> For the complete documentation index, see [llms.txt](https://docs.force.xyz/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://docs.force.xyz/asset-directory/force-mort30.md). # FORCE-MORT30 A continuous index of the US 30-year fixed mortgage rate. The contract is quoted **in rate**: an index value of 6.75 means a mortgage rate of 6.75%. | | | | -------------------- | -------------------------------------------------------------- | | Ticker | `FORCE-MORT30` | | Underlying | US 30-year fixed mortgage rate | | Quote | Percent rate, e.g. `6.75` | | Max leverage | 10x | | Sessions | Cash, Extended, Internal | | Live market | [force.xyz/USMORT](https://force.xyz/USMORT) | | Methodology research | [force.xyz/research/USMORT](https://force.xyz/research/USMORT) | ## What it references The US 30-year fixed mortgage rate, as published by a daily rate-lock benchmark. That benchmark publishes **once each business morning** and describes the previous day's lending, so it cannot serve a perp on its own. The index carries it forward using the 10-year Treasury. ## Pricing $$ M(t) = y(t) + x\_k $$ | Term | What it is | When it changes | | -------- | -------------------------------------------------------------------- | -------------------------------------- | | $$y(t)$$ | The live [Force US10Y Oracle](/asset-directory/force-us10y.md) value | Every tick | | $$x\_k$$ | The stored mortgage spread | Only when a new mortgage print arrives | All intraday movement comes from the Treasury leg, used as it comes with no smoothing anywhere in the live path. **The live leg is the US10Y oracle itself**, not a separate feed, which is what determines the sessions below. ## Sessions Because the live leg is the US10Y oracle, FORCE-MORT30 **inherits all three of that market's** [**sessions**](/perp-mechanics/sessions.md). | Session | Published value | | ------------ | ----------------------------------------------------------------------------------------------------------------- | | **Cash** | The stored spread added to the US10Y oracle, while that oracle is on the observed cash yield | | **Extended** | The same expression, while the US10Y oracle is on the aligned futures-implied yield | | **Internal** | An EMA from the last value toward the perp's own impact prices, when no external market prices the 10-year either | The mortgage index is in Extended for the same hours the 10-year is, because its Treasury leg is the 10-year. Overnight moves in Treasury futures reach the published mortgage rate exactly as daytime moves do. The stored spread does not change during any session. ## The daily print When the benchmark publishes, the stored spread is recomputed and the index re-anchors. The print is an **event, not a session**: it can land in any session, and it changes $$x\_k$$ rather than changing which session is active. $$ x\_k = P\_k - \bar{y}(D\_k) $$ | Term | What it is | | ----------------- | -------------------------------------------------------------------------------------------- | | $$P\_k$$ | The published mortgage number | | $$\bar{y}(D\_k)$$ | The average live 10-year yield across the cash session of the lock day that number describes | The spread is **time-matched**: the published number is an average across a whole day of lending, so it is measured against an average across that same day rather than against a single instant. Time-matching makes the index both more accurate and **predictive**. It stays closer to the benchmark than simply republishing the last mortgage print would, and the distance it opens up between prints is confirmed by the number that arrives the next morning, at a correlation of **0.72** across more than 800 daily cycles. The gap the index shows is information arriving early, not error accumulating. ### Why the averaging window is the cash session A borrower's rate does not come from the Treasury market directly. It comes from a **rate sheet**, a price list the lender publishes each morning off mortgage-backed securities, which trade during US cash hours. A lock taken in the evening fills at the last posted sheet, so an overnight move in Treasury futures never reaches it. The averaging window matches the hours that actually set the rate. {% hint style="info" %} The full comparison against the alternatives, and the evidence for both points above, is in the [mortgage methodology research](https://force.xyz/research/USMORT). {% endhint %} ## The coefficient on the 10-year is exactly one The mortgage leg moves one for one with the 10-year rather than with a fitted sensitivity. This is a design choice: it keeps a position in one market netting exactly against a position in the other. See [DV01 and Cross-Hedging](/asset-directory/dv01-and-cross-hedging.md). --- # Agent Instructions This documentation is published with GitBook. GitBook is the documentation platform designed so that both humans and AI agents can read, navigate, and reason over technical content effectively. 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