Equity securities carried at fair value totaled $49.7 million and $41.4 million at March 31, 2020 and December 31, 2019, respectively. Valley's equity securities consist mainly of one publicly traded money market mutual fund totaling $41.7 million and $41.4 million at March 31, 2020 and December 31, 2019, respectively. The remainder of the balance at March 31, 2020 represents investments made for CRA purposes.



	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
	(in thousands)
March 31, 2020
U.S. Treasury securities	$	50,946	$	1,732	$	—		$	52,678
U.S. government agency securities	26,994		545		(33		)	27,506
Obligations of states and political subdivisions:
Obligations of states and state agencies	73,982		667		(194		)	74,455
Municipal bonds	86,532		1,052		(84		)	87,500
Total obligations of states and political subdivisions	160,514		1,719		(278		)	161,955
Residential mortgage-backed securities	1,406,084		42,390		(837		)	1,447,637
Corporate and other debt securities	61,243		740		(1,917		)	60,066
Total investment securities available for sale	$	1,705,781	$	47,126	$	(3,065	)	$	1,749,842
December 31, 2019
U.S. Treasury securities	$	50,952	$	12	$	(21	)	$	50,943
U.S. government agency securities	28,982		280		(19		)	29,243
Obligations of states and political subdivisions:
Obligations of states and state agencies	78,116		540		(83		)	78,573
Municipal bonds	90,662		902		(86		)	91,478
Total obligations of states and political subdivisions	168,778		1,442		(169		)	170,051
Residential mortgage-backed securities	1,248,814		11,234		(5,262		)	1,254,786
Corporate and other debt securities	61,261		628		(111		)	61,778
Total investment securities available for sale	$	1,558,787	$	13,596	$	(5,582	)	$	1,566,801



	Less than Twelve Months					More than Twelve Months					Total
	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
	(in thousands)
March 31, 2020
U.S. government agency securities	$	—	$	—		$	1,682	$	(33	)	$	1,682	$	(33	)
Obligations of states and political subdivisions:
Obligations of states and state agencies	3,582		(152		)	4,661		(42		)	8,243		(194		)
Municipal bonds	3,222		(13		)	8,616		(71		)	11,838		(84		)
Total obligations of states and political subdivisions	6,804		(165		)	13,277		(113		)	20,081		(278		)
Residential mortgage-backed securities	38,175		(243		)	59,573		(594		)	97,748		(837		)
Corporate and other debt securities	23,148		(1,917		)	—		—			23,148		(1,917		)
Total	$	68,127	$	(2,325	)	$	74,532	$	(740	)	$	142,659	$	(3,065	)
December 31, 2019
U.S. Treasury securities	$	25,019	$	(21	)	$	—	$	—		$	25,019	$	(21	)
U.S. government agency securities	—		—			1,783		(19		)	1,783		(19		)
Obligations of states and political subdivisions:
Obligations of states and state agencies	18,540		(21		)	8,755		(62		)	27,295		(83		)
Municipal bonds	—		—			13,177		(86		)	13,177		(86		)
Total obligations of states and political subdivisions	18,540		(21		)	21,932		(148		)	40,472		(169		)
Residential mortgage-backed securities	240,412		(1,194		)	282,798		(4,068		)	523,210		(5,262		)
Corporate and other debt securities	5,139		(111		)	—		—			5,139		(111		)
Total	$	289,110	$	(1,347	)	$	306,513	$	(4,235	)	$	595,623	$	(5,582	)

The contractual maturities of debt securities available for sale at March 31, 2020 are set forth in the following table. Maturities may differ from contractual maturities in residential mortgage-backed securities because the mortgages underlying the securities may be prepaid without any penalties. Therefore, residential mortgage-backed securities are not included in the maturity categories in the following summary.



	March 31, 2020
	Amortized Cost		Fair Value
	(in thousands)
Due in one year	$	19,711	$	19,754
Due after one year through five years	107,680		108,642
Due after five years through ten years	91,929		92,518
Due after ten years	80,377		81,291
Residential mortgage-backed securities	1,406,084		1,447,637
Total investment securities available for sale	$	1,705,781	$	1,749,842

Valley's debt securities available for sale include corporate bonds and special revenue bonds, among other securities, which may pose a higher risk of future impairment charges by Valley as a result of the unpredictable nature of the U.S. economy and its potential negative effect on the future performance of the security issuers, including due to the economic effects of COVID-19.

Available for sale debt securities in unrealized loss positions are evaluated for impairment related to credit losses on a quarterly basis. In performing an assessment of whether any decline in fair value is due to a credit loss, Valley considers the extent to which the fair value is less than the amortized cost, changes in credit ratings, any adverse economic conditions, as well as all relevant information at the individual security level such as credit deterioration of the issuer or collateral underlying the security. In assessing the impairment, Valley compares the present value of cash flows expected to be collected with the amortized cost basis of the security. If it is determined that the decline in fair value was due to credit losses, an allowance for credit losses is recorded, limited to the amount the fair value is less than amortized cost basis. The non-credit related decrease in the fair value, such as a decline due to changes in market interest rates, is recorded in other comprehensive income, net of tax. Valley also assesses the intent to sell the securities (as well as the likelihood of a near-term recovery). If Valley intends to sell an available for sale debt security or it is more likely than not that Valley will be required to sell the security before recovery of its amortized cost basis, the debt security is written down to its fair value and the write down is charged to the debt security’s fair value at the reporting date with any incremental impairment reported in earnings.

The obligations of states and political subdivisions classified as available for sale include special revenue bonds which had an aggregate amortized cost and fair value of $91.8 million and $92.4 million, respectively, at March 31, 2020. There were $234 thousand in gross unrealized losses associated with the special revenue bonds as of March 31, 2020. Approximately 50 percent of the special revenue bonds were issued by the states of (or municipalities within) Utah, Illinois, North Carolina and Florida. As part of Valley’s pre-purchase analysis and on-going quarterly assessment of impairment of the obligations of states and political subdivisions, our Credit Risk Management Department conducts a financial analysis and risk rating assessment of each security issuer based on the issuer’s most recently issued financial statements and other publicly available information. These investments are a mix of municipal bonds with investment grade ratings or non-rated revenue bonds paying in accordance with their contractual terms. The vast majority of the bonds not rated by the rating agencies are state housing finance agency revenue bonds secured by Ginnie Mae securities

Valley has evaluated available for sale debt securities that are in an unrealized loss position as of March 31, 2020 included in table above and has determined that the declines in fair value are mainly attributable to market volatility, not credit quality or other factors. Based on a comparison of the present value of expected cash flows to the amortized cost, management recognized no impairment during the first quarter 2020 and, as a result, no allowance for credit losses for available for sale debt securities at March 31, 2020.



	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
	(in thousands)
March 31, 2020
U.S. Treasury securities	$	138,311	$	9,813	$	—		$	148,124
U.S. government agency securities	6,794		126		—			6,920
Obligations of states and political subdivisions:
Obligations of states and state agencies	289,701		7,189		(577		)	296,313
Municipal bonds	190,997		4,914		(3		)	195,908
Total obligations of states and political subdivisions	480,698		12,103		(580		)	492,221
Residential mortgage-backed securities	1,616,150		51,333		(80		)	1,667,403
Trust preferred securities	37,330		26		(7,223		)	30,133
Corporate and other debt securities	37,750		388		(1		)	38,137
Total investment securities held to maturity	$	2,317,033	$	73,789	$	(7,884	)	$	2,382,938
December 31, 2019
U.S. Treasury securities	$	138,352	$	5,761	$	—		$	144,113
U.S. government agency securities	7,345		58		(41		)	7,362
Obligations of states and political subdivisions:
Obligations of states and state agencies	297,454		7,745		(529		)	304,670
Municipal bonds	203,251		5,696		(10		)	208,937
Total obligations of states and political subdivisions	500,705		13,441		(539		)	513,607
Residential mortgage-backed securities	1,620,119		14,803		(5,350		)	1,629,572
Trust preferred securities	37,324		39		(5,981		)	31,382
Corporate and other debt securities	32,250		454		(20		)	32,684
Total investment securities held to maturity	$	2,336,095	$	34,556	$	(11,931	)	$	2,358,720



	Less than Twelve Months					More than Twelve Months					Total
	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
	(in thousands)
March 31, 2020
Obligations of states and political subdivisions:
Obligations of states and state agencies	$	13,334	$	(312	)	$	23,323	$	(265	)	$	36,657	$	(577	)
Municipal bonds	814		(3		)	—		—			814		(3		)
Total obligations of states and political subdivisions	14,148		(315		)	23,323		(265		)	37,471		(580		)
Residential mortgage-backed securities	14,010		(80		)	—		—			14,010		(80		)
Trust preferred securities	—		—			28,753		(7,223		)	28,753		(7,223		)
Corporate and other debt securities	17,749		(1		)	—		—			17,749		(1		)
Total	$	45,907	$	(396	)	$	52,076	$	(7,488	)	$	97,983	$	(7,884	)
December 31, 2019
U.S. government agency securities	$	5,183	$	(41	)	$	—	$	—		$	5,183	$	(41	)
Obligations of states and political subdivisions:
Obligations of states and state agencies	11,178		(55		)	32,397		(474		)	43,575		(529		)
Municipal bonds	—		—			798		(10		)	798		(10		)
Total obligations of states and political subdivisions	11,178		(55		)	33,195		(484		)	44,373		(539		)
Residential mortgage-backed securities	307,885		(1,387		)	254,915		(3,963		)	562,800		(5,350		)
Trust preferred securities	—		—			29,990		(5,981		)	29,990		(5,981		)
Corporate and other debt securities	—		—			4,980		(20		)	4,980		(20		)
Total	$	324,246	$	(1,483	)	$	323,080	$	(10,448	)	$	647,326	$	(11,931	)

The contractual maturities of investments in debt securities held to maturity at March 31, 2020 are set forth in the table below. Maturities may differ from contractual maturities in residential mortgage-backed securities because the mortgages underlying the securities may be prepaid without any penalties. Therefore, residential mortgage-backed securities are not included in the maturity categories in the following summary.



	March 31, 2020
	Amortized Cost		Fair Value
	(in thousands)
Due in one year	$	94,100	$	95,561
Due after one year through five years	169,651		176,406
Due after five years through ten years	213,801		224,212
Due after ten years	223,331		219,356
Residential mortgage-backed securities	1,616,150		1,667,403
Total investment securities held to maturity	$	2,317,033	$	2,382,938

Valley monitors the credit quality of the held to maturity debt securities through the use of the most current credit ratings from external rating agencies. The following table summarizes the amortized cost of held to maturity debt securities by external credit rating at March 31, 2020 and December 31, 2019. There were no securities with non-investment grade ratings for the periods presented.



	AAA/AA/A Rated		BBB rated		Non-rated		Total
	(in thousands)
March 31, 2020
U.S. Treasury securities	$	138,311	$	—	$	—	$	138,311
U.S. government agency securities	6,794		—		—		6,794
Obligations of states and political subdivisions:
Obligations of states and state agencies	244,894		5,704		39,103		289,701
Municipal bonds	190,388		—		609		190,997
Total obligations of states and political subdivisions	435,282		5,704		39,712		480,698
Residential mortgage-backed securities	1,616,150		—		—		1,616,150
Trust preferred securities	—		—		37,330		37,330
Corporate and other debt securities	—		5,000		32,750		37,750
Total investment securities held to maturity	$	2,196,537	$	10,704	$	109,792	$	2,317,033
December 31, 2019
U.S. Treasury securities	$	138,352	$	—	$	—	$	138,352
U.S. government agency securities	7,345		—		—		7,345
Obligations of states and political subdivisions:
Obligations of states and state agencies	248,533		5,722		43,199		297,454
Municipal bonds	202,642		—		609		203,251
Total obligations of states and political subdivisions	451,175		5,722		43,808		500,705
Residential mortgage-backed securities	1,620,119		—		—		1,620,119
Trust preferred securities	—		—		37,324		37,324
Corporate and other debt securities	—		5,000		27,250		32,250
Total investment securities held to maturity	$	2,216,991	$	10,722	$	108,382	$	2,336,095

Obligations of states and political subdivisions include municipal bonds and revenue bonds issued by various municipal corporations. At March 31, 2020, most of the obligations of states and political subdivisions were rated investment grade and the "non-rated" category included mostly state housing finance agency revenue bonds secured by Ginnie Mae securities that are commonly referred to as Tax Exempt Mortgage Securities (TEMS). Trust preferred securities consist of non-rated single-issuer securities, issued by bank holding companies. Corporate bonds consist of debt primarily issued by banks.

Valley has a zero loss expectation for certain securities within the held to maturity portfolio, and therefore it is not required to estimate an allowance for credit losses related to these securities under the CECL standard. After evaluation of qualitative factors, Valley identified the following securities types which it believes qualify for this exclusion: U.S. Treasury securities, U.S. agency securities, residential mortgage-backed issued by Ginnie Mae, Fannie Mae and Freddie Mac, and collateralized municipal bonds called TEMS.

To measure the expected credit losses on held to maturity debt securities that have loss expectations, Valley estimates the expected credit losses using a discounted cash flow model developed by a third party. Assumptions used in the model for pools of securities with common risk characteristics include the historical lifetime probability of default and

severity of loss in the event of default, with the model incorporating several economic cycles of loss history data to calculate expected credit losses given default at the individual security level. The model is adjusted for a probability weighted multi-scenario economic forecast to estimate future credit losses. Valley uses a two-year reasonable and supportable forecast period followed by a one-year period over which estimated losses revert to historical loss experience for the remaining life of the investment security. The economic forecast methodology and governance for debt securities is aligned with Valley's economic forecast for the loan portfolio discussed in more detail in Note 8.