Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2012

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:

		Fair Value
	Balance Sheet Line Item	September 30, 2012		December 31, 2011
		(in thousands)
Asset Derivatives:
Derivatives designated as hedging instruments:
Cash flow hedge interest rate caps and swaps	Other Assets	$	39	$	294
Fair value hedge interest rate swaps	Other Assets		792		852
Total derivatives designated as hedging instruments		$	831	$	1,146
Derivatives not designated as hedging instruments:
Interest rate swaps	Other Assets	$	7,596	$	4,065
Mortgage banking derivatives	Other Assets		3,491		-
Total derivatives not designated as hedging instruments		$	11,087	$	4,065
Liability Derivatives:
Derivatives designated as hedging instruments:
Cash flow hedge interest rate caps and swaps	Other Liabilities	$	18,510	$	15,649
Fair value hedge interest rate swaps	Other Liabilities		2,317		2,140
Total derivatives designated as hedging instruments		$	20,827	$	17,789
Derivatives not designated as hedging instruments:
Interest rate swaps	Other Liabilities	$	7,593	$	4,065
Mortgage banking derivatives	Other Liabilities		2,807		-
Total derivatives not designated as hedging instruments		$	10,400	$	4,065

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

Losses 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 September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
	(in thousands)
Interest rate caps on short-term borrowings and deposit accounts:
Amount of loss reclassified from accumulated other comprehensive loss to interest on short-term borrowings	$	(1,788	)	$	(608	)	$	(4,578	)	$	(1,796	)
Amount of loss recognized in other comprehensive (loss) income		(2,101	)		(15,829	)		(5,840	)		(20,928	)

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,
	2012			2011			2012			2011
	(in thousands)
Derivative - interest rate swaps:
Interest income - interest and fees on loans	$	(57	)	$	(706	)	$	(178	)	$	(764	)
Interest expense - interest on time deposits		(33	)		424			(60	)		990
Hedged item - loans and deposits:
Interest income - interest and fees on loans	$	57		$	706		$	178		$	764
Interest expense -interest on time deposits		39			(453	)		77			(1,034	)