ICE Extends Evaluated Pricing to Unsecuritized Residential Whole Loans

Intercontinental Exchange (ICE ) announced the launch of Residential Whole Loan Evaluations on September 30, 2026, a service that extends the company’s established evaluated pricing process to individual, unsecuritized residential mortgage loans. The service provides model-driven pricing across qualified mortgage (QM) loans, non-qualified mortgage (non-QM) loans and specialty collateral, with evaluations calculated at a daily or monthly frequency and delivered via secure file delivery through the ICE Data API.

ICE said residential whole loans have been among the fastest growing segments of fixed income yet have lacked a structured price infrastructure. The company characterized the service as filling the gap between securitized and unsecuritized markets, bringing to the whole loan market the same transparent pricing it said has long been available for securitized instruments.

Varun Pawar, Chief Product Officer, Data Services at ICE, said the company has delivered evaluated pricing across a broad range of financial instruments for years. “Bringing this service to the residential whole loans space provides our customers with one pricing source across different loans, and we look forward to continuing to expand into other areas within the mortgage ecosystem,” Pawar said.

Methodology and Data Inputs

The service uses ICE’s established evaluated pricing process and is overseen by a group of experienced evaluators. The methodology incorporates client-provided, loan-specific data alongside proprietary data sets and analytics from ICE’s mortgage and data services business, built around three named inputs. The ICE AFT Prepayment and Credit Model projects prepayments, defaults and delinquencies; ICE’s Whole Loan Evaluations product page describes it as a mature, regularly updated model that integrates broad datasets to produce those projections at the loan level. The ICE Home Price Index supplies micro-level home price data across 28,000 zip codes, which ICE said supports more precise and current loan-to-value (LTV) measurement and improves credit risk projections and valuations. ICE Origination Data provides an anonymized dataset with daily updates from more than 3,000 contributing lenders, used to calibrate spread and yield inputs.

According to the product page, each evaluation begins with loan-level reference data submitted by the client in an ICE-provided format, covering loan attributes as well as adjustable-rate and modification data. ICE then sources and applies underlying information, including reference rates and loan-level prepayment, default and cash-flow projections. Market color enters the process through ICE Origination data, third-party pricing grids, deal runs and bids, and relative securitized bond valuations. A dedicated team of evaluators oversees the process, managing model inputs, making loan-level and sector spread adjustments, and handling exceptions at the loan level.

ICE stated that because of the nature of the asset class it does not independently verify the accuracy, completeness or timeliness of client-supplied data, and that the evaluations will be impacted if a client furnishes inaccurate or incomplete data. A full ICE Whole Loan Evaluations Methodology document is available upon request, the product page noted.

Coverage, Delivery and Use Cases

Coverage spans QM fixed-rate and adjustable-rate mortgages, plus non-QM fixed-rate and adjustable-rate loans that include Alt-A, Reperforming, Subprime, Scratch & Dent, Jumbo, home equity line of credit (HELOC), Non-Performing, Second Lien and Debt Service Coverage Ratio (DSCR) loans.

For U.S. residential whole loans, evaluations are provided upon customer request, either as daily evaluations available the following business day or on a monthly basis. Loan-level output is delivered via secure file delivery and the ICE Data API, with integrations to major analytics platforms.

ICE listed six use cases for the service: portfolio acquisition and due diligence pricing; mark-to-market for balance sheet and regulatory reporting; loan sale execution benchmarking; interest rate and credit risk stress testing; program performance benchmarking; and investor and auditor reporting.

Whole loan evaluations join a pricing data lineup that includes end-of-day evaluations, continuous evaluated pricing, enhanced evaluation transparency, fair value information and leveraged loan evaluations, according to ICE’s pricing data page. ICE describes its end-of-day evaluations as using rules-based logic and standard valuation techniques that vary by asset class and maximize the use of relevant observable inputs, including quoted prices for similar assets, benchmark yield curves and market-corroborated inputs.

The company reported that it provides fixed income evaluations on approximately three million instruments, reference data across global markets, and indices across all asset classes with $2 trillion in assets under management benchmarked to them. For connectivity and data access, ICE offers desktop solutions and data feeds alongside the ICE Global Network, which the company said provides content, delivery and execution services over fiber and wireless networks.

Fixed income evaluations are provided in the United States through ICE Data Pricing & Reference Data, LLC, a registered investment adviser with the U.S. Securities and Exchange Commission, and internationally through ICE Data Services entities in Europe and Asia Pacific.