Is Your TBA Pricing Up to Par?

The agency TBA (To-Be-Announced) market remains the most liquid and important segment of the U.S. mortgage market. According to FINRA TRACE Volume Reports for Total Trades, agency TBA trading is consistently the highest liquidity channel within agency mortgages. In 2025, agency TBAs averaged about 7.2k trades/day and roughly $292B/day in par traded, versus specified‑pool agency MBS at about 6.2k trades/day and $24B/day. In 2026 YTD (Jan–Mar), TBAs ran about 7.6k trades/day and $344B/day versus $29B/day for specified pools. About ~12× higher notional turnover in TBAs. 

Yet, obtaining reliable and timely pricing can still be challenging. Trading activity varies throughout the day, with trades occurring at different sizes and structures. Additionally, the interval between the last executed trade and the time a price snapshot is taken can lead to uncertainty in pricing.

At S&P Global Market Intelligence, we aim to address these challenges through a pricing methodology that combines observable trade data with market driven adjustments and strong data quality controls.

Trace Prints – Foundation of liquid TBA pricing

Our TBA pricing framework relies primarily on FINRA TRACE prints, which provide a transparent record of executed trades in the market. These trades serve as the core observable inputs used to derive evaluated prices. We apply a series of data filtering and validation steps to strengthen the quality of TRACE inputs. Not all reported trades represent actionable market levels, so our process filters out trades that may distort pricing signals. These may include certain stipulated trades, non-member affiliate trades, cancelled transactions, or trades that fall outside representative size ranges. However, the most recent TRACE trade does not always occur exactly at the time when prices are published. As a result, relying solely on the last trade could lead to prices that do not fully reflect current market conditions.

“On The Top Adjustment” - Accounting for Intraday Market Movements

To address this, we adjust the most recent TRACE observations using real-time U.S. Treasury price movements, particularly the 5year and 10year fixed rate benchmarks used at the time of the last TRACE print and the latest U.S. Treasury prices available closest to the 3:00 PM and 4:00 PM snapshot times. These Treasury points are commonly used as hedging instruments for agency TBAs. We also incorporate daily dealer hedge ratios to translate Treasury movements into expected changes in TBA pricing. This approach allows us to account for market movements that may occur between the time of the trade and the publishing snapshots.

For the below 15-year UMBS 5.0% coupon December settlement, the last TRACE print prior to the 3:00 PM snap occurred at 1:31:09 PM ET on September 30, 2025. The 3:00 PM published price reflects an on‑the‑top adjustment based on Treasury price movements and dealer hedge ratios observed after the last TRACE print, producing a mid‑market valuation that is directionally validated by subsequent post‑snap trading.

Bid-Ask Spread Estimation      

Once the relevant trades are identified and adjusted, we aggregate matched bid and ask observations across the dataset. These observations are size weighted, allowing us to derive an implied daily bid and ask level for each TBA product in the universe. The result is a pricing output designed to reflect both actual market activity and prevailing market conditions at the time of publication.

This analysis focuses on the most liquid segment of the market, using front month 30 - year agency TBA contracts with coupons between 4.5% and 6.0%, which account for most of the current trading activity. Eligible TRACE trades must meet minimum size thresholds and pass a series of quality filters to remove nonrepresentative activity, including duplicate allocations, nonstandard settlements, and dollar roll trades. Buy and sell transactions are paired within a short time window to ensure that observed spreads reflect contemporaneous market conditions, with safeguards such as minimum spread floors and outlier controls applied to enhance stability. The resulting bid-ask spreads are aggregated using median statistics and smoothed through a rolling average, producing a measure designed to reflect true executable transaction costs while remaining robust across varying market environments.

Market Confidence and Decision Making

Accurate TBA pricing plays a key role across the mortgage market ecosystem, supporting portfolio valuation, trading decisions, risk management, and performance benchmarking. By combining observable trade data with market aware adjustments, rigorous data controls, and disciplined spread estimation techniques, our methodology aims to provide market participants with a transparent and reliable view of TBA market pricing.

About TBA pricing by S&P Global Market Intelligence

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