Fair Value of Financial Instruments (Tables)

6 Months Ended

Dec. 31, 2013

Schedule of Aggregate Fair Value and Aggregate Unpaid Principal Balance of Loans Held for Sale

The following table describes the difference at the dates indicated between the aggregate fair value and the aggregate unpaid principal balance of loans held for sale at fair value.



(In Thousands)	Aggregate Fair Value		Aggregate Unpaid Principal Balance		Net Unrealized Gain (Loss)
As of December 31, 2013:
Loans held for sale, measured at fair value	$	130,821	$	128,251	$	2,570

As of June 30, 2013:
Loans held for sale, measured at fair value	$	188,050	$	188,545	$	(495	)

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following fair value hierarchy tables present information at the dates indicated about the Corporation’s assets measured at fair value on a recurring basis:



	Fair Value Measurement at December 31, 2013 Using:
(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Investment securities:
U.S. government agency MBS	$	—	$	9,808	$	—	$	9,808
U.S. government sponsored enterprise MBS	—		7,003		—		7,003
Private issue CMO	—		—		925		925
Investment securities	—		16,811		925		17,736

Loans held for sale, at fair value	—		130,821		—		130,821
Interest-only strips	—		—		88		88

Derivative assets:
Commitments to extend credit on loans to be held for sale	—		—		463		463
Mandatory loan sale commitments	—		—		196		196
TBA MBS trades	—		785		—		785
Option contracts	—		—		331		331
Derivative assets	—		785		990		1,775
Total assets	$	—	$	148,417	$	2,003	$	150,420

Liabilities:
Derivative liabilities:
Commitments to extend credit on loans to be held for sale	$	—	$	—	$	215	$	215
Derivative liabilities	—		—		215		215
Total liabilities	$	—	$	—	$	215	$	215



	Fair Value Measurement at June 30, 2013 Using:
(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Investment securities:
U.S. government agency MBS	$	—	$	10,816	$	—	$	10,816
U.S. government sponsored enterprise MBS	—		7,675		—		7,675
Private issue CMO	—		—		1,019		1,019
Investment securities	—		18,491		1,019		19,510

Loans held for sale, at fair value	—		188,050		—		188,050
Interest-only strips	—		—		98		98

Derivative assets:
Commitments to extend credit on loans to be held for sale	—		—		1,338		1,338
Mandatory loan sale commitments	—		—		405		405
TBAMBS trades	—		7,251		—		7,251
Option contracts	—		—		589		589
Derivative assets	—		7,251		2,332		9,583
Total assets	$	—	$	213,792	$	3,449	$	217,241

Liabilities:
Derivative liabilities:
Commitments to extend credit on loans to be held for sale	$	—	$	—	$	2,370	$	2,370
Mandatory loan sale commitments	—		—		322		322
TBAMBS trades	—		529		—		529
Derivative liabilities	—		529		2,692		3,221
Total liabilities	$	—	$	529	$	2,692	$	3,221

Schedule for Reconciliation of Recurring Fair Value Measurements Using Level 3 Inputs

The following tables summarize reconciliations of the beginning and ending balances during the periods shown of recurring fair value measurements recognized in the Condensed Consolidated Statements of Financial Condition using Level 3 inputs:



	Fair Value Measurement Using Significant Other Unobservable Inputs (Level 3)
(In Thousands)	Private Issue CMO			Interest- Only Strips			Loan Commit- ments to Originate ⁽¹⁾			Manda- tory Commit- ments ⁽²⁾			Option Contracts			Total
Beginning balance at September 30, 2013	$	953		$	103		$	3,365		$	(141	)	$	82		$	4,362
Total gains or losses (realized/unrealized):
Included in earnings	—			—			5,534			329			158			6,021
Included in other comprehensive loss	19			(15		)	—			—			—			4
Purchases	—			—			—			196			155			351
Issuances	—			—			248			—			—			248
Settlements	(47		)	—			(8,899		)	(188		)	(64		)	(9,198		)
Transfers in and/or out of Level 3	—			—			—			—			—			—
Ending balance at December 31, 2013	$	925		$	88		$	248		$	196		$	331		$	1,788


⁽¹⁾	Consists of commitments to extend credit on loans to be held for sale.


⁽²⁾	Consists of mandatory loan sale commitments.



	Fair Value Measurement Using Significant Other Unobservable Inputs (Level 3)
(In Thousands)	Private Issue CMO			Interest- Only Strips		Loan Commit- ments to Originate ⁽¹⁾			Manda- tory Commit- ments ⁽²⁾			Option Contracts			Total
Beginning balance at September 30, 2012	$	1,198		$	117	$	8,370		$	(1,114	)	$	65		$	8,636
Total gains or losses (realized/unrealized):
Included in earnings	—			—		(8,370		)	1,114			(65		)	(7,321		)
Included in other comprehensive loss	(7		)	13		—			—			—			6
Purchases	—			—		—			(71		)	47			(24		)
Issuances	—			—		3,238			—			—			3,238
Settlements	(35		)	—		—			—			—			(35		)
Transfers in and/or out of Level 3	—			—		—			—			—			—
Ending balance at December 31, 2012	$	1,156		$	130	$	3,238		$	(71	)	$	47		$	4,500


⁽¹⁾	Consists of commitments to extend credit on loans to be held for sale.


⁽²⁾	Consists of mandatory loan sale commitments.



	Fair Value Measurement Using Significant Other Unobservable Inputs (Level 3)
(In Thousands)	Private Issue CMO			Interest- Only Strips			Loan Commit- ments to originate ⁽¹⁾			Manda- tory Commit- ments ⁽²⁾			Option Contracts			Total
Beginning balance at June 30, 2013	$	1,019		$	98		$	(1,032	)	$	83		$	589		$	757
Total gains or losses (realized/unrealized):
Included in earnings	—			—			12,036			99			265			12,400
Included in other comprehensive loss	3			(10		)	—			—			—			(7		)
Purchases	—			—			—			55			371			426
Issuances	—			—			3,613			—			—			3,613
Settlements	(97		)	—			(14,369		)	(41		)	(894		)	(15,401		)
Transfers in and/or out of Level 3	—			—			—			—			—			—
Ending balance at December 31, 2013	$	925		$	88		$	248		$	196		$	331		$	1,788


⁽¹⁾	Consists of commitments to extend credit on loans to be held for sale.


⁽²⁾	Consists of mandatory loan sale commitments.



	Fair Value Measurement Using Significant Other Unobservable Inputs (Level 3)
(In Thousands)	Private Issue CMO			Interest- Only Strips		Loan Commit- ments to originate ⁽¹⁾			Manda- tory Commit- ments ⁽²⁾			Option Contracts			Total
Beginning balance at June 30, 2012	$	1,242		$	130	$	3,981		$	(163	)	$	36		$	5,226
Total gains or losses (realized/unrealized):
Included in earnings	—			—		(12,351		)	1,277			(101		)	(11,175		)
Included in other comprehensive loss	(6		)	—		—			—			—			(6		)
Purchases	—			—		—			(1,185		)	112			(1,073		)
Issuances	—			—		11,608			—			—			11,608
Settlements	(80		)	—		—			—			—			(80		)
Transfers in and/or out of Level 3	—			—		—			—			—			—
Ending balance at December 31, 2012	$	1,156		$	130	$	3,238		$	(71	)	$	47		$	4,500

Schedule of Fair Value Assets Measured on Nonrecurring Basis

The following fair value hierarchy tables present information about the Corporation’s assets measured at fair value at the dates indicated on a nonrecurring basis:



	Fair Value Measurement at December 31, 2013 Using:
(In Thousands)	Level 1		Level 2		Level 3		Total
Non-performing loans	$	—	$	10,613	$	6,530	$	17,143
MSA	—		—		289		289
Real estate owned, net	—		3,291		—		3,291
Total	$	—	$	13,904	$	6,819	$	20,723



	Fair Value Measurement at June 30, 2013 Using:
(In Thousands)	Level 1		Level 2		Level 3		Total
Non-performing loans	$	—	$	11,650	$	10,032	$	21,682
MSA	—		—		174		174
Real estate owned, net	—		2,296		—		2,296
Total	$	—	$	13,946	$	10,206	$	24,152

Schedule of Additional Information About Valuation Techniques and Inputs Used for Assets and Liabilities

The following table presents additional information about valuation techniques and inputs used for assets and liabilities, including derivative financial instruments, which are measured at fair value and categorized within Level 3 as of December 31, 2013:



(Dollars In Thousands)	Fair Value As of December 31, 2013		Valuation Techniques	Unobservable Inputs	Range ⁽¹⁾ (Weighted Average)	Impact to Valuation from an Increase in Inputs ⁽²⁾

Assets:

Securities available-for sale: Private issue CMO	$	925	Discounted cash flow	Probability of default Loss severity Prepayment speed	1.3% – 2.3% (2.1%) 11.9% - 37.5% (36.2%) 7.2% – 14.8% (10.0%)	Decrease Decrease Decrease

Non-performing loans	$	84	Discounted cash flow	Default rates	0.0% - 30.0% (14.3%)	Decrease
Non-performing loans	$	6,446	Relative value analysis	Loss severity	15.0% - 60.0% (19.3%)	Decrease

MSA	$	289	Discounted cash flow	Prepayment speed (CPR) Discount rate	11.7% - 60.0% (33.3%) 9.0% - 10.5% (9.2%)	Decrease Decrease

Interest-only strips	$	88	Discounted cash flow	Prepayment speed (CPR) Discount rate	0.0% - 41.6% (23.6%) 9.0%	Decrease Decrease

Commitments to extend credit on loans to be held for sale	$	463	Relative value analysis	TBA-MBS broker quotes Fall-out ratio ⁽³⁾	98.3% – 104.5% (99.8%) of par 24.4% - 28.2% (24.8%)	Decrease Decrease

Mandatory loan sale commitments	$	196	Relative value analysis	Investor quotes TBA MBS broker quotes Roll-forward costs ⁽⁴⁾	100.4% - 104.1% (102.2%) of par 100.8% - 105.4% (102.3%) of par 0.002%	Decrease Decrease Decrease

Option contracts	$	331	Relative value analysis	Broker quotes	103.0% of par	Increase

Liabilities:

Commitments to extend credit on loans to be held for sale	$	215	Relative value analysis	TBA-MBS broker quotes Fall-out ratio ⁽³⁾	97.9% – 104.0% (101.6%) of par 24.4% - 28.2% (24.8%)	Decrease Decrease


⁽¹⁾	The range is based on the historical estimated fair values and management estimates.


⁽²⁾	Unless otherwise noted, this column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.


⁽³⁾	The percentage of commitments to extend credit on loans to be held for sale which management has estimated may not fund.


⁽⁴⁾	An estimated cost to roll forward the mandatory loan sale commitments which management has estimated may not be delivered to the corresponding investors in a timely manner.

Schedule of Carrying Amount and Fair Value of Financial Instruments

The carrying amount and fair value of the Corporation’s other financial instruments as of December 31, 2013 and June 30, 2013 were as follows:



	December 31, 2013
(In Thousands)	Carrying Amount		Fair Value		Level 1	Level 2		Level 3
Financial assets:
Loans held for investment, net	$	756,806	$	741,773	—	—		$	741,773
FHLB – San Francisco stock	$	10,905	$	10,905	—	$	10,905	—

Financial liabilities:
Deposits	$	913,756	$	892,696	—	—		$	892,696
Borrowings	$	51,462	$	53,606	—	—		$	53,606



	June 30, 2013
(In Thousands)	Carrying Amount		Fair Value		Level 1	Level 2		Level 3
Financial assets:
Loans held for investment, net	$	748,397	$	742,256	—	—		$	742,256
FHLB – San Francisco stock	$	15,273	$	15,273	—	$	15,273	—

Financial liabilities:
Deposits	$	923,010	$	903,654	—	—		$	903,654
Borrowings	$	106,491	$	110,404	—	—		$	110,404

- Definition

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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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 15

-Subparagraph b-d

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef

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-Name Accounting Standards Codification

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Reference 8: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 10

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 9: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

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Reference 10: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 11: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

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Reference 12: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 19

-Subparagraph a, b, c(1), d(1)

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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