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FAIR VALUE
 9 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
FAIR VALUE FAIR VALUE
Fair value is defined as the price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. ASC Topic 820, Fair Value Measurement, establishes a fair value hierarchy which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.
The following table sets forth the Company’s financial assets and liabilities measured at fair value on a recurring basis at March 31, 2022 and June 30, 2021. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement:
March 31, 2022
(Dollars in thousands)Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)		Significant Other
Observable
Inputs
(Level 2)		Significant
Unobservable
Inputs
(Level 3)		Total
ASSETS:
Securities—Trading: Municipal$— $366 $— $366 
Securities—Available-for-Sale:
Agency MBS1
— 27,203 — 27,203 
Non-Agency MBS2
— — 151,479 151,479 
Municipal— 3,311 — 3,311 
Asset-backed securities and structured notes— 47,517 — 47,517 
Total—Securities—Available-for-Sale$— $78,031 $151,479 $229,510 
Loans Held for Sale$— $19,611 $— $19,611 
Mortgage servicing rights$— $— $23,519 $23,519 
Other assets—Derivative instruments$— $— $2,154 $2,154 
LIABILITIES:
   Other liabilities—Derivative instruments$— $— $1,004 $1,004 
June 30, 2021
(Dollars in thousands)Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)		Significant Other
Observable
Inputs
(Level 2)		Significant
Unobservable
Inputs
(Level 3)		Total
ASSETS:
Securities—Trading: Municipal
$— $1,983 $— $1,983 
Securities—Available-for-Sale:
Agency MBS1
— 23,913 — 23,913 
Non-Agency MBS2
— — 67,615 67,615 
Municipal— 3,565 — 3,565 
Asset-backed securities and structured notes— 92,242 — 92,242 
Total—Securities—Available-for-Sale$— $119,720 $67,615 $187,335 
Loans Held for Sale$— $29,768 $— $29,768 
Mortgage servicing rights$— $— $17,911 $17,911 
Other assets—Derivative instruments$— $— $2,280 $2,280 
LIABILITIES:
Other liabilities—Derivative instruments$— $— $75 $75 
1Includes securities guaranteed by Ginnie Mae, a U.S. government agency, and the government sponsored enterprises Fannie Mae and Freddie Mac.
2Private sponsors of securities collateralized primarily by first-lien mortgage loans on commercial properties or by pools of 1-4 family residential first mortgages. Primarily super senior securities secured by Alt-A or pay-option ARM mortgages.
The following tables present additional information about assets measured at fair value on a recurring basis and for which the Company has utilized Level 3 inputs to determine fair value:
For the Three Months Ended
March 31, 2022
(Dollars in thousands)Securities – Available-for-Sale: Non-Agency MBSMortgage Servicing RightsDerivative Instruments, netTotal
Opening balance$58,752 $20,110 $1,377 $80,239 
Total gains or losses for the period:
Included in earnings—Mortgage banking income— 2,316 (227)2,089 
Included in other comprehensive income(1,841)— — (1,841)
Purchases, retentions, issues, sales and settlements:
Purchases/Retentions95,000 1,093 — 96,093 
Settlements(432)— — (432)
Closing balance$151,479 $23,519 $1,150 $176,148 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period$— $2,316 $(227)$2,089 
For the Nine Months Ended
March 31, 2022
(Dollars in thousands)Securities – Available-for-Sale: Non-Agency RMBSMortgage Servicing RightsDerivative Instruments, netTotal
Opening Balance$67,615 $17,911 $2,205 $87,731 
Total gains or losses for the period:
Included in earnings—Mortgage banking income— 1,229 (1,055)174 
Included in other comprehensive income(2,480)— — (2,480)
Purchases, retentions, issues, sales and settlements:
Purchases/Retentions95,000 4,379 — 99,379 
Settlements(8,656)— — (8,656)
Closing balance$151,479 $23,519 $1,150 $176,148 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period$— $1,229 $(1,055)$174 
For the Three Months Ended
March 31, 2021
(Dollars in thousands)Securities – Available-for-Sale: Non-Agency MBSMortgage Servicing RightsDerivative Instruments, netTotal
Opening balance$17,135 $14,314 $7,979 $39,428 
Total gains or losses for the period:
Included in earnings—Mortgage banking income— (1,221)(1,151)(2,372)
Included in other comprehensive income913 — — 913 
Purchases, retentions, issues, sales and settlements:
Purchases/Retentions— 3,538 — 3,538 
Settlements(671)— — (671)
Closing balance$17,377 $16,631 $6,828 $40,836 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period$— $(1,221)$(1,151)$(2,372)
For the Nine Months Ended
March 31, 2021
(Dollars in thousands)Securities – Available-for-Sale: Non-Agency RMBSMortgage Servicing RightsDerivative Instruments, netTotal
Opening Balance$18,332 $10,675 $7,416 $36,423 
Total gains or losses for the period:
Included in earnings—Mortgage banking income— (5,266)(588)(5,854)
Included in other comprehensive income607 — — 607 
Purchases, retentions, issues, sales and settlements:
Purchases/Retentions— 11,222 — 11,222 
Settlements(1,562)— — (1,562)
Closing balance$17,377 $16,631 $6,828 $40,836 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period$— $(5,266)$(588)$(5,854)

The table below summarizes the quantitative information about level 3 fair value measurements as of the dates indicated:
March 31, 2022
(Dollars in thousands)Fair ValueValuation TechniqueUnobservable InputRange (Weighted Average)
Securities – Non-agency MBS$151,479 Discounted Cash FlowProjected Constant Prepayment Rate,
Projected Constant Default Rate,
Projected Loss Severity,
Discount Rate over LIBOR
0.0 to 30.0% (19.3%)
0.0 to 6.7% (2.0%)
0.0 to 68.3% (24.9%)
2.7 to 6.5% (2.8%)
Mortgage Servicing Rights$23,519 Discounted Cash FlowProjected Constant Prepayment Rate,
Life (in years),
Discount Rate
9.8 to 51.0% (13.4%)
1.4 to 8.6 (7.2)
9.5 to 11.3% (9.5%)
Derivative Instruments$1,150 Sales Comparison ApproachProjected Sales Profit of Underlying Loans
(1.0) to 0.2% ((0.2)%)
June 30, 2021
(Dollars in thousands)Fair ValueValuation TechniqueUnobservable InputRange (Weighted Average)
Securities – Non-agency MBS$67,615 Discounted Cash FlowProjected Constant Prepayment Rate,
Projected Constant Default Rate,
Projected Loss Severity,
Discount Rate over LIBOR
0.0 to 25.0% (2.7%)
0.0 to 5.6% (0.6%)
0.0 to 100.0% (19.4%)
2.7 to 7.2% (3.1%)
Mortgage Servicing Rights$17,911 Discounted Cash FlowProjected Constant Prepayment Rate,
Life (in years),
Discount Rate
7.5 to 37.4% (11.5%)
1.7 to 7.5 (6.4)
9.5 to 13.0% (9.6%)
Derivative Instruments$2,205 Sales Comparison ApproachProjected Sales Profit of Underlying Loans
0.2 to 0.5% (0.3%)
The significant unobservable inputs used in the fair value measurement of the Company’s residential mortgage-backed securities are projected prepayment rates, probability of default, and projected loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the projected loss severity and a directionally opposite change in the assumption used for projected prepayment rates.
The table below summarizes assets measured for impairment on a non-recurring basis:
March 31, 2022
(Dollars in thousands)Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)		Significant Other
Observable
Inputs
(Level 2)		Significant
Unobservable
Inputs
(Level 3)		Balance
Other real estate owned and foreclosed assets:
Autos and RVs$— $— $564 $564 
Total$— $— $564 $564 
June 30, 2021
(Dollars in thousands)Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)		Significant Other
Observable
Inputs
(Level 2)		Significant
Unobservable
Inputs
(Level 3)		Balance
Other real estate owned and foreclosed assets:
Single family real estate$— $— $6,547 $6,547 
Autos and RVs— — 235 235 
Total$— $— $6,782 $6,782 
Other real estate owned and foreclosed assets, which are measured at the lower of carrying value or fair value less costs to sell, had a net carrying amount of $564 after charge-offs of $79 for the nine months ended March 31, 2022.
The Company has elected the fair value option for Agency loans held for sale. These loans are intended for sale and the Company believes that the fair value is the best indicator of the resolution of these loans. Interest income is recorded based on the contractual terms of the loan and in accordance with the Company’s policy on loans. None of these loans are 90 days or more past due nor on nonaccrual as of March 31, 2022 and June 30, 2021.
As of March 31, 2022 and June 30, 2021, the aggregate fair value of loans held for sale, carried at fair value, contractual balance (including accrued interest), and unrealized gain (loss) was as follows:
(Dollars in thousands)March 31, 2022June 30, 2021
Aggregate fair value$19,611 $29,768 
Contractual balance19,749 28,940 
Unrealized gain (loss)$(138)$828 
The total amount of gains and losses from changes in fair value included in earnings for the period indicated below for loans held for sale were:
For the Three Months EndedFor the Nine Months Ended
March 31,March 31,
(Dollars in thousands)2022202120222021
Interest income$204 $387 $598 $1,189 
Change in fair value(1,041)(1,829)(2,019)(1,369)
Total $(837)$(1,442)$(1,421)$(180)
The following table presents quantitative information about level 3 fair value measurements for financial instruments measured at fair value on a non-recurring basis at the periods indicated:
March 31, 2022
(Dollars in thousands)Fair ValueValuation Technique(s)Unobservable Input
Range (Weighted Average) 1
Other real estate owned and foreclosed assets:
Autos and RVs$564 Sales comparison approachAdjustment for differences between the comparable sales
(10.6) to 15.5% ((2.7)%)
June 30, 2021
(Dollars in thousands)Fair ValueValuation Technique(s)Unobservable Input
Range (Weighted Average) 1
Other real estate owned and foreclosed assets:
Single family real estate$6,547 Sales comparison approachAdjustment for differences between the comparable sales
(1.5) to 6.1% (2.0%)
Autos and RVs$235 Sales comparison approachAdjustment for differences between the comparable sales
(2.1) to 14.7% (2.1%)
1 For other real estate owned and foreclosed assets the ranges shown may vary positively or negatively based on the comparable sales reported in the current appraisal. In certain instances, the range can be significant due to small sample sizes and in some cases the property being valued having limited comparable sales with similar characteristics at the time the current appraisal is conducted.
Fair value of Financial Instruments
The carrying amounts and estimated fair values of financial instruments at March 31, 2022 and June 30, 2021 were as follows:
March 31, 2022
Fair Value
(Dollars in thousands)Carrying
Amount		Level 1Level 2Level 3Total Fair Value
Financial assets:
Cash and cash equivalents$1,249,314 $1,249,314 $— $— $1,249,314 
Securities — trading366 — 366 — 366 
Securities — available-for-sale229,510 — 78,031 151,479 229,510 
Loans held for sale, at fair value19,611 — 19,611 — 19,611 
Loans held for sale, at lower of cost or fair value11,182 — — 11,255 11,255 
Loans held for investment—net13,093,603 — — 13,149,215 13,149,215 
Securities borrowed274,644 — — 263,274 263,274 
Customer, broker-dealer and clearing receivables510,561 — — 502,086 502,086 
Mortgage servicing rights23,519 — — 23,519 23,519 
Financial liabilities:
Total deposits12,733,002 — 11,750,900 — 11,750,900 
Advances from the Federal Home Loan Bank152,500 — 151,017 — 151,017 
Borrowings, subordinated notes and debentures381,682 — 358,541 — 358,541 
Securities loaned447,748 — — 449,181 449,181 
Customer, broker-dealer and clearing payables543,905 — — 532,854 532,854 
June 30, 2021
Fair Value
(Dollars in thousands)Carrying
Amount		Level 1Level 2Level 3Total Fair Value
Financial assets:
Cash and cash equivalents$1,037,777 $1,037,777 $— $— $1,037,777 
Securities — trading1,983 — 1,983 — 1,983 
Securities — available-for-sale187,335 — 119,720 67,615 187,335 
Loans held for sale, at fair value29,768 — 29,768 — 29,768 
Loans held for sale, at lower of cost or fair value12,294 — — 12,336 12,336 
Loans held for investment—net11,414,814 — — 11,833,102 11,833,102 
Securities borrowed619,088 — — 619,274 619,274 
Customer, broker-dealer and clearing receivables369,815 — — 369,815 369,815 
Mortgage servicing rights17,911 — — 17,911 17,911 
Financial liabilities:
Total deposits10,815,797 — 10,297,450 — 10,297,450 
Advances from the Federal Home Loan Bank353,500 — 353,500 — 353,500 
Borrowings, subordinated notes and debentures221,358 — 210,196 — 210,196 
Securities loaned728,988 — — 731,467 731,467 
Customer, broker-dealer and clearing payables535,425 — — 535,425 535,425 
The methods and assumptions, not previously presented, used to estimate fair value are described as follows: Carrying amount is the estimated fair value for cash and cash equivalents, interest bearing deposits, accrued interest receivable and payable, demand deposits, short-term debt, and variable rate loans or deposits that reprice frequently and fully. For fixed rate loans, deposits, borrowings or subordinated debt and for variable rate loans, deposits, borrowings or subordinated debt with infrequent repricing or repricing limits, fair value is based on discounted cash flows using current market rates applied to the estimated life and credit risk. A discussion of the methods of valuing trading securities, available for sale securities and loans held for sale can be found in Note 3 – “Fair Value” of our Form 10-K for the year ended June 30, 2021. The carrying amount of stock of regulatory agencies approximates the estimated fair value of this investment. The fair value of off-balance sheet items is not considered material.