| 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 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 | |
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| 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 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).
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| Schedule of Impact of Derivative Instruments |
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 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 | | $ | — | |
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| 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 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 | |
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