Derivatives and Hedging Activities (Tables)

6 Months Ended

Mar. 31, 2020

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, 2020 and September 30, 2019.

March 31, 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	$	471,522	$	43,157	Other liabilities	$	471,522	$	43,157
Commercial loan fair value hedges	Other assets	—		—		Other liabilities	93,316		8,703
Mortgage loan fair value hedges	Other assets	—		—		Other liabilities	500,000		13,961
Borrowings cash flow hedges	Other assets	—		—		Other liabilities	1,600,000		17,189
		$	471,522	$	43,157		$	2,664,838	$	83,010

September 30, 2019	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	$	425,607	$	20,381	Other liabilities	$	425,607	$	20,381
Commercial loan fair value hedges	Other assets	—		—		Other liabilities	95,645		4,288
Mortgage loan fair value hedges	Other assets	200,000		1,608		Other liabilities	—		—
Borrowings cash flow hedges	Other assets	—		—		Other liabilities	700,000		7,877
		$	625,607	$	21,989		$	1,221,252	$	32,546

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, 2020 and September 30, 2019.

March 31, 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
	(In thousands)
Loans receivable (1) (2)	$	3,140,304	$	22,832
	$	3,140,304	$	22,832

(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, 2020, the

amortized cost basis of the closed loan portfolios used in the hedging relationships was $3,037,918,000, the cumulative basis adjustment associated with the hedging relationships was $13,950,000, 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, 2020, the amortized cost basis of the hedged commercial loans was $102,386,000 and the cumulative basis adjustment associated with the hedging relationships was $8,882,000.

September 30, 2019
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
	(In thousands)
Loans receivable (1) (2)	$	1,612,208	$	2,680
	$	1,612,208	$	2,680

(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, 2019, the amortized cost basis of the closed loan portfolios used in the hedging relationships was $1,520,647,000, the cumulative basis adjustment associated with the hedging relationships was $(1,608,000), and the amount of the designated hedged items was $200,000,000.

(2) Includes the amortized cost basis of commercial loans designated in fair value hedging relationships. At September 30, 2019, the amortized cost basis of the hedged commercial loans was $91,561,000 and the cumulative basis adjustment associated with the hedging relationships was $4,288,000.

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.

(In thousands)	Three Months Ended March 31,
Amount of gain/(loss) recognized in AOCI	2020		2019
Interest rate contracts:
Pay fixed/receive floating swaps on borrowings cash flow hedges	$	(12,428)	$	(6,150)
Total pre-tax gain/(loss) recognized in AOCI	$	(12,428)	$	(6,150)

(In thousands)	Six Months Ended March 31,
Amount of gain/(loss) recognized in AOCI	2020		2019
Interest rate contracts:
Pay fixed/receive floating swaps on borrowings cash flow hedges	$	(9,313)	$	(16,650)
Total pre-tax gain/(loss) recognized in AOCI	$	(9,313)	$	(16,650)

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	2020		2019
Interest rate contracts:
Pay fixed/receive floating swap	Other noninterest income	$	(28,184)	$	(6,163)
Receive fixed/pay floating swap	Other noninterest income	28,184		6,163
		$	—	$	—

(In thousands)		Six Months Ended March 31,
Derivative instruments	Classification of gain/(loss) recognized in income on derivative instrument	2020		2019
Interest rate contracts:
Pay fixed/receive floating swap	Other noninterest income	$	(22,776)	$	(15,553)
Receive fixed/pay floating swap	Other noninterest income	22,776		15,553
		$	—	$	—

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, 2020				Three Months Ended March 31, 2019
	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	$	138,549	$	(13,368)	$	141,061	$	(17,846)
Gain/(loss) on fair value hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives	$	(112)			$	58
Recognized on derivatives	(24,676)				(1,600)
Recognized on hedged items	24,666				1,602
Net income/(expense) recognized on fair value hedges	$	(122)			$	60
Gain/(loss) on cash flow hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives			$	498			$	(854)
Amount of derivative gain/(loss) reclassified from AOCI into interest income/expense			—				—
Net income/(expense) recognized on cash flow hedges			$	498			$	(854)

	Six Months Ended March 31, 2020				Six Months Ended March 31, 2019
	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	$	280,695	$	(27,026)	$	278,126	$	(34,737)
Gain/(loss) on fair value hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives	$	(186)			$	77
Recognized on derivatives	(19,984)				(3,917)
Recognized on hedged items	20,073				3,881
Net income/(expense) recognized on fair value hedges	$	(97)			$	41
Gain/(loss) on cash flow hedging relationships:
Interest rate contracts
Amounts related to interest settlements on derivatives			$	284			$	(1,404)
Amount of derivative gain/(loss) reclassified from AOCI into interest income/expense			—				—
Net income/(expense) recognized on cash flow hedges			$	284			$	(1,404)