Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2021

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: 

	September 30, 2021						December 31, 2020
	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	$	—	$	273	$	800,000	$	—	$	179	$	1,100,000
Fair value hedge interest rate swaps	—		316		300,000		—		—		—
Total derivatives designated as hedging instruments	$	—	$	589	$	1,100,000	$	—	$	179	$	1,100,000
Derivatives not designated as hedging instruments:
Interest rate swaps and other derivatives *	$	215,046	$	64,623	$	10,296,468	$	387,008	$	154,025	$	8,889,557
Mortgage banking derivatives	873		1,521		327,116		444		2,077		321,486
Total derivatives not designated as hedging instruments	$	215,919	$	66,144	$	10,623,584	$	387,452	$	156,102	$	9,211,043

*    Other derivatives include risk participation agreements.

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

Gains (losses) included in the consolidated statements of income and 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 September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
	(in thousands)
Amount of loss reclassified from accumulated other comprehensive loss to interest expense	$	(1,044)	$	(1,586)	$	(2,708)	$	(1,763)
Amount of (loss) gain recognized in other comprehensive income	(144)		95		(125)		3,158

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 September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
	(in thousands)
Derivative - interest rate swap:
Interest income	$	—	$	88	$	—	$	170
Interest expense	(396)		—		(316)		—
Hedged item - subordinated debt and loans:
Interest income	$	—	$	(88)	$	—	$	(170)
Interest expense	405		—		322		—

Interest Rate Derivatives Designated as Hedges

The following table presents the hedged item related to interest rate derivatives designated as fair value hedges and the cumulative basis fair value adjustment included in the net carrying amount of the hedged item at September 30, 2021.

Line Item in the Statement of Financial Position in Which the Hedged Item is Included	Carrying Amount of the Hedged Liability		Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Liability
	(in thousands)
Long-term borrowings	$	(299,678)	$	322

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 September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
	(in thousands)
Non-designated hedge interest rate swaps and credit derivatives
Other non-interest expense	$	216	$	600	$	(209)	$	2,105