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FAIR VALUE (Tables)

9 Months Ended

Mar. 31, 2020

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

The following table sets forth the Company’s financial assets and liabilities measured at fair value on a recurring basis at March 31, 2020 and June 30, 2019. 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, 2020
(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	$	—	$	919	$	—	$	919
Securities—Available-for-Sale:
Agency Debt¹	$	—	$	1,700	$	—	$	1,700
Agency RMBS¹	—		14,443		—		14,443
Non-Agency RMBS²	—		—		11,706		11,706
Municipal	—		10,389		—		10,389
Asset-backed securities and structured notes	—		153,150		—		153,150
Total—Securities—Available-for-Sale	$	—	$	179,682	$	11,706	$	191,388
Loans Held for Sale	$	—	$	40,236	$	—	$	40,236
Mortgage servicing rights	$	—	$	—	$	9,962	$	9,962
Other assets—Derivative instruments	$	—	$	—	$	5,626	$	5,626
LIABILITIES:
Other liabilities—Derivative instruments	$	—	$	—	$	2,978	$	2,978

	June 30, 2019
(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—Available-for-Sale:
Agency Debt¹	$	—	$	1,685	$	—	$	1,685
Agency RMBS¹	—		9,586		—		9,586
Non-Agency RMBS²	—		—		13,025		13,025
Municipal	—		21,162		—		21,162
Asset-backed securities and structured notes	—		182,055		—		182,055
Total—Securities—Available-for-Sale	$	—	$	214,488	$	13,025	$	227,513
Loans Held for Sale	$	—	$	33,260	$	—	$	33,260
Mortgage servicing rights	$	—	$	—	$	9,784	$	9,784
Other assets—Derivative instruments	$	—	$	—	$	1,978	$	1,978
LIABILITIES:
Other liabilities—Derivative instruments	$	—	$	—	$	732	$	732


¹	U.S. government-backed or government sponsored enterprises including Fannie Mae, Freddie Mac and Ginnie Mae.

Private sponsors of securities collateralized primarily by pools of 1-4 family residential first mortgages. Primarily super senior securities secured by Alt-A or pay-option ARM mortgages.

Schedule of 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

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, 2020
(Dollars in thousands)	Securities – Available-for-Sale: Non-Agency RMBS			Mortgage Servicing Rights			Derivative Instruments, net		Total

Opening balance	$	12,787		$	11,262		$	1,017	$	25,066
Total gains or losses for the period:
Included in earnings—Mortgage banking income	—			(2,597		)	1,631		(966		)
Included in other comprehensive income	(548		)	—			—		(548		)
Purchases/originations	—			1,297			—		1,297
Settlements	(533		)	—			—		(533		)
Closing balance	$	11,706		$	9,962		$	2,648	$	24,316

Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period	$	—		$	(2,597	)	$	1,631	$	(966	)

	For the Nine Months Ended
	March 31, 2020
(Dollars in thousands)	Securities – Available-for-Sale: Non-Agency RMBS			Mortgage Servicing Rights			Derivative Instruments, net		Total

Opening Balance	$	13,025		$	9,784		$	1,246	$	24,055
Total gains or losses for the period:
Included in earnings—Mortgage banking income	—			(3,869		)	1,402		(2,467		)
Included in other comprehensive income	292			—			—		292
Purchases	—			4,047			—		4,047
Settlements	(1,611		)	—			—		(1,611		)
Closing balance	$	11,706		$	9,962		$	2,648	$	24,316

Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period	$	—		$	(3,869	)	$	1,402	$	(2,467	)



	For the Three Months Ended
	March 31, 2019
(Dollars in thousands)	Securities – Available-for-Sale: Non-Agency RMBS			Mortgage Servicing Rights			Derivative Instruments, net			Total

Opening balance	$	14,421		$	11,215		$	469		$	26,105
Total gains or losses for the period:
Included in earnings—Mortgage banking income	—			(1,199		)	153			(1,046		)
Included in other comprehensive income	(108		)	—			—			(108		)
Purchases/originations	—			339			—			339
Settlements	(370		)	—			—			(370		)
Other-than-temporary impairment	(821		)	—			—			(821		)
Closing balance	$	13,122		$	10,355		$	622		$	24,099

Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period	$	—		$	(1,199	)	$	153		$	(1,046	)

	For the Nine Months Ended
	March 31, 2019
(Dollars in thousands)	Securities – Available-for-Sale: Non-Agency RMBS			Mortgage Servicing Rights			Derivative Instruments, net			Total

Opening Balance	$	17,443		$	10,752		$	953		$	29,148
Total gains or losses for the period:
Included in earnings—Sale of securities	(133		)	—			—			(133		)
Included in earnings—Mortgage banking income	—			(2,053		)	(331		)	(2,384		)
Included in other comprehensive income	442			—			—			442
Purchases	—			1,656			—			1,656
Sales	(2,058		)	—			—			(2,058		)
Settlements	(1,751		)	—			—			(1,751		)
Other-than-temporary impairment	(821		)	—			—			(821		)
Closing balance	$	13,122		$	10,355		$	622		$	24,099

Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period	$	(133	)	$	(2,053	)	$	(331	)	$	(2,517	)

Schedule of Quantitative Information About Level 3 Fair Value Measurements

The table below summarizes the quantitative information about level 3 fair value measurements as of the dates indicated:



	March 31, 2020
(Dollars in thousands)	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
Securities – Non-agency RMBS	$	11,706	Discounted Cash Flow	Projected Constant Prepayment Rate, Projected Constant Default Rate, Projected Loss Severity, Discount Rate over LIBOR	1.0 to 25.6% (8.9%) 1.5 to 20.0% (4.8%) 40.0 to 68.4% (59.5%) 3.1 to 9.4% (5.1%)
Mortgage Servicing Rights	$	9,962	Discounted Cash Flow	Projected Constant Prepayment Rate, Life (in years), Discount Rate	4.9 to 29.4% (10.9%) 1.9 to 8.3 (6.3) 9.5 to 13.0% (9.8%)
Derivative Instruments	$	2,648	Sales Comparison Approach	Projected Sales Profit of Underlying Loans	0.0 to 0.8% (0.4%)



	June 30, 2019
(Dollars in thousands)	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
Securities – Non-agency RMBS	$	13,025	Discounted Cash Flow	Projected Constant Prepayment Rate, Projected Constant Default Rate, Projected Loss Severity, Discount Rate over LIBOR	2.9 to 32.5% (10.0%) 1.5 to 10.2% (4.4%) 40.0 to 68.3% (59.4%) 2.7 to 6.9% (4.1%)
Mortgage Servicing Rights	$	9,784	Discounted Cash Flow	Projected Constant Prepayment Rate, Life (in years), Discount Rate	4.7 to 33.7% (10.1%) 1.9 to 8.8 (6.4) 9.5 to 13.0% (9.8%)
Derivative Instruments	$	1,246	Sales Comparison Approach	Projected Sales Profit of Underlying Loans	0.4 to 0.8% (0.6%)

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, 2020
(Dollars in thousands)	Fair Value		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)¹
Impaired loans and leases:
Single family real estate secured:
Mortgage	$	54,106	Sales comparison approach	Adjustment for differences between the comparable sales	-15.3 to 18.5% (-0.4%)
Multifamily real estate secured	$	1,176	Sales comparison approach, income approach, Discounted cash flows	Adjustment for differences between the comparable sales and adjustments for differences in net operating income expectations, capitalization rate	4.5 to 15.0% (9.3%)
Commercial real estate secured	$	1,909	Sales comparison approach and income approach	Adjustment for differences between the comparable sales and adjustments for differences in net operating income expectations	1.5 to 1.5% (1.5%)
Auto and RV secured	$	339	Sales comparison approach	Adjustment for differences between the comparable sales	-63.2 to 13.2% (-15.4%)
Other	$	406	Discounted cash flow	Projected Constant Prepayment Rate, Projected Constant Default Rate, Projected Loss Severity, Discount Rate	0.0 to 0.0% (0.0%) 0.0 to 10.0% (5.0%) 100.0 to 100.0% (100.0%) -3.3 to 2.2% (-0.5%)
Other real estate owned and foreclosed assets:
Single family real estate	$	7,010	Sales comparison approach	Adjustment for differences between the comparable sales	8.8 to 18.7% (16.7%)
Autos and RVs	$	297	Sales comparison approach	Adjustment for differences between the comparable sales	-30.2 to 2.2% (-3.4%)

¹For impaired loans, 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.



	June 30, 2019
(Dollars in thousands)	Fair Value		Valuation Technique(s)	Unobservable Input	Range (Weighted Average) ¹
Impaired loans and leases:
Single family real estate secured:
Mortgage	$	46,005	Sales comparison approach	Adjustment for differences between the comparable sales	-83.2 to 80% (-2.0%)
Multifamily real estate secured	$	2,108	Sales comparison approach and income approach	Adjustment for differences between the comparable sales and adjustments for differences in net operating income expectations, capitalization rate	-87.9 to 102.7% (-0.1%)
Auto and RV secured	$	115	Sales comparison approach	Adjustment for differences between the comparable sales	-49.0 to 24.0% (2.6%)
Other	$	216	Discounted cash flow	Projected Constant Prepayment Rate, Projected Constant Default Rate, Projected Loss Severity, Discount Rate	0.0 to 0.0% (0.0%) 0.0 to 10.0% (5.0%) 100.0 to 100.0% (100.0%) -2.2 to 1.1% (-0.6%)
Other real estate owned and foreclosed assets:
Single family real estate	$	7,449	Sales comparison approach	Adjustment for differences between the comparable sales	-46.3 to 53.0% (5.3%)
Autos and RVs	$	36	Sales comparison approach	Adjustment for differences between the comparable sales	-13.6 to 56.3% (8.0%)

Schedule of Fair Value Assets Measured on Nonrecurring Basis

The table below summarizes assets measured for impairment on a non-recurring basis:



	March 31, 2020
(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
Impaired Loans and Leases:
Single family real estate secured:
Mortgage	$	—	$	—	$	54,106	$	54,106
Multifamily real estate secured	—		—		1,176		1,176
Commercial real estate secured	—		—		1,909		1,909
Auto and RV secured	—		—		339		339
Other	—		—		406		406
Total	$	—	$	—	$	57,936	$	57,936
Other real estate owned and foreclosed assets:
Single family real estate	$	—	$	—	$	7,010	$	7,010
Autos and RVs	—		—		297		297
Total	$	—	$	—	$	7,307	$	7,307

	June 30, 2019
(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
Impaired Loans and Leases:
Single family real estate secured:
Mortgage	$	—	$	—	$	46,005	$	46,005
Multifamily real estate secured	—		—		2,108		2,108
Auto and RV secured	—		—		115		115
Other	—		—		216		216
Total	$	—	$	—	$	48,444	$	48,444
Other real estate owned and foreclosed assets:
Single family real estate	$	—	$	—	$	7,449	$	7,449
Autos and RVs	—		—		36		36
Total	$	—	$	—	$	7,485	$	7,485

Schedule of Aggregate Fair Value, Contractual Balance, and Gains of Loans Held For Sale

As of March 31, 2020 and June 30, 2019, the aggregate fair value of loans held for sale, carried at fair value, contractual balance (including accrued interest), and unrealized gain was as follows:



(Dollars in thousands)	March 31, 2020		June 30, 2019
Aggregate fair value	$	40,236	$	33,260
Contractual balance	38,724		32,342
Unrealized gain	$	1,512	$	918

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 Ended				For the Nine Months Ended
	March 31,				March 31,
(Dollars in thousands)	2020		2019		2020		2019
Interest income	$	216	$	258	$	812	$	824
Change in fair value	2,228		134		1,976		(577		)
Total	$	2,444	$	392	$	2,788	$	247

Schedule of Carrying Amounts and Estimated Fair Values of Financial Instruments at Period-end

The carrying amounts and estimated fair values of financial instruments at March 31, 2020 and June 30, 2019 were as follows:



	March 31, 2020
			Fair Value
(Dollars in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Total Fair Value
Financial assets:
Cash and cash equivalents	$	854,199	$	854,199	$	—	$	—	$	854,199
Securities trading	919		—		919		—		919
Securities available-for-sale	191,388		—		179,682		11,706		191,388
Loans held for sale, at fair value	40,236		—		40,236		—		40,236
Loans held for sale, at lower of cost or fair value	29		—		—		29		29
Loans and leases held for investment—net	10,372,921		—		—		10,926,375		10,926,375
Securities borrowed	53,816		—		—		53,827		53,827
Customer, broker-dealer and clearing receivables	187,353		—		—		187,447		187,447
Mortgage servicing rights	9,962		—		—		9,962		9,962
Financial liabilities:
Total deposits	9,567,338		—		9,312,380		—		9,312,380
Advances from the Federal Home Loan Bank	770,500		—		780,580		—		780,580
Borrowings, subordinated notes and debentures	76,285		—		77,104		—		77,104
Securities loaned	76,587		—		—		76,587		76,587
Customer, broker-dealer and clearing payables	318,100		—		—		291,679		291,679



	June 30, 2019
			Fair Value
(Dollars in thousands)	Carrying Amount		Level 1		Level 2		Level 3		Total Fair Value
Financial assets:
Cash and cash equivalents	$	857,368	$	857,368	$	—	$	—	$	857,368
Securities available-for-sale	227,513		—		214,488		13,025		227,513
Loans held for sale, at fair value	33,260		—		33,260		—		33,260
Loans held for sale, at lower of cost or fair value	4,800		—		—		4,990		4,990
Loans and leases held for investment—net	9,382,124		—		—		9,630,061		9,630,061
Securities borrowed	144,706		—		—		144,720		144,720
Customer, broker-dealer and clearing receivables	203,192		—		—		203,355		203,355
Mortgage servicing rights	9,784		—		—		9,784		9,784
Financial liabilities:
Total deposits	8,983,173		—		8,758,861		—		8,758,861
Advances from the Federal Home Loan Bank	458,500		—		461,156		—		461,156
Borrowings, subordinated notes and debentures	168,929		—		169,212		—		169,212
Securities loaned	198,356		—		—		198,197		198,197
Customer, broker-dealer and clearing payables	238,604		—		—		229,987		229,987