XML 47 R23.htm IDEA: XBRL DOCUMENT v3.21.1

Derivatives and Hedging Activities (Tables)

6 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Value, Notional Amount and Balance Sheet Classification

The following tables present the fair value, notional amount and balance sheet classification of derivative assets and liabilities at March 31, 2021 and September 30, 2020.

March 31, 2021			Derivative Assets												Derivative Liabilities
Interest rate contract purpose			Balance Sheet Location			Notional			Fair Value						Balance Sheet Location			Notional			Fair Value
			(In thousands)												(In thousands)
Client swap program hedges			Other assets			$	653,904		$	5,104					Other liabilities			$	653,904		$	5,104
Commercial loan fair value hedges			Other assets			—			—						Other liabilities			90,918			4,610
Mortgage loan fair value hedges			Other assets			500,000			2,135						Other liabilities			—			—
Borrowings cash flow hedges			Other assets			1,200,000			59,198						Other liabilities			—			—
						$	2,353,904		$	66,437								$	744,822		$	9,714

September 30, 2020			Derivative Assets												Derivative Liabilities
Interest rate contract purpose			Balance Sheet Location			Notional			Fair Value						Balance Sheet Location			Notional			Fair Value
			(In thousands)												(In thousands)
Client swap program hedges			Other assets			$	656,074		$	48,201					Other liabilities			$	656,074		$	48,201
Commercial loan fair value hedges			Other assets			—			—						Other liabilities			93,316			8,492
Mortgage loan fair value hedges			Other assets			—			—						Other liabilities			500,000			16,061
Borrowings cash flow hedges			Other assets			—			—						Other liabilities			1,600,000			17,375
						$	656,074		$	48,201								$	2,849,390		$	90,129

Schedule of Fair Value Hedge Accounting on Carrying Value of Hedged Items

The following tables present the impact of fair value hedge accounting on the carrying value of the hedged items at March 31, 2021 and September 30, 2020.

(In thousands)			March 31, 2021
Balance sheet line item in which hedged item is recorded			Carrying value of hedged items			Cumulative gain (loss) fair value hedge adjustment included in carrying amount of hedged items
Loans receivable (1) (2)			$	1,934,688		$	2,831
			$	1,934,688		$	2,831

(1) Includes the amortized cost basis of the closed mortgage loan portfolios used to designate the hedging relationships in which the hedged items are the last layer expected to be remaining at the end of the hedging relationships. At March 31, 2021, the amortized cost basis of the closed loan portfolios used in the hedging relationships was $1,839,169,000, the cumulative basis adjustment associated with the hedging relationships was $(1,929,000), and the amount of the designated hedged items was $500,000,000.

(2) Includes the amortized cost basis of commercial loans designated in fair value hedging relationships. At March 31, 2021, the amortized cost basis of the hedged commercial loans was $95,519,000 and the cumulative basis adjustment associated with the hedging relationships was $4,760,000.

(In thousands)			September 30, 2020
Balance sheet line item in which hedged item is recorded			Carrying value of hedged items			Cumulative gain (loss) fair value hedge adjustment included in carrying amount of hedged items
Loans receivable (1) (2)			$	2,562,765		$	24,664
			$	2,562,765		$	24,664

(1) Includes the amortized cost basis of the closed mortgage loan portfolios used to designate the hedging relationships in which the hedged items are the last layer expected to be remaining at the end of the hedging relationships. At September 30, 2020, the amortized cost basis of the closed loan portfolios used in the hedging relationships was $2,461,008,000, the cumulative basis adjustment associated with the hedging relationships was $16,049,000, and the amount of the designated hedged items was $500,000,000.

(2) Includes the amortized cost basis of commercial loans designated in fair value hedging relationships. At September 30, 2020, the amortized cost basis of the hedged commercial loans was $101,757,000 and the cumulative basis adjustment associated with the hedging relationships was $8,615,000.

Schedule of Impact of Derivative Instruments

The following tables present the gain (loss) recognized in AOCI on derivative instruments related to cash flow hedges on borrowings for the periods presented, as well as the effect of reclassification adjustments.

(In thousands)			Three Months Ended March 31,
Amounts recognized in AOCI			2021			2020
Interest rate contracts:
Pay fixed/receive floating swaps on borrowings cash flow hedges			$	70,565		$	(12,428)
Reclassification adjustment of net (gain)/loss included in net income			(14,110)			—
Total pre-tax gain/(loss) recognized in AOCI			$	56,455		$	(12,428)

(In thousands)			Six Months Ended March 31,
Amounts recognized in AOCI			2021			2020
Interest rate contracts:
Pay fixed/receive floating swaps on borrowings cash flow hedges			$	90,683		$	(9,313)
Reclassification adjustment of net (gain)/loss included in net income			(14,110)			—
Total pre-tax gain/(loss) recognized in AOCI			$	76,573		$	(9,313)

The following tables present the impact of derivative instruments (client swap program) that are not designated in accounting hedges under ASC 815 for the periods presented.

(In thousands)						Three Months Ended March 31,
Derivative instruments			Classification of gain/(loss) recognized in income on derivative instrument			2021			2020
Interest rate contracts:
Pay fixed/receive floating swap			Other noninterest income			$	40,929		$	(28,184)
Receive fixed/pay floating swap			Other noninterest income			(40,929)			28,184
						$	—		$	—

(In thousands)						Six Months Ended March 31,
Derivative instruments			Classification of gain/(loss) recognized in income on derivative instrument			2021			2020
Interest rate contracts:
Pay fixed/receive floating swap			Other noninterest income			$	53,305		$	(22,776)
Receive fixed/pay floating swap			Other noninterest income			(53,305)			22,776
						$	—		$	—

Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location

The following tables present the gain (loss) on derivative instruments in fair value and cash flow accounting hedging relationships under ASC 815 for the periods presented.

			Three Months Ended March 31, 2021						Three Months Ended March 31, 2020
			Interest income on loans receivable			Interest expense on FHLB advances			Interest income on loans receivable			Interest expense on FHLB advances
			(In thousands)						(In thousands)
Interest income/(expense), including the effects of fair value and cash flow hedges			$	132,757		$	(11,991)		$	138,549		$	(13,368)
Gain/(loss) on fair value hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives			$	(1,563)					$	(112)
Recognized on derivatives			17,491						(24,676)
Recognized on hedged items			(17,377)						24,666
Net income/(expense) recognized on fair value hedges			$	(1,449)					$	(122)
Gain/(loss) on cash flow hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives						$	3,066					$	498
Amount of derivative gain/(loss) reclassified from AOCI into interest income/expense						14,110						—
Net income/(expense) recognized on cash flow hedges						$	17,176					$	498

			Six months ended March 31, 2021						Six months ended March 31, 2020
			Interest income on loans receivable			Interest expense on FHLB advances			Interest income on loans receivable			Interest expense on FHLB advances
			(In thousands)						(In thousands)
Interest income/(expense), including the effects of fair value and cash flow hedges			$	266,428		$	(25,189)		$	280,695		$	(27,026)
Gain/(loss) on fair value hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives			$	(3,104)					$	(186)
Recognized on derivatives			22,078						(19,984)
Recognized on hedged items			(21,833)						20,073
Net income/(expense) recognized on fair value hedges			$	(2,859)					$	(97)
Gain/(loss) on cash flow hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives						$	6,664					$	284
Amount of derivative gain/(loss) reclassified from AOCI into interest income/expense						14,110						—
Net income/(expense) recognized on cash flow hedges						$	20,774					$	284

X

- References

No definition available.

+ Details

Name:	us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4E
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624181-113959

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5618551-113959

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624163-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of derivative instruments (including nonderivative instruments that are designated and qualify as hedging instruments) of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5618551-113959

+ Details

Name:	us-gaap_ScheduleOfDerivativesInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure for fair value hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959

+ Details

Name:	us-gaap_ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration