XML 25 R16.htm IDEA: XBRL DOCUMENT
v3.24.0.1

Derivatives and Hedging Activities | 3 Months Ended
--- | ---
Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives and Hedging Activities | Derivatives and Hedging Activities The following tables present the fair value, notional amount and balance sheet classification of derivative assets and liabilities at December 31, 2023 and September 30, 2023.
December 31, 2023 | 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 | $ | 896,485 |  | $ | 55,631 |  |  | Other liabilities | $ | 896,485 |  | $ | 56,392 |
Commercial loan fair value hedges | Other assets | 37,042 |  | 2,061 |  |  | Other liabilities | — |  | — |
Mortgage loan fair value hedges | Other assets | 970,000 |  | 22,244 |  |  | Other liabilities | — |  | — |
Borrowings cash flow hedges | Other assets | 1,000,000 |  | 143,846 |  |  | Other liabilities | — |  | — |
|  | $ | 2,903,527 |  | $ | 223,782 |  |  |  | $ | 896,485 |  | $ | 56,392 |
September 30, 2023 | 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 | $ | 806,744 |  | $ | 78,797 |  |  | Other liabilities | $ | 806,744 |  | $ | 79,668 |
Commercial loan fair value hedges | Other assets | 39,661 |  | 3,405 |  |  | Other liabilities | — |  | — |
Mortgage loan fair value hedges | Other assets | 670,000 |  | 46,396 |  |  | Other liabilities | — |  | — |
Borrowings cash flow hedges | Other assets | 1,000,000 |  | 184,373 |  |  | Other liabilities | — |  | — |
|  | $ | 2,516,405 |  | $ | 312,971 |  |  |  | $ | 806,744 |  | $ | 79,668 |
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 "portfolio 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 December 31, 2023 and September 30, 2023.
(In thousands) | December 31, 2023
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) | $ | 6,246,208 |  | $ | (23,255) |
| $ | 6,246,208 |  | $ | (23,255) |
(1) Includes the amortized cost basis of the closed mortgage loan portfolios used to designate the hedging relationships in which the hedged items are a portfolio layer expected to be remaining at the end of the hedging relationships. At December 31, 2023, the amortized cost basis of the closed loan portfolios used in the hedging relationships was $6,211,195,000, the cumulative basis adjustment associated with the hedging relationships was $(21,277,000), and the amount of the designated hedged items was $970,000,000. (2) Includes the amortized cost basis of commercial loans designated in fair value hedging relationships. At December 31, 2023, the amortized cost basis of the hedged commercial loans was $35,013,000 and the cumulative basis adjustment associated with the hedging relationships was $(1,978,000).
(In thousands) | September 30, 2023
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) | $ | 1,816,870 |  | $ | (48,865) |
| $ | 1,816,870 |  | $ | (48,865) |
(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, 2023, the amortized cost basis of the closed loan portfolios used in the hedging relationships was $1,780,503,000, the cumulative basis adjustment associated with the hedging relationships was $(45,622,000), and the amount of the designated hedged items was $670,000,000. (2) Includes the amortized cost basis of commercial loans designated in fair value hedging relationships. At September 30, 2023, the amortized cost basis of the hedged commercial loans was $36,367,000 and the cumulative basis adjustment associated with the hedging relationships was $(3,243,000). 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. As of December 31, 2023, the maturities for hedges of adjustable rate borrowings ranged from one year to six years, with the weighted average being 5.3 years. The following table presents the impact of derivative instruments (cash flow hedges on borrowings) on AOCI for the periods presented.
(In thousands) | Three Months Ended December 31,
Amount of gain/(loss) recognized in AOCI on derivatives in cash flow hedging relationships | 2023 | 2022
Interest rate contracts: |  |
Pay fixed/receive floating swaps on borrowings cash flow hedges | $ | (40,527) |  | $ | (6,806) |
Total pre-tax gain/(loss) recognized in AOCI | $ | (40,527) |  | $ | (6,806) |
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 December 31, 2023 | Three Months Ended December 31, 2022
| 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 | $ | 245,792 |  | $ | (37,938) |  | $ | 203,946 |  | $ | (18,974) |
Gain/(loss) on fair value hedging relationships: |  |  |  |
Interest rate contracts |  |  |  |
Amounts related to interest settlements on derivatives | $ | 5,493 |  |  | $ | 3,167 |  |
Recognized on derivatives | (25,496) |  |  | (2,849) |  |
Recognized on hedged items | 25,610 |  |  | 3,132 |  |
Net income/(expense) recognized on fair value hedges | $ | 5,607 |  |  | $ | 3,450 |  |
Gain/(loss) on cash flow hedging relationships: |  |  |  |
Interest rate contracts |  |  |  |
Amounts related to interest settlements on derivatives |  | $ | 11,847 |  |  | $ | 7,274 |
Amount of derivative gain/(loss) reclassified from AOCI into interest income/expense |  | — |  |  | — |
Net income/(expense) recognized on cash flow hedges |  | $ | 11,847 |  |  | $ | 7,274 |
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. The impact to the statement of operations for the three months ended December 31, 2023 was an increase in other income of $109,000. There was no net impact to the statement of operations for the three months ended December 31, 2022 as the changes in fair value of the receive fixed swap and pay fixed swap offset each other. 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 December 31,
Derivative instruments | Classification of gain/(loss) recognized in income on derivative instrument | 2023 | 2022
Interest rate contracts: |  |  |
Pay fixed/receive floating swap | Other noninterest income | $ | (28,709) |  | $ | (3,878) |
Receive fixed/pay floating swap | Other noninterest income | 28,818 |  | 3,878 |
|  | $ | 109 |  | $ | — |

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 The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration