Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2019

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, 2019						December 31, 2018
	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 swaps	$	—	$	2,159	$	255,000	$	—	$	27	$	332,000
Fair value hedge interest rate swaps	—		337		7,411		—		347		7,536
Total derivatives designated as hedging instruments	$	—	$	2,496	$	262,411	$	—	$	374	$	339,536
Derivatives not designated as hedging instruments:
Interest rate swaps and embedded derivatives	$	139,893	$	30,337	$	3,469,497	$	48,642	$	22,533	$	3,390,578
Mortgage banking derivatives	603		669		140,306		337		774		105,247
Total derivatives not designated as hedging instruments	$	140,496	$	31,006	$	3,609,803	$	48,979	$	23,307	$	3,495,825

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

Gains (Losses) included in the consolidated statements of income and in other comprehensive income (loss), 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,
	2019			2018			2019			2018
	(in thousands)
Amount of loss reclassified from accumulated other comprehensive loss to interest expense	$	(383	)	$	(866	)	$	(673	)	$	(2,317	)
Amount of (loss) gain recognized in other comprehensive income (loss)	(962		)	637			(1,512		)	3,388

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,
	2019			2018			2019			2018
	(in thousands)
Derivative - interest rate swaps:
Interest income	$	49		$	88		$	73		$	219
Hedged item - loans:
Interest income	$	(49	)	$	(88	)	$	(73	)	$	(219	)

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 June 30, 2019 and December 31, 2018.

Line Item in the Statement of Financial Position in Which the Hedged Item is Included	Carrying Amount of the Hedged Asset				Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Asset
	June 30, 2019		December 31, 2018		June 30, 2019		December 31, 2018
	(in thousands)
Loans	$	7,748	$	7,882	$	337	$	346

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 June 30,					Six Months Ended June 30,
	2019			2018		2019			2018
	(in thousands)
Non-designated hedge interest rate derivatives
Other non-interest expense	$	(347	)	$	230	$	(757	)	$	448