, non-fragmented global collateral fund that is simultaneously exposed to dozens of independent risk tranches. When a user deposits wstETH on Ethereum, tokenized Brazilian bonds on Polygon, or a BlackRock BUIDL share on Base, each asset is immediately wrapped in an internal accounting unit called Collateral Credit (CC). These CCs are fungible only within the protocol and are continuously valued against a mixed volatility index derived from Chainlink, Pyth, and a 30-day realized volatility oracle.@Falcon Finance

The system then applies a real-time convex optimization routine (running on-chain through a custom precompilation) that rebalances the over-collateralization buffer every 90 seconds. Instead of fixed ratios per asset, Falcon uses a Value at Risk (99.9%, 24h) model at the portfolio level that can temporarily reduce the effective ratio on low-correlation assets when the overall portfolio risk decreases. In practice, this has allowed the protocol to operate with an average of 112% collateralization during calm markets, while never falling below 152% during the sudden collapse of November 2025 in Solana-based assets.