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Fair Value Measurements
 6 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
FASB ASC 820, Fair Value Measurement ("ASC 820") defines fair value as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. ASC 820 also establishes a fair value hierarchy that requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard describes three levels of inputs that may be used to measure fair value:

Level 1: Quoted prices (unadjusted) for identical assets or liabilities in active exchange markets that the entity has the ability to access as of the measurement date.
Level 2: Significant other observable inputs other than Level 1 prices, such as quoted prices for similar assets or liabilities, quoted prices in markets that are not active and other inputs that are observable or can be corroborated by observable market data.
Level 3: Significant unobservable inputs that reflect a company’s own assumptions about the assumptions that market participants would use in pricing an asset or liability.

The Company has established and documented the process for determining the fair values of its assets and liabilities, where applicable. Fair value is based on quoted market prices, when available, for identical or similar assets or liabilities. In the absence of quoted market prices, fair value is determined using valuation models or third-party appraisals. The following is a description of the valuation methodologies used to measure and report the fair value of financial assets and liabilities on a recurring or nonrecurring basis.
Measured on a Recurring Basis

Available-for-Sale Securities and Derivative Contracts
Securities available for sale are recorded at fair value on a recurring basis. The fair value of debt securities are priced using model pricing based on the securities' relationship to other benchmark quoted prices as provided by an independent third party, and under GAAP are considered a Level 2 input method. Securities that are traded on active exchanges are measured using the closing price in an active market and are considered a Level 1 input method.
The Company offers interest rate swaps to its variable rate borrowers who want to manage their interest rate risk. At the same time, the Company enters into the opposite trade with a counter party to offset its interest rate risk. The Company has also entered into commercial loan hedges, mortgage pool hedges and borrowings hedges using interest rate swaps. The fair value of these interest rate swaps are estimated by a third party pricing service using a discounted cash flow technique. These are considered a Level 2 input method.
 
The following tables present the balance and level in the fair value hierarchy of assets and liabilities that are measured at fair value on a recurring basis.

 March 31, 2021
 Level 1Level 2Level 3Total
 (In thousands)
Financial Assets
Available-for-sale securities:
U.S. government and agency securities$— $71,512 $— $71,512 
Asset-backed securities— 1,183,977 — 1,183,977 
Municipal bonds— 38,669 — 38,669 
Corporate debt securities— 380,115 — 380,115 
Mortgage-backed securities
Agency pass-through certificates— 764,629 — 764,629 
Total available-for-sale securities— 2,438,902 — 2,438,902 
Client swap program hedges— 5,104 — 5,104 
Mortgage loan fair value hedges— 2,135 — 2,135 
Borrowings cash flow hedges— 59,198 — 59,198 
Total financial assets$— $2,505,339 $— $2,505,339 
Financial Liabilities
Client swap program hedges$— $5,104 $— $5,104 
Commercial loan fair value hedges— 4,610 — 4,610 
Total financial liabilities$— $9,714 $— $9,714 
 September 30, 2020
 Level 1Level 2Level 3Total
 (In thousands)
Financial Assets
Available-for-sale securities:
U.S. government and agency securities$— $18,824 $— $18,824 
Asset-backed securities— 936,917 936,917 
Municipal bonds— 38,315 — 38,315 
Corporate debt securities— 287,184 — 287,184 
Mortgage-backed securities
Agency pass-through certificates— 968,252 — 968,252 
Total available-for-sale securities— 2,249,492 — 2,249,492 
Client swap program hedges— 48,201 — 48,201 
Total financial assets$— $2,297,693 $— $2,297,693 
Financial Liabilities
Client swap program hedges$— $48,201 $— $48,201 
Commercial loan fair value hedges— 8,492 — 8,492 
Mortgage loan fair value hedges16,061 16,061 
Borrowings cash flow hedges— 17,375 — 17,375 
Total financial liabilities$— $90,129 $— $90,129 
Measured on a Nonrecurring Basis

Certain assets and liabilities are measured at fair value on a nonrecurring basis after initial recognition such as collateral dependent loans and real estate owned ("REO"). REO consists principally of properties acquired through foreclosure. From time to time, and on a nonrecurring basis, adjustments using fair value measurements are recorded to reflect increases or decreases based on the discounted cash flows, the current appraisal or estimated value of the collateral or REO property.

When management determines that the fair value of the collateral or the REO requires additional adjustments, either as a result of an updated appraised value or when there is no observable market price, the Company classifies the collateral dependent loan or real estate owned as Level 3. Level 3 assets recorded at fair value on a nonrecurring basis at March 31, 2021 included loans for which an allowance was established or a partial charge-off was recorded based on the fair value of collateral, as well as real estate owned where the fair value of the property was less than the cost basis.

The following tables present the aggregated balance of assets that were measured at fair value on a nonrecurring basis at March 31, 2021 and March 31, 2020, and the total gains (losses) resulting from those fair value adjustments during the respective periods. The estimated fair value measurements are shown gross of estimated selling costs.
 
 March 31, 2021Three Months Ended March 31, 2021Six Months Ended March 31, 2021
 Level 1Level  2Level  3TotalTotal Gains (Losses)
 (In thousands)(In thousands)
Loans (1)$— $— $— $— $(25)$(69)
Real estate owned (2)— — 722 722 148 101 
Balance at end of period$— $— $722 $722 $123 $32 

(1)The gains (losses) represent re-measurements of collateral-dependent loans.
(2)The gains (losses) represent aggregate write-downs and charge-offs on real estate owned.

March 31, 2020Three Months Ended March 31, 2020Six Months Ended March 31, 2020
Level 1Level  2Level  3TotalTotal Gains (Losses)
(In thousands)(In thousands)
Loans (1)$— $— $810 $810 $(246)$(545)
Real estate owned (2)— — 1,675 1,675 145 143 
Balance at end of period$— $— $2,485 $2,485 $(101)$(402)

(1)The gains (losses) represent re-measurements of collateral-dependent loans.
(2)The gains (losses) represent aggregate write-downs and charge-offs on real estate owned.
At March 31, 2021, there were $676,000 in foreclosed residential real estate properties held as REO. The recorded investment of consumer mortgage loans secured by residential real estate properties for which formal foreclosure proceedings were in process was $3,134,000.
Fair Values of Financial Instruments
FASB ASC 825, Financial Instruments ("ASC 825") requires disclosure of fair value information about financial instruments, whether or not recognized on the statement of financial condition, for which it is practicable to estimate those values. Certain financial instruments and all non-financial instruments are excluded from the disclosure requirements. Accordingly, the aggregate fair value estimates presented do not reflect the underlying fair value of the Company. Although management is not aware of any factors that would materially affect the estimated fair value amounts presented below, such amounts have not been
comprehensively revalued for purposes of these financial statements since the dates shown, and therefore, estimates of fair value subsequent to those dates may differ significantly from the amounts presented below. 
 March 31, 2021September 30, 2020
 Level in Fair Value HierarchyCarrying
Amount		Estimated
Fair Value		Carrying
Amount		Estimated
Fair Value
 ($ in thousands)
Financial assets
Cash and cash equivalents1$2,318,447 $2,318,447 $1,702,977 $1,702,977 
Available-for-sale securities
U.S. government and agency securities271,512 71,512 18,824 18,824 
Asset-backed securities21,183,977 1,183,977 936,917 936,917 
Municipal bonds238,669 38,669 38,315 38,315 
Corporate debt securities2380,115 380,115 287,184 287,184 
Mortgage-backed securities
Agency pass-through certificates2764,629 764,629 968,252 968,252 
Total available-for-sale securities2,438,902 2,438,902 2,249,492 2,249,492 
Held-to-maturity securities
Mortgage-backed securities
Agency pass-through certificates2489,915 503,723 698,934 720,516 
                           Commercial MBS24,174 4,174 6,904 6,852 
Total held-to-maturity securities494,089 507,897 705,838 727,368 
Loans receivable313,035,423 13,419,101 12,792,317 13,392,089 
FHLB and FRB stock2119,991 119,991 141,990 141,990 
        Other assets - client swap program hedges25,104 5,104 48,201 48,201 
        Other assets - commercial fair value loan hedges2— — — — 
        Other assets - mortgage loan fair value hedges22,135 2,135 — — 
        Other assets - borrowings cash flow hedges259,198 59,198 — — 
Financial liabilities
Time deposits23,590,755 3,543,588 3,973,192 3,963,203 
FHLB advances22,150,000 2,115,171 2,700,000 2,722,509 
        Other liabilities - client swap program hedges25,104 5,104 48,201 48,201 
Other liabilities - commercial loan fair value hedges24,610 4,610 8,492 8,492 
Other liabilities - mortgage loan fair value hedges2— — 16,061 16,061 
        Other liabilities - borrowings cash flow hedges2— — 17,375 17,375 

The following methods and assumptions were used to estimate the fair value of financial instruments:
Cash and cash equivalents – The carrying amount of these items is a reasonable estimate of their fair value. 
Available-for-sale securities and held-to-maturity securities – Securities at fair value are primarily priced using model pricing based on the securities' relationship to other benchmark quoted prices as provided by an independent third party, and are considered a Level 2 input method. Equity securities that are exchange traded are considered a Level 1 input method.
Loans receivable – Fair values are estimated first by stratifying the portfolios of loans with similar financial characteristics. Loans are segregated by type such as multi-family real estate, residential mortgage, construction, commercial, consumer and land loans. Each loan category is further segmented into fixed- and adjustable-rate interest terms. For residential mortgages and multi-family loans, the bank determined that its best exit price was by securitization. MBS benchmark prices are used as a base
price, with further loan level pricing adjustments made based on individual loan characteristics such as FICO score, LTV, Property Type and occupancy. For all other loan categories an estimate of fair value is then calculated based on discounted cash flows using a discount rate offered and observed in the market on similar products, plus an adjustment for liquidity to reflect the non-homogeneous nature of the loans, as well as an annual loss rate based on historical losses to arrive at an estimated exit price fair value. Fair value for impaired loans is also based on recent appraisals or estimated cash flows discounted using rates commensurate with risk associated with the estimated cash flows. Assumptions regarding credit risk, cash flows and discount rates are judgmentally determined using available market information and specific borrower information.
FHLB and FRB stock – The fair value is based upon the par value of the stock that equates to its carrying value.
Time deposits – The fair value of time deposits is estimated by discounting the estimated future cash flows using rates offered for deposits with similar remaining maturities.
FHLB advances – The fair value of FHLB advances and other borrowings is estimated by discounting the estimated future cash flows using rates currently available to the Company for debt with similar remaining maturities.
Interest rate swaps – The Company offers interest rate swaps to its variable rate borrowers who want to manage their interest rate risk. At the same time, the Company enters into the opposite trade with a counterparty to offset its interest rate risk. The Company also uses interest rate swaps for various fair value hedges and cash flow hedges. The fair value of these interest rate swaps is estimated by a third party pricing service using a discounted cash flow technique.
The following tables provide details about the amortized cost and fair value of available-for-sale and held-to-maturity securities.
 March 31, 2021
 Amortized
Cost		Gross UnrealizedFair
Value		Yield
 GainsLosses
 ($ in thousands)
Available-for-sale securities
U.S. government and agency securities due
1 to 5 years$54,992 $516 $— $55,508 0.50 %
5 to 10 years15,897 107 — 16,004 2.05 
Asset-backed securities
5 to 10 years102,141 447 (718)101,870 0.68 
Over 10 years1,071,530 10,994 (417)1,082,107 1.07 
Corporate debt securities due
Within 1 year31,742 126 (28)31,840 1.98 
1 to 5 years195,442 7,120 — 202,562 1.67 
5 to 10 years65,888 751 (710)65,929 3.14 
Over 10 years80,560 — (776)79,784 3.44 
Municipal bonds due
1 to 5 years1,477 28 — 1,505 — 
5 to 10 years5,797 275 — 6,072 0.27 
Over 10 years29,929 1,163 — 31,092 5.85 
Mortgage-backed securities
Agency pass-through certificates737,281 29,622 (2,274)764,629 2.67 
2,392,676 51,149 (4,923)2,438,902 1.80 
Held-to-maturity securities
Mortgage-backed securities
Agency pass-through certificates489,915 13,808 — 503,723 3.16 
Commercial MBS4,174 — — 4,174 0.98 
494,089 13,808 — 507,897 3.14 
$2,886,765 $64,957 $(4,923)$2,946,799 2.02 %
 
 September 30, 2020
 Amortized
Cost		Gross UnrealizedFair
Value		Yield
 GainsLosses
 ($ in thousands)
Available-for-sale securities
U.S. government and agency securities due
5 to 10 years$18,448 $376 $— $18,824 2.05 %
Asset-backed securities
5 to 10 years38,289 — (1,600)36,689 0.83 
Over 10 years906,489 647 (6,908)900,228 1.14 
Corporate debt securities due
Within 1 year54,209 337 (51)54,495 1.22 
1 to 5 years128,289 3,366 (428)131,227 1.78 
5 to 10 years97,157 4,305 — 101,462 1.50 
Municipal bonds due
1 to 5 years1,461 36 — 1,497 — 
Over 10 years36,044 774 — 36,818 5.40 
Mortgage-backed securities
Agency pass-through certificates929,713 39,166 (627)968,252 2.82 
2,210,099 49,007 (9,614)2,249,492 1.97 
Held-to-maturity securities
Mortgage-backed securities
Agency pass-through certificates698,934 21,582 — 720,516 3.16 
Commercial MBS6,904 — (52)6,852 1.02 
705,838 21,582 (52)727,368 3.14 
$2,915,937 $70,589 $(9,666)$2,976,860 2.25 %


During fiscal 2020, as permitted in conjunction with the adoption of ASU 2019-04, the Company reclassified $374,680,000 of prepayable debt securities from held-to-maturity to available-for-sale. For available-for-sale investment securities, there were purchases of $522,454,000 during the six months ended March 31, 2021 and purchases of $159,884,000 during the six months ended March 31, 2020. There were no sales of available-for-sale investment securities during the six months ended March 31, 2021 and sales totaled $204,351,000 during the prior year same period. For held-to-maturity investment securities, there were no purchases during the six months ended March 31, 2021 and no purchases during the six months ended March 31, 2020. There were no sales of held-to-maturity investment securities during either period. Substantially all of the agency mortgage-backed securities have contractual due dates that exceed 10 years.

The Company elected to exclude AIR from the amortized cost basis of debt securities disclosed throughout this footnote. For AFS securities, AIR totaled $4,128,000 and $3,285,000 as of March 31, 2021 and September 30, 2020, respectively. For HTM debt securities, AIR totaled $1,269,000 and $1,811,000 as of March 31, 2021 and September 30, 2020, respectively. AIR is included in the “accrued interest receivable” line item on the Company’s consolidated statements of financial condition.
The following tables show the gross unrealized losses and fair value of securities as of March 31, 2021 and September 30, 2020, by length of time that individual securities in each category have been in a continuous loss position. There were 38 and 51 securities with an unrealized loss as of March 31, 2021 and September 30, 2020, respectively. The decline in fair value since purchase is attributable to changes in interest rates. Because the Company does not intend to sell these securities and does not consider it more likely than not that it will be required to sell these securities before the recovery of amortized cost basis, which may be upon maturity, the Company does not consider these investments to have any credit impairment.
 
March 31, 2021Less than 12 months12 months or moreTotal
 Unrealized
Gross Losses		Fair
Value		Unrealized
Gross Losses		Fair
Value		Unrealized
Gross Losses		Fair
Value
 (In thousands)
Available-for-sale securities
Corporate debt securities$(1,514)$125,191 $— $— $(1,514)$125,191 
Asset-backed securities(77)80,046 (1,058)125,681 (1,135)205,727 
Mortgage-backed securities(1,963)55,679 (311)31,951 (2,274)87,630 
(3,554)260,916 (1,369)157,632 (4,923)418,548 
Held-to-maturity securities
Mortgage-backed securities— — — — — — 
$(3,554)$260,916 $(1,369)$157,632 $(4,923)$418,548 

September 30, 2020Less than 12 months12 months or moreTotal
 Unrealized
Gross Losses		Fair
Value		Unrealized
Gross Losses		Fair
Value		Unrealized
Gross Losses		Fair
Value
 (In thousands)
Available-for-sale securities
Corporate debt securities$(74)$45,875 $(405)$24,596 $(479)$70,471 
Asset-backed securities(5,481)587,746 (3,027)204,369 (8,508)792,115 
Mortgage-backed securities(278)41,897 (349)56,196 (627)98,093 
(5,833)675,518 (3,781)285,161 (9,614)960,679 
Held-to-maturity securities
Mortgage-backed securities(52)6,853 — — (52)6,853 
$(5,885)$682,371 $(3,781)$285,161 $(9,666)$967,532 


Substantially all of the Company’s held-to-maturity debt securities are issued by U.S. government agencies or U.S. government-sponsored enterprises. These securities carry the explicit and/or implicit guarantee of the U.S. government and have a long history of zero credit loss. Therefore, the Company did not record an allowance for credit losses for these securities as of March 31, 2021 or September 30, 2020.

The Company does not believe that the available-for-sale debt securities that were in an unrealized loss position have any credit loss impairment as of March 31, 2021 or September 30, 2020. The Company does not intend to sell the investment securities that were in an unrealized loss position and it is not more likely than not that the Company will be required to sell the investment securities before recovery of their amortized cost basis, which may be at maturity. Available-for-sale debt securities issued by U.S. government agencies or U.S. government-sponsored enterprises carry the explicit and/or implicit guarantee of the U.S. government and have a long history of zero credit loss. Corporate debt securities and municipal bonds are considered to have an issuer of high credit quality (rated AA or higher) and the decline in fair value is due to changes in interest rates and other market conditions. The issuer continues to make timely principal and interest payments on the bonds. The fair value is expected to recover as the bonds approach maturity.