XML 27 R16.htm IDEA: XBRL DOCUMENT
v3.20.2

Fair Value Measurements | 6 Months Ended
--- | ---
Sep. 30, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Abstract] |
Fair Value Measurements | FAIR VALUE MEASUREMENTS Fair value is an “exit” price, representing the amount that would be received when selling an asset, or paid when transferring a liability, in an orderly transaction between market participants. Fair value is thus a market-based measurement that should be determined based on assumptions that market participants would use in pricing an asset or liability. Fair value measurements are categorized in a a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value as follows: •Level 1— Inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. •Level 2— Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. ◦Level 3— Inputs to the valuation methodology are unobservable and significant to the fair value measurement. A financial instrument’s categorization within this valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The following table presents, by valuation hierarchy, assets that are measured at fair value on a recurring basis as of September 30, 2020 and March 31, 2020, and that are included in the Company’s Consolidated Statements of Financial Condition at these dates:
|  | Fair Value Measurements at September 30, 2020, Using
$ in thousands |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Mortgage servicing rights |  | $ | — |  |  | $ | — |  |  | $ | 142 |  |  | $ | 142 |
Investment securities |  |  |  |  |  |  |  |
Available-for-sale: |  |  |  |  |  |  |  |
Mortgage-backed securities: |  |  |  |  |  |  |  |
Government National Mortgage Association |  | — |  |  | 1,690 |  |  | — |  |  | 1,690 |
Federal Home Loan Mortgage Corporation |  | — |  |  | 30,251 |  |  | — |  |  | 30,251 |
Federal National Mortgage Association |  | — |  |  | 15,603 |  |  | — |  |  | 15,603 |
U.S. Government Agency securities |  | — |  |  | 20,309 |  |  | — |  |  | 20,309 |
Corporate bonds |  | — |  |  | 6,218 |  |  | — |  |  | 6,218 |
Muni securities |  | — |  |  | 17,734 |  |  | — |  |  | 17,734 |
Asset-backed securities |  | — |  |  | 11,270 |  |  | — |  |  | 11,270 |
Total available-for-sale securities |  | — |  |  | 103,075 |  |  | — |  |  | 103,075 |
Total |  | $ | — |  |  | $ | 103,075 |  |  | $ | 142 |  |  | $ | 103,217 |
|  | Fair Value Measurements at March 31, 2020, Using
$ in thousands |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Mortgage servicing rights |  | $ | — |  |  | $ | — |  |  | $ | 145 |  |  | $ | 145 |
Investment securities |  |  |  |  |  |  |  |
Available-for-sale: |  |  |  |  |  |  |  |
Mortgage-backed securities: |  |  |  |  |  |  |  |
Government National Mortgage Association |  | — |  |  | 3,587 |  |  | — |  |  | 3,587 |
Federal Home Loan Mortgage Corporation |  | — |  |  | 9,538 |  |  | — |  |  | 9,538 |
Federal National Mortgage Association |  | — |  |  | 22,168 |  |  | — |  |  | 22,168 |
U.S. Government Agency securities |  | — |  |  | 26,481 |  |  | — |  |  | 26,481 |
Corporate bonds |  | — |  |  | 4,055 |  |  | — |  |  | 4,055 |
Total available-for-sale securities |  | — |  |  | 65,829 |  |  | — |  |  | 65,829 |
Total assets |  | $ | — |  |  | $ | 65,829 |  |  | $ | 145 |  |  | $ | 65,974 |
Instruments for which unobservable inputs are significant to their fair value measurement (i.e., Level 3) include mortgage servicing rights (“MSR”) and other investments. Level 3 assets accounted for 0.02% and 0.03% of the Company’s total assets measured at fair value at September 30, 2020 and March 31, 2020, respectively. The Company reviews and updates the fair value hierarchy classifications on a quarterly basis. Changes from one quarter to the next that are related to the observable inputs to a fair value measurement may result in a reclassification from one hierarchy level to another. Below is a description of the methods and significant assumptions utilized in estimating the fair value of available-for-sale securities and MSR: Where quoted prices are available in an active market, securities are classified within Level 1 of the valuation hierarchy. If quoted market prices are not available for the specific security, then fair values are estimated by using pricing models, quoted prices of securities with similar characteristics, or discounted cash flows. These pricing models primarily use market-based or independently sourced market parameters as inputs, including, but not limited to, yield curves, interest rates, equity or debt prices, and credit spreads. In addition to market information, models also incorporate transaction details, such as maturity and cash flow assumptions. Securities valued in this manner would generally be classified within Level 2 of the valuation hierarchy and primarily include such instruments as mortgage-related securities and corporate debt. In the six month period ended September 30, 2020, there were no transfers of investments into or out of each level of the fair value hierarchy. In certain cases where there is limited activity or less transparency around inputs to the valuation, securities are classified within Level 3 of the valuation hierarchy. In valuing certain securities, the determination of fair value may require benchmarking to similar instruments or analyzing default and recovery rates. Quoted price information for the MSRs is not available. Therefore, MSRs are valued using market-standard models to model the specific cash flow structure. Key inputs to the model consist of principal balance of loans being serviced, servicing fees and discount and prepayment rates. The methods described above may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The following table includes a rollforward of assets classified by the Company within Level 3 of the valuation hierarchy for the six months ended September 30, 2020 and 2019:
$ in thousands | Beginning balance, April 1, 2020 |  | Total Realized/Unrealized Gains/(Losses) Recorded in Income (1) |  | Issuances / (Settlements) |  | Transfers to/(from) Level 3 |  | Ending balance, September 30, 2020 |  | Change in Unrealized Gains/(Losses) Related to Instruments Held at September 30, 2020
Mortgage servicing rights | 145 |  |  | (3) |  |  | — |  |  | — |  |  | 142 |  |  | 2 |
$ in thousands | Beginning balance, April 1, 2019 |  | Total Realized/Unrealized Gains/(Losses) Recorded in Income (1) |  | Issuances / (Settlements) |  | Transfers to/(from) Level 3 |  | Ending balance, September 30, 2019 |  | Change in Unrealized Gains/(Losses) Related to Instruments Held at September 30, 2019
Mortgage servicing rights | 180 |  | (6) |  |  | — |  | — |  | 174 |  |  | (6) |
(1) Includes net servicing cash flows and the passage of time. For Level 3 assets measured at fair value on a recurring basis as of September 30, 2020 and March 31, 2020, the significant unobservable inputs used in the fair value measurements were as follows:
$ in thousands |  | Fair Value September 30, 2020 |  | Valuation Technique |  | Significant Unobservable Inputs |  | Significant Unobservable Input Value
Mortgage servicing rights |  | 142 |  |  | Discounted Cash Flow |  | Weighted Average Constant Prepayment Rate (1) |  | 15.33 | %
|  |  |  |  |  | Option Adjusted Spread ("OAS") applied to Treasury curve |  | 1200 basis points
$ in thousands |  | Fair Value March 31, 2020 |  | Valuation Technique |  | Significant Unobservable Inputs |  | Significant Unobservable Input Value
Mortgage servicing rights |  | 145 |  |  | Discounted Cash Flow |  | Weighted Average Constant Prepayment Rate (1) |  | 15.64 | %
|  |  |  |  |  | Option Adjusted Spread ("OAS" applied to Treasury curve |  | 1200 basis points
(1) Represents annualized loan repayment rate assumptions Certain assets are measured at fair value on a non-recurring basis. Such instruments are subject to fair value adjustments under certain circumstances (e.g. when there is evidence of impairment). The following table presents assets and liabilities that were measured at fair value on a non-recurring basis as of September 30, 2020 and March 31, 2020, and that are included in the Company’s Consolidated Statements of Financial Condition at these dates:
|  | Fair Value Measurements at September 30, 2020 Using
|  | Quoted Prices in Active Markets for Identical Assets |  | Significant Other Observable Inputs |  | Significant Unobservable Inputs |  | Total Fair Value
$ in thousands |  | (Level 1) |  | (Level 2) |  | (Level 3) |
Impaired loans |  | $ | — |  |  | $ | — |  |  | $ | 588 |  |  | $ | 588 |
Other real estate owned |  | — |  |  | — |  |  | 60 |  |  | $ | 60 |
|  | Fair Value Measurements at March 31, 2020, Using
|  | Quoted Prices in Active Markets for Identical Assets |  | Significant Other Observable Inputs |  | Significant Unobservable Inputs |  | Total Fair Value
$ in thousands |  | (Level 1) |  | (Level 2) |  | (Level 3) |
Impaired loans |  | $ | — |  |  | $ | — |  |  | $ | 1,293 |  |  | $ | 1,293 |
Other real estate owned |  | — |  |  | — |  |  | 120 |  |  | $ | 120 |
For Level 3 assets measured at fair value on a non-recurring basis as of September 30, 2020 and March 31, 2020, the significant unobservable inputs used in the fair value measurements were as follows:
$ in thousands |  | Fair Value September 30, 2020 |  | Valuation Technique |  | Significant Unobservable Inputs |  | Significant Unobservable Input Value
Impaired loans |  | $ | 588 |  |  | Appraisal of collateral |  | Appraisal adjustments |  | 7.5% cost to sell
Other real estate owned |  | 60 |  |  | Appraisal of collateral |  | Appraisal adjustments |  | 7.5% cost to sell
$ in thousands |  | Fair Value March 31, 2020 |  | Valuation Technique |  | Significant Unobservable Inputs |  | Significant Unobservable Input Value
Impaired loans |  | $ | 1,293 |  |  | Appraisal of collateral |  | Appraisal adjustments |  | 7.5% cost to sell
Other real estate owned |  | 120 |  |  | Appraisal of collateral |  | Appraisal adjustments |  | 7.5% cost to sell
The fair values of collateral dependent impaired loans are determined using various valuation techniques, including consideration of appraised values and other pertinent real estate market data. Other real estate owned represents property acquired by the Bank in settlement of loans less costs to sell (i.e., through foreclosure, repossession or as an in-substance foreclosure). These assets are recorded at the lower of their cost or fair value. At the time of acquisition of the real estate owned, the real property value is adjusted to its current fair value. Any subsequent adjustments will be to the lower of cost or fair value.

X
- References No definition available. + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI http://asc.fasb.org/topic&trid=2155941 + Details
Name: | us-gaap_FairValueMeasurementInputsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration