Analyze Data at the Loan Level
As noted by the CFPB, "The HMDA data and reports are the most comprehensive publicly available information on mortgage market activity." The 2019 data set contains 17,544,246* applications and purchased loans, each with 85 fields of information, for 5,502* lenders (these numbers will continue to change as lenders submit updates and corrections). When the scope is expanded to the last 5 years, this becomes over 77 million transactions. This data footprint forces some HMDA solutions to summarize the data, at which point you can no longer control the combinations of filters you can apply to the data to answer your specific questions. Look for solutions that do not limit your view to summarized data, but which preserve your ability to both see the underlying transactions and combine them any way you need to for your analysis.
*Post updated to show the number of transactions and lenders as of 4/4/2020; the post initially cited the numbers in the data provided by the CFPB on the initial date of availability, 3/31/2020: 17,535,779 transactions and 5,495 lenders.