Derivative Financial Instruments (Tables)

9 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of derivative positions, notional amounts and estimated fair values

The following table presents the notional amounts and gross fair values of all derivative assets and liabilities held by the Company as of June 30, 2020 and September 30, 2019.


	June 30, 2020										September 30, 2019
	Notional Amount		Gross Asset Fair Value		Gross Liability Fair Value		Notional Amount		Gross Asset Fair Value		Gross Liability Fair Value
	(dollars in thousands)
Derivatives not designated as hedging instruments:
Interest rate swaps
Financial institution counterparties	$	1,280,039	$	—	$	(71,128)	$	1,259,765	$	35	$	(38,755)
Customer counterparties	644,755		90,304		—		499,643		48,652		—
Interest rate caps
Financial institution counterparties	12,738		2		—		100		2		—
Customer counterparties	12,738		—		(2)		100		—		(2)
Risk participation agreements	78,141		—		(37)		56,833		—		(58)
Mortgage loan commitments	90,951		10		—		56,665		—		(11)
Mortgage loan forward sale contracts	99,542		—		(10)		61,872		11		—
Total	$	2,218,904	$	90,316	$	(71,177)	$	1,934,978	$	48,700	$	(38,826)

Summary of offsetting assets

The following tables provide information on the Company's netting adjustments as of June 30, 2020 and September 30, 2019.


	Gross Fair Value		Fair Value Offset Amount		Cash Collateral		Net Amount Presented on the Consolidated Balance Sheet
	(dollars in thousands)
As of June 30, 2020
Total Derivative Assets	$	90,316	$	(6,859)	$	22,293	$	105,750
Total Derivative Liabilities ¹	(71,177)		6,859		64,305		(13)

¹ There was an additional $25.2 million of collateral held for initial margin with a Futures Clearing Merchant for clearing derivatives at June 30, 2020 and is included in other assets in the consolidated balance sheets.


	Gross Fair Value		Fair Value Offset Amount		Cash Collateral		Net Amount Presented on the Consolidated Balance Sheet
	(dollars in thousands)
As of September 30, 2019
Total Derivative Assets	$	48,700	$	(2,445)	$	12,279	$	58,534
Total Derivative Liabilities ¹	(38,826)		2,445		36,368		(13)
¹There was an additional $18.3 million of collateral held for initial margin with a Futures Clearing Merchant for clearing derivatives at September 30, 2019 and is included in other assets in the consolidated balance sheets.

Summary of offsetting liabilities

The following tables provide information on the Company's netting adjustments as of June 30, 2020 and September 30, 2019.


	Gross Fair Value		Fair Value Offset Amount		Cash Collateral		Net Amount Presented on the Consolidated Balance Sheet
	(dollars in thousands)
As of June 30, 2020
Total Derivative Assets	$	90,316	$	(6,859)	$	22,293	$	105,750
Total Derivative Liabilities ¹	(71,177)		6,859		64,305		(13)

¹ There was an additional $25.2 million of collateral held for initial margin with a Futures Clearing Merchant for clearing derivatives at June 30, 2020 and is included in other assets in the consolidated balance sheets.


	Gross Fair Value		Fair Value Offset Amount		Cash Collateral		Net Amount Presented on the Consolidated Balance Sheet
	(dollars in thousands)
As of September 30, 2019
Total Derivative Assets	$	48,700	$	(2,445)	$	12,279	$	58,534
Total Derivative Liabilities ¹	(38,826)		2,445		36,368		(13)
¹There was an additional $18.3 million of collateral held for initial margin with a Futures Clearing Merchant for clearing derivatives at September 30, 2019 and is included in other assets in the consolidated balance sheets.

Summary of effect of derivatives on consolidated statements of income

The effect of derivatives on the consolidated statements of income for the three and nine months ended June 30, 2020 and 2019 was as follows.


		Amount of Loss Recognized in Consolidated Statements of Income
		Three Months Ended June 30,						Nine Months Ended June 30,
	Location of Loss Recognized in Consolidated Statements of Income	2020		2019		2020		2019
		(dollars in thousands)
Derivatives not designated as hedging instruments:
Interest rate swaps and other derivatives	Net realized and unrealized loss on derivatives	$	(3,681)	$	(20,904)	$	(40,379)	$	(50,252)
Mortgage loan commitments	Net realized and unrealized loss on derivatives	(627)		23		21		44
Mortgage loan forward sale contracts	Net realized and unrealized loss on derivatives	627		(23)		(21)		(44)