Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2018

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:

	March 31, 2018						December 31, 2017
	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	$	644	$	119	$	607,000	$	650	$	81	$	607,000
Fair value hedge interest rate swaps	—		507		7,717		—		637		7,775
Total derivatives designated as hedging instruments	$	644	$	626	$	614,717	$	650	$	718	$	614,775
Derivatives not designated as hedging instruments:
Interest rate swaps and embedded derivatives	$	25,132	$	29,270	$	2,731,500	$	25,696	$	23,494	$	1,687,005
Mortgage banking derivatives	206		223		109,385		71		118		113,233
Total derivatives not designated as hedging instruments	$	25,338	$	29,493	$	2,840,885	$	25,767	$	23,612	$	1,800,238

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

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

	Three Months Ended March 31,
	2018			2017
	(in thousands)
Amount of loss reclassified from accumulated other comprehensive loss to interest expense	$	(1,451	)	$	(2,518	)
Amount of gain recognized in other comprehensive (loss) income	2,751			217

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 March 31,
	2018			2017
	(in thousands)
Derivative - interest rate swaps:
Interest income	$	131		$	97
Hedged item - loans:
Interest income	$	(131	)	$	(97	)

Interest Rate Derivatives Designated as Hedges

The following table presents the hedged items related to interest rate derivatives designated as hedges of fair value and the cumulative basis fair value adjustment included in the net carrying amount of the hedged items at March 31, 2018.

	March 31, 2018
	(in thousands)
Hedged item - loans:
Loan receivable - carrying amount	$	8,224
Cumulative fair value adjustment	(507		)

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

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

	Three Months Ended March 31,
	2018		2017
	(in thousands)
Non-designated hedge interest rate derivatives
Other non-interest expense	$	218	$	(860	)