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FAIR VALUE MEASUREMENT - (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurement Methodologies

The following table summarizes the fair value measurement methodologies, including significant inputs and assumptions and classification of the Company's assets and liabilities valued at fair value on a recurring basis.

Asset/Liability class

Valuation methodology, inputs and assumptions

Classification

Investment securities

Investment securities AFS

Observable market prices of identical or similar securities are used where available.

Level 2 recurring fair value measurement.

If market prices are not readily available, value is based on discounted cash flows using the following significant inputs: •      Expected prepayment speeds  •      Estimated credit losses  •      Market liquidity adjustments

Level 3 recurring fair value measurement.

LHFS

Single family loans, excluding loans transferred from held for investment

Fair value is based on observable market data, including: •       Quoted market prices, where available  •       Dealer quotes for similar loans  •       Forward sale commitments

Level 2 recurring fair value measurement.

When not derived from observable market inputs, fair value is based on discounted cash flows, which considers the following inputs: •       Benchmark yield curve   •       Estimated discount spread to the benchmark yield curve  •       Expected prepayment speeds

Estimated fair value classified as Level 3.

Mortgage servicing rights

Single family MSRs

For information on how the Company measures the fair value of its single family MSRs, including key economic assumptions and the sensitivity of fair value to changes in those assumptions, see Note 6, Mortgage Banking Operations.

Level 3 recurring fair value measurement.

Derivatives

Eurodollar futures

Fair value is based on closing exchange prices.

Level 1 recurring fair value measurement.

Interest rate swaps Interest rate swaptions Forward sale commitments

Fair value is based on quoted prices for identical or similar instruments, when available. When quoted prices are not available, fair value is based on internally developed modeling techniques, which require the use of multiple observable market inputs including:               •       Forward interest rates              •       Interest rate volatilities

Level 2 recurring fair value measurement.

Interest rate lock commitments

The fair value considers several factors including: •       Fair value of the underlying loan based on quoted prices in the secondary market, when available.  •       Value of servicing •       Fall-out factor

Level 3 recurring fair value measurement.

Schedule of Fair Value Hierarchy Measurement

The following tables presents the levels of the fair value hierarchy for the Company's assets and liabilities measured at fair value on a recurring basis: 

			At June 30, 2021
(in thousands)			Fair Value						Level 1						Level 2						Level 3
Assets:
Investment securities AFS
Mortgage backed securities:
Residential			$	37,587					$	—					$	35,115					$	2,472
Commercial			42,738						—						42,738						—
Collateralized mortgage obligations:
Residential			195,334						—						195,334						—
Commercial			143,400						—						143,400						—
Municipal bonds			545,817						—						545,817						—
Corporate debt securities			14,975						—						14,897						78
U.S. Treasury securities			23,586						—						23,586						—
Single family LHFS			182,790						—						182,790						—
Single family LHFI			5,207						—						—						5,207
Single family mortgage servicing rights			59,872						—						—						59,872
Derivatives
Forward sale commitments			1,100						—						1,100						—
Interest rate lock commitments			5,901						—						—						5,901
Interest rate swaps			9,783						—						9,783						—
Total assets			$	1,268,090					$	—					$	1,194,560					$	73,530
Liabilities:
Derivatives
Eurodollar futures			$	14					$	14					$	—					$	—
Forward sale commitments			1,069						—						1,069						—
Interest rate lock commitments			8						—						—						8
Interest rate swaps			14,143						—						14,143
Total liabilities			$	15,234					$	14					$	15,212					$	8

			At December 31, 2020
(in thousands)			Fair Value						Level 1						Level 2						Level 3
Assets:
Investment securities AFS
Mortgage backed securities:
Residential			$	51,046					$	—					$	48,417					$	2,629
Commercial			45,184						—						45,184						—
Collateralized mortgage obligations:
Residential			234,909						—						234,909						—
Commercial			159,183						—						159,183						—
Municipal bonds			564,703						—						564,703						—
Corporate debt securities			15,222						—						15,141						81
Agency debentures			1,846						—						1,846						—
Single family LHFS			194,643						—						194,643						—
Single family LHFI			7,108						—						—						7,108
Single family mortgage servicing rights			49,966						—						—						49,966
Derivatives
Forward sale commitments			1,035						—						1,035						—
Interest rate lock commitments			17,395						—						—						17,395
Interest rate swaps			17,459						—						17,459						—
Total assets			$	1,359,699					$	—					$	1,282,520					$	77,179
Liabilities:
Derivatives
Eurodollar futures			$	4					$	4					$	—					$	—
Forward sale commitments			3,714						—						3,714						—
Interest rate lock commitments			3						—						—						3
Interest rate swaps			20,511						—						20,511						—
Total liabilities			$	24,232					$	4					$	24,225					$	3

Schedule of Inputs Used to Measure Fair Value

The following information presents significant Level 3 unobservable inputs used to measure fair value of certain assets:

(dollars in thousands)			Fair Value						Valuation Technique						Significant Unobservable Input						Low						High						Weighted Average
June 30, 2021
Investment securities AFS			$	2,550					Income approach						Implied spread to benchmark interest rate curve						2.00%						2.00%						2.00%
Single family LHFI			5,207						Income approach						Implied spread to benchmark interest rate curve						3.34%						10.88%						5.44%
Interest rate lock commitments, net			5,893						Income approach						Fall-out factor						1.00%						25.76%						12.46%
															Value of servicing						0.36%						1.46%						1.09%
December 31, 2020
Investment securities AFS			$	2,710					Income approach						Implied spread to benchmark interest rate curve						2.00%						2.00%						2.00%
Single family LHFI			7,108						Income approach						Implied spread to benchmark interest rate curve						3.96%						10.64%						6.23%
Interest rate lock commitments, net			17,392						Income approach						Fall-out factor						1.97%						38.38%						15.53%
															Value of servicing						0.41%						1.44%						0.97%

Schedule of Fair Value Changes and Activity for Level 3

The following table presents fair value changes and activity for certain Level 3 assets for the periods indicated:

(in thousands)						Beginning balance						Additions						Transfers						Payoffs/Sales						Change in mark to market (1)						Ending balance
Quarter Ended June 30, 2021
Investment securities AFS						$	2,490					$	—					$	—					$	(48)					$	108					$	2,550
Single family LHFI						4,324						785						—						—						98						5,207
Quarter Ended June 30, 2020
Investment securities AFS						$	2,885					$	—					$	—					$	(48)					$	24					$	2,861
Single family LHFI						4,926						1,667						—						(536)						(210)						5,847
Six Months Ended June 30, 2021
Investment securities AFS						$	2,710					$	—					$	—					$	(96)					$	(64)					$	2,550
Single family LHFI						7,108						1,145						—						(3,191)						145						5,207
Six Months Ended June 30, 2020
Investment securities AFS						$	1,952					$	985					$	—					$	(339)					$	263					$	2,861
Single family LHFI						3,468						3,346						—						(783)						(184)						5,847

(1) Changes in fair value for single LHFI are recorded in other noninterest income on the consolidated income statement.

The following table presents fair value changes and activity for Level 3 interest rate lock and purchase loan commitments for the periods indicated:

			Quarter Ended June 30,												Six Months Ended June 30,
(in thousands)			2021						2020						2021						2020
Beginning balance, net			$	6,488					$	13,502					$	17,392					$	2,223
Total realized/unrealized gains (losses)			7,282						12,266						3,813						28,028
Settlements			(7,877)						(7,801)						(15,312)						(12,284)
Ending balance, net			$	5,893					$	17,967					$	5,893					$	17,967

Schedule of Assets that had Changes in their Recorded Fair Value

The following table present assets classified as Level 3 assets that had changes in their recorded fair value for the periods indicated and what we still held at the end of the respective reporting period:

(in thousands)			Fair Value						Level 1						Level 2						Level 3						Total Gains (Losses)
At or for the Quarter Ended June 30, 2021
LHFI (1)			$	741					$	—					$	—					$	741					$	(62)
At or for the Quarter Ended June 30, 2020
LHFI (1)			$	1,027					$	—					$	—					$	1,027					$	(437)
At or for the Six Months Ended June 30, 2021
LHFI (1)			$	741					$	—					$	—					$	741					$	(62)
At or for the Six Months Ended June 30, 2020
LHFI (1)			$	1,027					$	—					$	—					$	1,027					$	(567)

(1) Represents the carrying value of loans for which adjustments are based on the fair value of the collateral.

Schedule of the Fair Value Hierarchy

The following presents the carrying value, estimated fair value and the levels of the fair value hierarchy for the Company's financial instruments other than assets and liabilities measured at fair value on a recurring basis: 

			At June 30, 2021
(in thousands)			Carrying Value						Fair Value						Level 1						Level 2						Level 3
Assets:
Cash and cash equivalents			$	88,471					$	88,471					$	88,471					$	—					$	—
Investment securities HTM			4,221						4,398						—						4,398						—
LHFI			5,327,419						5,398,146						—						—						5,398,146
LHFS – multifamily and other			42,451						42,757						—						42,757						—
Mortgage servicing rights – multifamily			39,113						42,222						—						—						42,222
Federal Home Loan Bank stock			10,724						10,724						—						10,724						—
Other assets - GNMA EBO loans			57,071						57,071						—						—						57,071
Liabilities:
Certificates of deposit			$	1,022,967					$	1,024,499					$	—					$	1,024,499					$	—
Borrowings			50,000						49,996												49,996
Long-term debt			125,932						118,233						—						118,233						—

			At December 31, 2020
(in thousands)			Carrying Value						Fair Value						Level 1						Level 2						Level 3
Assets:
Cash and cash equivalents			$	58,049					$	58,049					$	58,049					$	—					$	—
Investment securities HTM			4,271						4,507						—						4,507						—
LHFI			5,172,778						5,327,711						—						—						5,327,711
LHFS – multifamily and other			167,289						167,289						—						167,289						—
Mortgage servicing rights – multifamily			35,774						38,423						—						—						38,423
Federal Home Loan Bank stock			20,319						20,319						—						20,319						—
Other assets-GNMA EBO loans			101,750						101,750						—						—						101,750
Liabilities:
Certificates of deposit			$	1,139,807					$	1,143,747					$	—					$	1,143,747					$	—
Borrowings			322,800						322,876						—						322,876						—
Long-term debt			125,838						116,893						—						116,893						—

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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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