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FAIR VALUE MEASUREMENT - (Tables)

3 Months Ended

Mar. 31, 2022

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

Trading securities

Fair Value is based on quoted prices in an active market.

Level 1 recurring fair value measurement.

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 7, Mortgage Banking Operations.

Level 3 recurring fair value measurement.

Derivatives

Futures and Options

Fair value is based on closing exchange prices.

Level 1 recurring fair value measurement.

Forward sale commitments Interest rate swaps

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 March 31, 2022
(in thousands)			Fair Value						Level 1						Level 2						Level 3
Assets:
Trading securities - U.S. Treasury securities			$	19,313					$	19,313					$	—					$	—
Investment securities AFS
Mortgage backed securities:
Residential			29,187						—						26,954						2,233
Commercial			66,392						—						66,392						—
Collateralized mortgage obligations:
Residential			266,492						—						266,492						—
Commercial			134,879						—						134,879						—
Municipal bonds			515,139						—						515,139						—
Corporate debt securities			26,373						—						26,299						74
U.S. Treasury securities			21,722						—						21,722						—
Single family LHFS			48,994						—						48,994						—
Single family LHFI			6,981						—						—						6,981
Single family mortgage servicing rights			72,378						—						—						72,378
Derivatives
Futures			97						97						—						—
Forward sale commitments			5,079						—						5,079						—
Options			389						389						—						—
Interest rate lock commitments			683						—						—						683
Interest rate swaps			5,619						—						5,619						—
Total assets			$	1,219,717					$	19,799					$	1,117,569					$	82,349
Liabilities:
Derivatives
Forward sale commitments			3,528						—						3,528						—
Interest rate lock commitments			605						—						—						605
Interest rate swaps			5,620						—						5,620						—
Total liabilities			$	9,753					$	—					$	9,148					$	605

			At December 31, 2021
(in thousands)			Fair Value						Level 1						Level 2						Level 3
Assets:
Investment securities AFS
Mortgage backed securities:
Residential			$	32,963					$	—					$	30,556					$	2,407
Commercial			62,792						—						62,792						—
Collateralized mortgage obligations:
Residential			187,394						—						187,394						—
Commercial			136,659						—						136,659						—
Municipal bonds			539,923						—						539,923						—
Corporate debt securities			19,616						—						19,541						75
U.S. Treasury securities			23,175						—						23,175						—
Single family LHFS			128,041						—						128,041						—
Single family LHFI			7,287						—						—						7,287
Single family mortgage servicing rights			61,584						—						—						61,584
Derivatives
Futures			334						334						—						—
Forward sale commitments			723						—						723						—
Interest rate lock commitments			2,487						—						—						2,487
Interest rate swaps			4,381						—						4,381						—
Total assets			$	1,207,359					$	334					$	1,133,185					$	73,840
Liabilities:
Derivatives
Forward sale commitments			$	640					$	—					$	640					$	—
Interest rate lock commitments			3						—						—						3
Interest rate swaps			4,541						—						4,541						—
Total liabilities			$	5,184					$	—					$	5,181					$	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
March 31, 2022
Investment securities AFS			$	2,307					Income approach						Implied spread to benchmark interest rate curve						2.00%						2.00%						2.00%
Single family LHFI			6,981						Income approach						Implied spread to benchmark interest rate curve						2.49%						4.76%						3.14%
Interest rate lock commitments, net			78						Income approach						Fall-out factor						0.20%						29.60%						11.71%
															Value of servicing						0.45%						1.39%						1.06%
December 31, 2021
Investment securities AFS			$	2,482					Income approach						Implied spread to benchmark interest rate curve						2.00%						2.00%						2.00%
Single family LHFI			7,287						Income approach						Implied spread to benchmark interest rate curve						2.39%						7.96%						3.56%
Interest rate lock commitments, net			2,484						Income approach						Fall-out factor						0.15%						21.93%						8.44%
															Value of servicing						0.35%						1.46%						1.15%

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 March 31, 2022
Investment securities AFS						$	2,482					$	—					$	—					$	(48)					$	(127)					$	2,307
Single family LHFI						7,287						—						—						—						(306)						6,981
Quarter Ended March 31, 2021
Investment securities AFS						$	2,710					$	—					$	—					$	(48)					$	(172)					$	2,490
Single family LHFI						7,108						360						—						(3,191)						47						4,324

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

The following table presents fair value changes and activity for Level 3 interest rate lock commitments:

			Quarter Ended March 31,
(in thousands)			2022						2021
Beginning balance, net			$	2,484					$	17,392
Total realized/unrealized gains (losses)			(2,177)						(3,469)
Settlements			(229)						(7,435)
Ending balance, net			$	78					$	6,488

Schedule of Assets that had Changes in their Recorded Fair Value

The following table presents assets classified as Level 3 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																								Total Gains (Losses)
At or for the Quarter Ended March 31, 2022
LHFI (1)			$	904																							$	10

(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 March 31, 2022
(in thousands)			Carrying Value						Fair Value						Level 1						Level 2						Level 3
Assets:
Cash and cash equivalents			$	73,862					$	73,862					$	73,862					$	—					$	—
Investment securities HTM			4,143						4,134						—						4,134						—
LHFI			5,819,565						5,712,390						—						—						5,712,390
LHFS – multifamily and other			10,156						10,248						—						10,248						—
Mortgage servicing rights – multifamily and SBA			39,279						43,453						—						—						43,453
Federal Home Loan Bank stock			19,596						19,596						—						19,596						—
Other assets - GNMA EBO loans			9,940						9,940						—						—						9,940
Liabilities:
Certificates of deposit			$	915,481					$	908,030					$	—					$	908,030					$	—
Borrowings			273,000						273,000												273,000
Long-term debt			224,137						214,853						—						214,853						—

			At December 31, 2021
(in thousands)			Carrying Value						Fair Value						Level 1						Level 2						Level 3
Assets:
Cash and cash equivalents			$	65,214					$	65,214					$	65,214					$	—					$	—
Investment securities HTM			4,169						4,305						—						4,305						—
LHFI			5,488,439						5,588,719						—						—						5,588,719
LHFS – multifamily and other			48,090						48,425						—						48,425						—
Mortgage servicing rights – multifamily and SBA			39,415						43,199						—						—						43,199
Federal Home Loan Bank stock			10,361						10,361						—						10,361						—
Other assets-GNMA EBO loans			12,342						12,342						—						—						12,342
Liabilities:
Certificates of deposit			$	906,928					$	906,064					$	—					$	906,064					$	—
Borrowings			41,000						41,000						—						41,000						—
Long-term debt			126,026						116,845						—						116,845						—

Fair Value Option

Single family loans held for sale accounted under the fair value option are measured initially at fair value with subsequent changes in fair value recognized in earnings. Gains and losses from such changes in fair value are recognized in net gain on mortgage loan origination and sale activities within noninterest income. The change in fair value of loans held for sale is primarily driven by changes in interest rates subsequent to loan funding and changes in fair value of the related servicing asset, resulting in revaluations adjustments to the recorded fair value. The use of the fair value option allows the change in the fair value of loans to more effectively offset the change in fair value of derivative instruments that are used as economic hedges of loans held for sale.

The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of loans held for sale accounted for under the fair value option:

			At March 31, 2022																		At December 31, 2021
(in thousands)			Fair Value						Aggregate Unpaid Principal Balance						Fair Value Less Aggregated Unpaid Principal Balance						Fair Value						Aggregate Unpaid Principal Balance						Fair Value Less Aggregated Unpaid Principal Balance
Single family LHFS			$	48,994					$	49,457					$	(463)					$	128,041					$	124,933					$	3,108

Loans Held For Sale Accounted for Under the Fair Value Option

The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of loans held for sale accounted for under the fair value option:

			At March 31, 2022																		At December 31, 2021
(in thousands)			Fair Value						Aggregate Unpaid Principal Balance						Fair Value Less Aggregated Unpaid Principal Balance						Fair Value						Aggregate Unpaid Principal Balance						Fair Value Less Aggregated Unpaid Principal Balance
Single family LHFS			$	48,994					$	49,457					$	(463)					$	128,041					$	124,933					$	3,108

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