Key facts
- ICE launched Residential Whole Loan Evaluations to price unsecuritized residential mortgages.
- The service covers QM, non-QM, and specialty loans.
- Evaluations can be produced daily or monthly.
- Data inputs include ICE's AFT Prepayment and Credit Model and ICE Home Price Index.
- The service is available via secure file delivery through the ICE Data API.
Intercontinental Exchange (ICE) announced on Wednesday the launch of its new service, ICE Residential Whole Loan Evaluations, designed to provide model-driven pricing for individual, unsecuritized residential mortgages. This offering extends ICE's pricing tools beyond securitized mortgage assets and aims to address a lack of robust pricing infrastructure for the growing segment of residential whole loans in the fixed-income market.
The service will provide evaluations for qualified mortgages (QM), non-qualified mortgages (non-QMs), and specialty loans. The methodology integrates loan-level data provided by clients with ICE's existing mortgage data and analytics. Key inputs include ICE's AFT Prepayment and Credit Model, which forecasts prepayments, defaults, and delinquencies, the ICE Home Price Index covering approximately 28,000 ZIP codes, and ICE origination data sourced daily from over 3,000 lenders. The home price data is used to estimate current loan-to-value ratios, while origination data helps calibrate spread and yield inputs.