
June 30, 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	$	565,380	$	43,219	Other liabilities	$	565,380	$	43,219
Commercial loan fair value hedges	Other assets	42,209		1,153		Other liabilities	—		—
Mortgage loan fair value hedges	Other assets	470,000		26,415		Other liabilities	—		—
Borrowings cash flow hedges	Other assets	1,000,000		136,436		Other liabilities	—		—
		$	2,077,589	$	207,223		$	565,380	$	43,219


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

The Company enters into interest rate swaps to hedge interest rate risk. These arrangements include hedges of individual fixed rate commercial loans and also hedges of a specified portion of pools of prepayable fixed rate mortgage loans under the "last of layer" method. These relationships qualify as fair value hedges under FASB ASC 815, Derivatives and Hedging ("ASC 815"), which provides for offsetting of the recognition of gains and losses of the respective interest rate swap and the hedged items. Gains and losses on interest rate swaps designated in these hedge relationships, along with the offsetting gains and losses on the hedged items attributable to the hedged risk, are recognized in current earnings within the same income statement line item.

Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative impact of changes in fair value attributable to the hedged risk. The hedge basis adjustment remains with the hedged item until the hedged item is de-recognized from the balance sheet. The following tables present the impact of fair value hedge accounting on the carrying value of the hedged items at June 30, 2022 and September 30, 2021.


(In thousands)	June 30, 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)	$	1,210,272	$	(27,410)
	$	1,210,272	$	(27,410)

(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 June 30, 2022, the amortized cost basis of the closed loan portfolios used in the hedging relationships was $1.2 billion, the cumulative basis adjustment associated with the hedging relationships was $(26.2) 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

(2) Includes the amortized cost basis of commercial loans designated in fair value hedging relationships. At June 30, 2022, the amortized cost basis of the hedged commercial loans was $41 million and the cumulative basis adjustment associated with the hedging relationships was $(1.2) 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 $1.5 billion, the cumulative basis adjustment associated with the hedging relationships was $1.9 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.

The Company has entered into interest rate swaps to convert certain short-term borrowings to fixed rate payments. The primary purpose of these hedges is to mitigate the risk of changes in future cash flows resulting from increasing interest rates. For qualifying cash flow hedges under ASC 815, gains and losses on the interest rate swaps are recorded in accumulated other comprehensive income ("AOCI") and then reclassified into earnings in the same period the hedged cash flows affect earnings and within the same income statement line item as the hedged cash flows. During the nine months ended June 30, 2021, $400,000,000 of cash flow hedges with an average effective rate of 2.15% were terminated and the associated FHLB borrowings were repaid at their 90-day call date. Additionally, a $200,000,000 partial termination of a cash flow hedge with an average effective rate of 0.79% was executed with the associated FHLB borrowing being repaid and a $14,110,000 gain recorded on the swap. Lastly, a $150,000,000 FHLB borrowing (unhedged) with a rate of 2.91% was repaid prior to maturity. As of June 30, 2022, the maturities for hedges of adjustable rate borrowings ranged from two years to eight years, with the weighted average being 6.8 years.


(In thousands)	Three Months Ended June 30,
Amounts recognized in AOCI	2022		2021
Interest rate contracts:
Pay fixed/receive floating swaps on borrowings cash flow hedges	$	31,225	$	(23,485)
Reclassification adjustment of net (gain)/loss included in net income	—		—
Total pre-tax gain/(loss) recognized in AOCI	$	31,225	$	(23,485)


(In thousands)	Nine Months Ended June 30,
Amounts recognized in AOCI	2022		2021
Interest rate contracts:
Pay fixed/receive floating swaps on borrowings cash flow hedges	$	93,994	$	67,198
Reclassification adjustment of net (gain)/loss included in net income	—		(14,110)
Total pre-tax gain/(loss) recognized in AOCI	$	93,994	$	53,088


	Three Months Ended June 30, 2022				Three Months Ended June 30, 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	$	149,113	$	(6,118)	$	134,193	$	(9,937)

Gain/(loss) on fair value hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives	$	(394)			$	(1,582)
Recognized on derivatives	8,325				(6,262)
Recognized on hedged items	(8,564)				6,292
Net income/(expense) recognized on fair value hedges	$	(633)			$	(1,552)

Gain/(loss) on cash flow hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives			$	21			$	2,182
Amount of derivative gain/(loss) reclassified from AOCI into interest income/expense			—				—
Net income/(expense) recognized on cash flow hedges			$	21			$	2,182


	Nine Months Ended June 30, 2022				Nine Months Ended June 30, 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	$	426,882	$	(21,486)	$	400,621	$	(35,126)

Gain/(loss) on fair value hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives	$	(2,964)			$	(4,686)
Recognized on derivatives	31,386				15,816
Recognized on hedged items	(31,625)				(15,541)
Net income/(expense) recognized on fair value hedges	$	(3,203)			$	(4,411)

Gain/(loss) on cash flow hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives			$	3,757			$	8,846
Amount of derivative gain/(loss) reclassified from AOCI into interest income/expense			—				14,110
Net income/(expense) recognized on cash flow hedges			$	3,757			$	22,956

The Company periodically enters into certain interest rate swap agreements in order to provide commercial loan customers the ability to convert from variable to fixed interest rate payments, while the Company retains a variable rate loan. Under these agreements, the Company enters into a variable rate loan agreement and a swap agreement with the client. The swap agreement effectively converts the client’s variable rate loan into a fixed rate. The Company enters into a corresponding swap agreement with a third party in order to offset its exposure on the variable and fixed components of the client's swap agreement. The interest rate swaps are derivatives under ASC 815, with changes in fair value recorded in earnings. There was no net impact to the statement of operations for the nine months ended June 30, 2022 and 2021 as the changes in fair value of the receive fixed swap and pay fixed swap offset each other.


(In thousands)		Three Months Ended June 30,
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	$	15,865	$	10,814
Receive fixed/pay floating swap	Other noninterest income	(15,865)		(10,814)
		$	—	$	—