FAIR VALUE (Tables)

3 Months Ended

Mar. 31, 2021

FAIR VALUE

Schedule of fair value assets and liabilities measured on recurring basis

The following presents assets and liabilities measured on a recurring basis as of March 31, 2021 and December 31, 2020 (in thousands):

	Quoted
	Prices in		Significant
	Active Markets		Other		Significant
	for Identical		Observable		Unobservable
	Assets		Inputs		Inputs		Reported
March 31, 2021	(Level 1)		(Level 2)		(Level 3)		Balance
Investment securities available-for-sale:
U.S. Treasury debt	$	253	$	—	$	—	$	253
Corporate bonds		—		6,088		—		6,088
GNMA mortgage-backed securities - residential		—		19,980		—		19,980
FNMA mortgage-backed securities - residential		—		1,670		—		1,670
Corporate CMO and MBS		—		2,852		—		2,852
Total securities available-for-sale	$	253	$	30,590	$	—	$	30,843
Equity securities	$	717	$	—	$	—	$	717
Guarantee asset	$	—	$	—	$	188	$	188
IRLC, net	$	—	$	—	$	2,105	$	2,105
Forward commitments	$	—	$	5,482	$	(173)	$	5,309
Mortgage loans held for sale	$	—	$	176,644	$	—	$	176,644

	Quoted
	Prices in		Significant
	Active Markets		Other		Significant
	for Identical		Observable		Unobservable
	Assets		Inputs		Inputs		Reported
December 31, 2020	(Level 1)		(Level 2)		(Level 3)		Balance
Investment securities available-for-sale:
U.S. Treasury debt	$	254	$	—	$	—	$	254
Corporate bonds		—		6,044		—		6,044
GNMA mortgage-backed securities - residential		—		24,604		—		24,604
FNMA mortgage-backed securities - residential		—		1,677		—		1,677
Corporate CMO and MBS		—		4,087		—		4,087
Total securities available-for-sale	$	254	$	36,412	$	—	$	36,666
Equity securities	$	730	$	—	$	—	$	730
Guarantee asset	$	—	$	—	$	232	$	232
IRLC, net	$	—	$	—	$	9,841	$	9,841
Forward commitments	$	—	$	(2,534)	$	(89)	$	(2,623)
Mortgage loans held for sale	$	—	$	161,843	$	—	$	161,843

Summary of assets and liability for level 3 instruments measured at fair value on recurring basis

The following presents a reconciliation for level 3 instruments measured at fair value on a recurring basis (in thousands):

Three Months Ended March 31, 2021	Guarantee Asset		IRLC		Forward Commitments
Beginning balance	$	232	$	9,841	$	(89)
Acquisitions		—		2,684		—
Originations		—		(7,016)		—
Sales		—		—		—
Gains (losses) in net income, net		(44)		(3,404)		(84)
Other settlements		—		—		—
Ending balance	$	188	$	2,105	$	(173)

Three Months Ended March 31, 2020	Guarantee Asset		IRLC		Forward Commitments
Beginning balance	$	—	$	1,184	$	—
Acquisitions		—		7,722		—
Originations		—		(5,644)		—
Sales		229		—		—
Gains (losses) in net income, net		(33)		763		(16)
Other settlements		—		—		—
Ending balance	$	196	$	4,025	$	(16)

Summary of assets measured at fair value on nonrecurring basis

The following presents quantitative information about Level 3 assets measured on a recurring basis as of March 31, 2021 and December 31, 2020 (dollars in thousands):

	Quantitative Information about Level 3 Fair Value Measurements as of March 31, 2021
			Valuation		Significant		Range
	Fair Value		Technique		Unobservable Input		(Weighted Average)
Guarantee asset	$	188		Discounted cash flow		Discount rate Prepayment rate		3% (3%) 26% (26%)
IRLC, net		2,105		Best execution model		Pull through		74% to 100% (91%)
Forward commitments		(173)		Internal pricing model		Market Differential		-164bps to -18bps (-49bps)

	Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2020
			Valuation		Significant		Range
	Fair Value		Technique		Unobservable Input		(Weighted Average)
Guarantee asset	$	232		Discounted cash flow		Discount rate Prepayment rate		3% (3%) 25% (25%)
IRLC, net		9,841		Best execution model		Pull through		55% to 100% (86%)
Forward commitments		(89)		Internal pricing model		Market Differential		-59bps to -17bps (-31bps)

The following presents assets measured on a nonrecurring basis as of March 31, 2021 and December 31, 2020 (in thousands):

	Quoted
	Prices in		Significant
	Active Markets		Other		Significant
	for Identical		Observable		Unobservable
	Assets		Inputs		Inputs		Reported
March 31, 2021	(Level 1)		(Level 2)		(Level 3)		Balance
Total impaired loans(1):
Commercial and Industrial	$	—	$	—	$	1,668	$	1,668

	Quoted
	Prices in		Significant
	Active Markets		Other		Significant
	for Identical		Observable		Unobservable
	Assets		Inputs		Inputs		Reported
December 31, 2020	(Level 1)		(Level 2)		(Level 3)		Balance
Other real estate owned:
Commercial properties	$	—	$	—	$	194	$	194
Total impaired loans(1):
Commercial and Industrial	$	—	$	—	$	1,800	$	1,800

______________________________________

⁽¹⁾ An immaterial Cash, Securities, and Other loan was fully reserved for using a specific allowance as of March 31, 2021 and December 31, 2020.

Summary of assets and liabilities measured at fair value on a recurring or nonrecurring, the significant unobservable inputs

The following presents quantitative information about the significant unobservable inputs used in the fair value measurement of recurring and nonrecurring non-financial instruments categorized within Level 3 of the fair value hierarchy as of March 31, 2021 and December 31, 2020 (dollars in thousands):

	Quantitative Information about Level 3 Fair Value Measurements as of March 31, 2021
			Valuation		Significant		Range
	Fair Value		Technique		Unobservable Input		(Weighted Average)
Total impaired loans(1):
Commercial and Industrial	$	1,668		Sales comparison, Market approach - guideline transaction method		Management discount for asset/property type		17% - 45% (31%)

	Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2020
			Valuation		Significant		Range
	Fair Value		Technique		Unobservable Input		(Weighted Average)
Other real estate owned:
Commercial properties	$	194		Sales contract		Commission, cost to sell, closing costs		5% (5%)
Total impaired loans(1):
Commercial and Industrial	$	1,800		Sales comparison, Market approach - guideline transaction method		Management discount for asset/property type		17% - 35% (26%)

______________________________________

⁽¹⁾ Two immaterial Cash, Securities and Other loans were fully reserved for using a specific allowance as of March 31, 2021 and one immaterial Cash, Securities and Other loan was fully reserved for using a specific allowance as of December 31, 2020.

Summary of carrying amounts and estimated fair values of financial instruments

	Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2020
			Valuation		Significant		Range
	Fair Value		Technique		Unobservable Input		(Weighted Average)
Other real estate owned:
Commercial properties	$	194		Sales contract		Commission, cost to sell, closing costs		5% (5%)
Total impaired loans(1):
Commercial and Industrial	$	1,800		Sales comparison, Market approach - guideline transaction method		Management discount for asset/property type		17% - 35% (26%)

______________________________________

⁽¹⁾ Two immaterial Cash, Securities and Other loans were fully reserved for using a specific allowance as of March 31, 2021 and one immaterial Cash, Securities and Other loan was fully reserved for using a specific allowance as of December 31, 2020.