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Derivatives and Hedging Activities (Tables)

6 Months Ended

Mar. 31, 2022

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, 2022 and September 30, 2021.

March 31, 2022			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			$	615,830		$	27,353					Other liabilities			$	615,830		$	27,353
Commercial loan fair value hedges			Other assets			—			—						Other liabilities			42,209			38
Mortgage loan fair value hedges			Other assets			470,000			19,281						Other liabilities			—			—
Borrowings cash flow hedges			Other assets			1,000,000			105,211						Other liabilities			—			—
						$	2,085,830		$	151,845								$	658,039		$	27,391

September 30, 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			$	644,355		$	10,983					Other liabilities			$	644,355		$	10,983
Commercial loan fair value hedges			Other assets			—			—						Other liabilities			44,678			2,177
Mortgage loan fair value hedges			Other assets			—			—						Other liabilities			470,000			1,641
Borrowings cash flow hedges			Other assets			1,000,000			42,442						Other liabilities			—			—
						$	1,644,355		$	53,425								$	1,159,033		$	14,801

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, 2022 and September 30, 2021.

(In thousands)			March 31, 2022
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)			$	1,272,018		$	(18,845)
			$	1,272,018		$	(18,845)

(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, 2022, the amortized cost basis of the closed loan portfolios used in the hedging relationships was $1,230 million, the cumulative basis adjustment associated with the hedging relationships was $(19) million, and the amount of the designated hedged items was $470 million. During the year ended September 30, 2021, hedge accounting was discontinued on $30 million (30%) of a $100

million last of layer hedge. At March 31, 2022, there is $1.0 million of remaining unamortized basis adjustment associated with the terminated portion of the hedge and it will be recognized over the remaining life of the associated pool of loans.

(2) Includes the amortized cost basis of commercial loans designated in fair value hedging relationships. At March 31, 2022, the amortized cost basis of the hedged commercial loans was $42 million and the cumulative basis adjustment associated with the hedging relationships was $0.1 million.

(In thousands)			September 30, 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)			$	1,515,487		$	4,215
			$	1,515,487		$	4,215

(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, 2021, the amortized cost basis of the closed loan portfolios used in the hedging relationships was $1,469 million, the cumulative basis adjustment associated with the hedging relationships was $1.9 million million, and the amount of the designated hedged items was $470 million. During the year ended September 30, 2021, hedge accounting was discontinued on $30 million (30%) of a $100 million last of layer hedge.

(2) Includes the amortized cost basis of commercial loans designated in fair value hedging relationships. At September 30, 2021, the amortized cost basis of the hedged commercial loans was $47 million and the cumulative basis adjustment associated with the hedging relationships was $2.4 million. During the year ended September 30, 2021, hedge accounting was discontinued on a $46 million commercial loan hedge.

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, 2022						Three Months Ended March 31, 2021
			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			$	139,260		$	(7,525)		$	132,757		$	(11,991)
Gain/(loss) on fair value hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives			$	(1,199)					$	(1,563)
Recognized on derivatives			18,561						17,491
Recognized on hedged items			(18,586)						(17,377)
Net income/(expense) recognized on fair value hedges			$	(1,224)					$	(1,449)
Gain/(loss) on cash flow hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives						$	1,715					$	3,066
Amount of derivative gain/(loss) reclassified from AOCI into interest income/expense						—						14,110
Net income/(expense) recognized on cash flow hedges						$	1,715					$	17,176

			Six Months Ended March 31, 2022						Six Months Ended March 31, 2021
			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			$	277,769		$	(15,368)		$	266,428		$	(25,189)
Gain/(loss) on fair value hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives			$	(2,570)					$	(3,104)
Recognized on derivatives			23,061						22,078
Recognized on hedged items			(23,061)						(21,833)
Net income/(expense) recognized on fair value hedges			$	(2,570)					$	(2,859)
Gain/(loss) on cash flow hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives						$	3,736					$	6,664
Amount of derivative gain/(loss) reclassified from AOCI into interest income/expense						—						14,110
Net income/(expense) recognized on cash flow hedges						$	3,736					$	20,774

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			2022			2021
Interest rate contracts:
Pay fixed/receive floating swaps on borrowings cash flow hedges			$	56,323		$	70,565
Reclassification adjustment of net (gain)/loss included in net income			—			(14,110)
Total pre-tax gain/(loss) recognized in AOCI			$	56,323		$	56,455

(In thousands)			Six Months Ended March 31,
Amounts recognized in AOCI			2022			2021
Interest rate contracts:
Pay fixed/receive floating swaps on borrowings cash flow hedges			$	62,769		$	90,683
Reclassification adjustment of net (gain)/loss included in net income			—			(14,110)
Total pre-tax gain/(loss) recognized in AOCI			$	62,769		$	76,573

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			2022			2021
Interest rate contracts:
Pay fixed/receive floating swap			Other noninterest income			$	33,298		$	40,929
Receive fixed/pay floating swap			Other noninterest income			(33,298)			(40,929)
						$	—		$	—

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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.

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