Transparent pricing for residential whole loan markets
ICE Whole Loan Evaluations extend our established evaluated pricing process to individual, unsecuritized loans — delivering transparent, model-driven pricing across qualified mortgage (QM) loans, non-qualified mortgage (Non-QM) loans, and specialty collateral.
For additional information, please refer to the ICE Whole Loan Evaluations Methodology available upon request.
Coverage
QM FIX / Adjustable-Rate Mortgage (ARM), Non-QM FIX / ARM including Alt-A, Reperforming, Subprime, Scratch & Dent, Jumbo, Home Equity Line of Credit (HELOC), Non-Performing, Second Lien and Debt Service Coverage Ratio (DSCR)¹ loans.
Methodology inputs
Powered by ICE’s AFT Prepayment & Credit Model, ICE Home Price Index, and ICE Origination Data — overseen by an experienced evaluator team.
Frequency & delivery
Daily or monthly frequency². Loan-level output via secure file delivery and the ICE Data API, with integrations to major analytics platforms.
What sets ICE apart
ICE brings together proprietary data, precise models, and experienced human oversight to provide comprehensive evaluated pricing for whole loans.
ICE AFT Prepayment & Credit Model
A mature, regularly updated model integrating broad datasets to project prepayments, defaults, and delinquencies at the loan level.
ICE Home Price Index
Micro-level home price data provides greater loan-to-value (LTV) precision, improving credit risk projections and valuations.
ICE Origination Data
An anonymized dataset with daily updates from 3,000+ contributing lenders used to calibrate spread and yield inputs.
Experienced evaluator oversight
A dedicated team of evaluators oversee the evaluation process, managing model inputs, sector spread adjustments, and exception handling at the loan-level.
How evaluations are produced
Evaluations begin with loan-level reference data submitted by the client³ and run through the framework below.
Loan tape
Client provides loan-specific data (loan attributes, ARM, modification data) in an ICE-provided format.
Underlying data
ICE sources and applies relevant information - reference rates, loan-level prepayment, default and cash flow projections.
Market color
ICE incorporates market color into the process, using ICE Origination data, third-party pricing grids, deal runs and bids, and relative securitized bond valuations.
Human analysis
Experienced loan analysts oversee the process, making loan-level and sector spread/other adjustments as appropriate.
Built for real workflows
ICE Whole Loan Evaluations can support a broad range of market participants and use cases across the residential mortgage ecosystem.
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
Investor and auditor reporting
¹ Available Q3 2026.
² For purposes of U.S. residential whole loans, evaluations are provided upon customer request which can be daily evaluations, with evaluations available the following business day, or evaluations on a monthly basis.
³ Due to the nature of this asset class, the Company does not independently verify the accuracy, completeness, or timeliness of client-supplied data. If a client furnishes inaccurate or incomplete data, the evaluations will be impacted.
Important Disclosures
Fixed income evaluations, continuous evaluated pricing, end-of-day evaluations, evaluated curves, model-based curves, market sentiment scores, Size-Adjusted Pricing, and Fair Value Information Services related to securities are provided in the US through ICE Data Pricing & Reference Data, LLC and internationally through ICE Data Services entities in Europe and Asia Pacific. ICE Data Pricing & Reference Data, LLC is a registered investment adviser with the US Securities and Exchange Commission. Additional information about ICE Data Pricing & Reference Data, LLC is available on the SEC's website at adviserinfo.sec.gov. A copy of ICE Data Pricing & Reference Data, LLC ’s Form ADV is available here or upon request.