Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Consolidated Statements of Financial Condition Related to Fair Value of Derivative Financial Instruments

Amounts included in the consolidated statements of financial condition related to the fair value of Valley’s derivative financial instruments were as follows:

	June 30, 2017							December 31, 2016
	Fair Value							Fair Value
	Other Assets		Other Liabilities			Notional Amount		Other Assets		Other Liabilities		Notional Amount
	(in thousands)
Derivatives designated as hedging instruments:
Cash flow hedge interest rate caps and swaps	$	528	$	31	*	$	707,000	$	802	$	15,641	$	707,000
Fair value hedge interest rate swaps	—		836			7,889		—		986		7,999
Total derivatives designated as hedging instruments	$	528	$	867		$	714,889	$	802	$	16,627	$	714,999
Derivatives not designated as hedging instruments:
Interest rate swaps and embedded derivatives	$	26,058	$	22,870	*	$	1,288,274	$	25,285	$	25,284	$	1,075,722
Mortgage banking derivatives	178		165			88,567		2,968		2,166		246,583
Total derivatives not designated as hedging instruments	$	26,236	$	23,035		$	1,376,841	$	28,253	$	27,450	$	1,322,305

* The fair value for the Chicago Mercantile Exchange cleared derivative positions is inclusive of accrued interest payable and the portion of the cash collateral representing the variation margin posted with (or by) the applicable counterparties.

Gains (Losses) Related to Interest Rate Derivatives Designated as Hedges of Cash Flows

osses included in the consolidated statements of income and in other comprehensive income, on a pre-tax basis, related to interest rate derivatives designated as hedges of cash flows were as follows: 

	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
	(in thousands)
Amount of loss reclassified from accumulated other comprehensive loss to interest expense	$	(2,314	)	$	(3,597	)	$	(4,832	)	$	(6,568	)
Amount of loss recognized in other comprehensive income	(1,482		)	(3,625		)	(1,265		)	(14,657		)

Gains (Losses) Related to Interest Rate Derivatives Designated as Hedges of Fair Value

Gains (losses) included in the consolidated statements of income related to interest rate derivatives designated as hedges of fair value were as follows:

	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
	(in thousands)
Derivative - interest rate swaps:
Interest income	$	52		$	2		$	149		$	(97	)
Interest expense	—			2,069			—			6,797
Hedged item - loans and borrowings:
Interest income	$	(52	)	$	(2	)	$	(149	)	$	97
Interest expense	—			(2,060		)	—			(6,779		)

Gains (Losses) Related to Derivative Instruments Not Designated as Hedging Instruments

The net losses included in the consolidated statements of income related to derivative instruments not designated as hedging instruments were as follows:

	Three Months Ended June 30,					Six Months Ended June 30,
	2017		2016			2017			2016
	(in thousands)
Non-designated hedge interest rate derivatives
Other non-interest expense	$	70	$	(92	)	$	(790	)	$	(389	)