originations

SEPTEMBER 2021 REPORT

ORIGINATIONSMARKET MONITOR

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

Each month the Black Knight Originations Market Monitor reviews a series of key market

indicators to help provide clarity on mortgage lending activity. By drawing information directly from

origination pipelines, we can provide a more comprehensive and timely sense of monthly market

trends than has previously been available publicly.

The month’s pipeline data showed that rate lock volumes fell across the board as interest rates

rose throughout much of September. Indeed, Black Knight’s OBMMI daily interest rate tracker

showed September’s month-end conforming 30-year rate at 3.2%, with declines in rate/term

and cash-out lending activity driving the refinance share of the market back down below 50%.

Meanwhile, the overall average credit score remained static in September, though declines were

seen in scores on both cash-out and rate/term refis. Both non-conforming and FHA loan products

gained market share in August, while all other products lost ground.

In producing the Originations Market Monitor, Black Knight aggregates and reports the latest

available monthly rate lock data drawn from the company’s Optimal Blue PPE – the most

widely used product and pricing engine in the industry. The company’s Secondary Marketing

Technologies group provides additional market insight by way of dual market-leading hedging

platforms. For more information on gaining access to Black Knight’s secondary-focused solutions

and data assets, please call 844-474-2537 or email AskBlackKnight@bkfs.com.

SEPTEMBER 2021 OVERVIEW

NATIONAL RATE LOCK METRICS

TOP 20 METROPOLITAN AREAS

MARKET RATE INDICES

30-YEAR TO 10-YEAR TREASURY SPREAD

LOCK VOLUME BY LOAN PURPOSE

MIX OF BUSINESS BY LOAN PRODUCT

AVERAGE CREDIT SCORES

PURCHASE & REFI PULL-THROUGH

BEST EFFORTS TO MANDATORY SPREAD

3

4

6

7

8

9

10

12

13

CONTENTS

ORIGINATIONSMARKET MONITOR

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 3

ORIGINATIONSMARKET MONITOR

Here, we look at September's national origination numbers to give a high-level overview of the month's activity. This

information is drawn from Black Knight's Optimal Blue PPE. Click on each chart to see its contents in high resolution.

Climbing rates drove down rate

lock volumes across the board in

September – with the largest decline

seen, once again, in locks on rate/

term refinance loans – though refi

pull-through rates saw a sizeable

uptick, likely a result of the current

rising rate environment.

SEPTEMBER 2021 NATIONAL RATE LOCK METRICS

SEPTEMBER NATIONAL STATS

MONTH-END

CONFORMING RATE

731 3.2%

AVERAGE CREDIT SCORE

The overall average credit score

remained static in September,

though declines in scores on both

cash-out and rate/term refis could

indicate higher credit borrowers

exiting the market as rates rise

9.7%

RATE LOCK VOLUME

Purchase and cash-out refi locks

fell 6%, while rate/term lending

continued to tumble, dropping

18.7% from August and nearly

60% year-over-year

MARKET MIX

Declines in both rate/term and

cash-out activity drove the refi

share of the market back down

below 50%, after breaking that

threshold last month for the first

time since February

Black Knight’s OBMMI daily

interest rate tracker showed

September’s month-end

conforming 30-year rate at

3.2%, 16 basis points higher

than it had started the month

51% 49%RefiPurchase

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 4

ORIGINATIONSMARKET MONITOR

Here, we look at September's top 20 metropolitan statistical areas (MSAs) by share of origination volume. This information is

derived from daily rate lock data from Black Knight's Optimal Blue PPE. Click on the chart to see its contents in high resolution.

SEPTEMBER 2021 TOP 20 METROPOLITAN AREAS

Metropolitan Statistical Area (MSA) % of Lock Volume MoM Growth Avg Loan Amount ($) Avg Rate Avg Credit Score Avg LTV Purchase Refi

NATIONAL 100.0% -9.7% 328,697 3.055 731 76 51% 49%

1 Los Angeles-Long Beach-Anaheim, CA 5.4% -6.7% 590,454 3.004 745 64 100% 0%

2 Washington-Arlington-Alexandria, DC-VA-MD-WV 4.2% -8.1% 458,038 2.911 740 77 100% 0%

3 New York-Newark-Jersey City, NY-NJ-PA 3.8% -14.6% 443,410 3.011 737 72 100% 0%

4 Chicago-Naperville-Elgin, IL-IN-WI 3.3% -13.4% 284,849 3.016 735 77 100% 0%

5 Phoenix-Mesa-Scottsdale, AZ 3.2% -7.6% 340,728 3.132 729 71 100% 0%

6 Seattle-Tacoma-Bellevue, WA 2.7% -9.6% 496,880 3.032 743 71 100% 0%

7 San Francisco-Oakland-Hayward, CA 2.7% -11.4% 673,227 2.972 758 61 100% 0%

8 Dallas-Fort Worth-Arlington, TX 2.5% -10.5% 319,547 3.056 730 76 100% 0%

9 Boston-Cambridge-Newton, MA-NH 2.5% -4.6% 456,549 2.930 745 69 100% 0%

10 Denver-Aurora-Lakewood, CO 2.4% -9.7% 408,845 3.022 742 70 100% 0%

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 5

ORIGINATIONSMARKET MONITOR

Here, we look at September's top 20 metropolitan statistical areas (MSAs) by share of origination volume. This information is

derived from daily rate lock data from Black Knight's Optimal Blue PPE. Click on the chart to see its contents in high resolution.

SEPTEMBER 2021 TOP 20 METROPOLITAN AREAS

Metropolitan Statistical Area (MSA) % of Lock Volume MoM Growth Avg Loan Amount ($) Avg Rate Avg Credit Score Avg LTV Purchase Refi

11 Riverside-San Bernardino-Ontario, CA 2.2% -8.3% 379,589 3.046 722 72 100% 0%

12 Atlanta-Sandy Springs-Roswell, GA 2.0% -12.9% 299,268 3.073 721 77 100% 0%

13 San Diego-Carlsbad, CA 1.9% -13.7% 562,738 2.932 749 66 100% 0%

14 Miami-Fort Lauderdale-West Palm Beach, FL 1.9% -5.2% 383,120 3.150 726 75 100% 0%

15 Houston-The Woodlands-Sugar Land, TX 1.8% -11.8% 287,772 3.095 721 79 100% 0%

16 Philadelphia-Camden-Wilmington, PA-NJ-DE-MD 1.5% -13.0% 295,453 3.018 728 77 100% 0%

17 Minneapolis-St. Paul-Bloomington, MN-WI 1.3% -17.1% 304,788 2.996 743 76 100% 0%

18 Austin-Round Rock, TX 1.3% -12.7% 381,111 3.031 743 71 100% 0%

19 Sacramento--Roseville--Arden-Arcade, CA 1.3% -14.5% 405,493 3.005 740 68 100% 0%

20 Portland-Vancouver-Hillsboro, OR-WA 1.3% -10.3% 396,709 3.027 744 72 100% 0%

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 6

ORIGINATIONSMARKET MONITOR

Pulling data from Black Knight's Optimal Blue Mortgage Market Indices (OBMMI), the chart below shows average

30-year rates across various loan products. Click on each chart to see its contents in high resolution.

SEPTEMBER 2021 MARKET RATE INDICES

Market Index Current Rate 1-Month Delta 3-Month Delta 12-Month Delta

30-Year Conforming 3.20% 16 BPS 5 BPS 30 BPS

30-Year Jumbo 3.17% 15 BPS 7 BPS 9 BPS

30-Year FHA 3.25% 12 BPS 2 BPS 25 BPS

30-Year VA 2.81% 8 BPS 1 BPS 21 BPS

2.3%

2.5%

2.7%

2.9%

3.1%

3.3%

3.5%

Oct-20

Nov-20

Dec-20

Jan-21

Feb-21

Mar-21

Apr-21

May-21

Jun-21

Jul-21Aug-21

Sep-21

Mor

tgag

e R

ates

30-YR Conforming Rate 30-YR Jumbo Rate 30-YR FHA Rate 30-YR VA Rate

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 7

ORIGINATIONSMARKET MONITOR

Mortgage rates are loosely tied to 10-year Treasury bond rates, but the spread between the two can vary. Below, we

look at the current spread and trends over the past year. This information is pulled from Black Knight's secondary market

hedging platform. Click on each chart to see its contents in high resolution.

SEPTEMBER 2021 30-YEAR TO 10-YEAR TREASURY SPREAD

Market Index Current Value 1-Month Delta 3-Month Delta 12-Month Delta

10-Year Treasury 1.52% 22 BPS 7 BPS 83 BPS

30-Year Conforming 3.20% 16 BPS 5 BPS 30 BPS

10-Year to 30-Year Spread 1.68% (6 BPS) (2 BPS) (53 BPS)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21

Rates

Spread 10-YR Treasury OBMMI 30-YR Conforming Rate

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 8

ORIGINATIONSMARKET MONITOR

Here, we break down September's rate lock volumes by loan purpose. This information is pulled from daily rate lock

tracking data from Black Knight's Optimal Blue PPE. Click on each chart to see its contents in high resolution.

SEPTEMBER 2021 LOCK VOLUME BY LOAN PURPOSE

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

0

50

100

150

200

250

300

350

400

450

Oct

-18

Nov

-18

Dec

-18

Jan-

19Fe

b-19

Mar

-19

Apr

-19

May

-19

Jun-

19Ju

l-19

Aug

-19

Sep

-19

Oct

-19

Nov

-19

Dec

-19

Jan-

20Fe

b-20

Mar

-20

Apr

-20

May

-20

Jun-

20Ju

l-20

Aug

-20

Sep

-20

Oct

-20

Nov

-20

Dec

-20

Jan-

21Fe

b-21

Mar

-21

Apr

-21

May

-21

Jun-

21Ju

l-21

Aug

-21

Sep

-21

Rat

e

Inde

x V

alue

Purchase Cash Out Refi Rate/Term Refi OBMMI 30-Year Conforming Rate (Month Average)

OBMMI 30-Year Conforming Rate

(Month Average)

*Refinance Share changes reflect inter-period delta

Market Volume Index

(Total Volume indexed to 100 in January 2018)Current Value 1-Month % Change 3-Month % Change 12-Month % Change

Purchase 137 (6.1%) (13.6%) (4.3%)

Cash-Out Refinance 61 (6.0%) 20.9% 15.1%

Rate-Term Refinance 70 (18.7%) 1.7% (57.2%)

Total 268 (9.7%) (3.6%) (25.6%)

Refinance Share* 49% (199 BPS) 593 BPS (1138 BPS)

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 9

ORIGINATIONSMARKET MONITOR

Here, we break down September's rate lock volumes by loan product. This information is pulled from daily rate lock

tracking data from Black Knight's Optimal Blue PPE. Click on each chart to see its contents in high resolution.

SEPTEMBER 2021 MIX OF BUSINESS BY LOAN PRODUCT

Loan Product Mix Current Value 1-Month Delta 3-Month Delta 12-Month Delta

Conforming 65.5% (80 BPS) 44 BPS (699 BPS)

Nonconforming 13.8% 84 BPS 143 BPS 660 BPS

FHA 10.9% 15 BPS (111 BPS) 181 BPS

VA 9.1% (16 BPS) (64 BPS) (137 BPS)

USDA 0.8% (3 BPS) (12 BPS) (6 BPS)

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Oct-18

Nov-18

Dec-18

Jan-1

9

Feb-19

Mar-19Apr-

19

May-19

Jun-1

9Ju

l-19

Aug-19

Sep-19

Oct-19

Nov-19

Dec-19

Jan-2

0

Feb-20

Mar-20Apr-

20

May-20

Jun-2

0Ju

l-20

Aug-20

Sep-20

Oct-20

Nov-20

Dec-20

Jan-2

1

Feb-21

Mar-21Apr-

21

May-21

Jun-2

1Ju

l-21

Aug-21

Sep-21

Pro

duct

Sha

re

Conforming NonConforming FHA VA USDA

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 10

ORIGINATIONSMARKET MONITOR

Here, we look at average credit scores by loan purpose. This information is pulled from daily rate lock tracking data from

Black Knight's Optimal Blue PPE. Click on each chart to see its contents in high resolution.

SEPTEMBER 2021 AVERAGE CREDIT SCORES

Credit Score by Purpose Current Score 1-Month Delta 3-Month Delta 12-Month Delta

Cash-Out Refi 729 -1 1 -18

Purchase 730 0 -1 -3

Rate/Term Refi 735 -2 4 -18

Credit ScorePurchaseCash Out RefiRate/Term Refi

*Pull data from Market Analytics*Rate/Term includes Govvy Refi Options

690

700

710

720

730

740

750

760

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19Oct-1

9Dec-1

9Feb-2

0Apr-

20Jun-2

0Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Cre

dit S

core

Cash Out Refi Purchase Rate/Term Refi

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 11

ORIGINATIONSMARKET MONITOR

Here, we look at average credit scores for conforming, FHA and VA loans. This information is pulled from daily rate lock

tracking data from Black Knight's Optimal Blue PPE. Click on each chart to see its contents in high resolution.

SEPTEMBER 2021 AVERAGE CREDIT SCORES

Credit Score by Product Current Score 1-Month Delta 3-Month Delta 12-Month Delta

Conforming 746 -1 -1 -11

FHA 662 -1 -1 -10

VA 709 1 -1 -13

Credit ScoreConformingFHAVA

*Pull data from Market Analytics

640

660

680

700

720

740

760

780

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19Oct-1

9Dec-1

9Feb-2

0Apr-

20Jun-2

0Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

FIC

O S

core

FHA Conforming VA

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 12

ORIGINATIONSMARKET MONITOR

Below, we look at pull-through rates – the percentage of locks that become funded loans. This information is pulled from daily

rate lock tracking data from Black Knight's Optimal Blue PPE. Click on each chart to see its contents in high resolution.

SEPTEMBER 2021 PURCHASE & REFI PULL-THROUGH

Pull-Through Rate Current Rate 1-Month Delta 3-Month Delta 12-Month Delta

Purchase Pull-Through 83.4% 57 BPS 341 BPS (105 BPS)

Refinance Pull-Through 76.7% 228 BPS 687 BPS (472 BPS)

Pull-Through RatePurchase Pull-ThroughRefinance Pull-Through

60%

65%

70%

75%

80%

85%

90%

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19Oct-1

9Dec-1

9Feb-2

0Apr-

20Jun-2

0Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Pul

l-Thr

ough

Rat

e

Purchase Pull-through Refi Pull-through

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate.

© 2021 Black Knight Technologies, LLC. All Rights Reserved.

SEPTEMBER 2021 | 13

ORIGINATIONSMARKET MONITOR

A lender will typically see greater yields by selling loans via mandatory delivery, while best efforts delivery carries less

risk. Below, we look at the current margin spread between the two. This information has been pulled from Black Knight's

secondary market hedging platform. Click on each chart to see its contents in high resolution.

SEPTEMBER 2021 BEST EFFORTS TO MANDATORY SPREAD

Best Efforts vs. Mandatory30-Year Conforming15-Year Conforming30-Year Government

0

20

40

60

80

100

120

140

160

Oct-18

Dec-18

Feb-19

Apr-19

Jun-19

Aug-19Oct-1

9Dec-1

9Feb-2

0Apr-

20Jun-2

0Aug-20

Oct-20

Dec-20

Feb-21

Apr-21

Jun-21

Aug-21

Bas

is P

oint

s

15-Yr Conf 30-Yr Conf 30-Yr GovBest Efforts vs. Mandatory Current Spread 1-Month Delta 3-Month Delta 12-Month Delta

30-Year Conforming 37 BPS (2 BPS) 5 BPS (11 BPS)

15-Year Conforming 36 BPS (3 BPS) (0 BPS) (19 BPS)

30-Year Government 37 BPS (3 BPS) (7 BPS) 8 BPS