Fair Value Measurement of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2020

Assets and Liabilities Measured at Fair Value on a Recurring and Non-Recurring Basis

The following tables present the assets and liabilities that are measured at fair value on a recurring and nonrecurring basis by level within the fair value hierarchy as reported on the consolidated statements of financial condition at March 31, 2020 and December 31, 2019. The assets presented under “nonrecurring fair value measurements” in the tables below are not measured at fair value on an ongoing basis but are subject to fair value adjustments under certain circumstances (e.g., when an impairment loss is recognized).



	March 31, 2020		Fair Value Measurements at Reporting Date Using:
	March 31, 2020		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(in thousands)
Recurring fair value measurements:
Assets
Investment securities:
Equity securities ⁽¹⁾	$	46,701	$	46,701	$	—	$	—
Available for sale:
U.S. Treasury securities	52,678		52,678		—		—
U.S. government agency securities	27,506		—		27,506		—
Obligations of states and political subdivisions	161,955		—		161,424		531
Residential mortgage-backed securities	1,447,637		—		1,447,637		—
Corporate and other debt securities	60,066		—		60,066		—
Total available for sale debt securities	1,749,842		52,678		1,696,633		531
Loans held for sale ⁽²⁾	58,868		—		58,868		—
Other assets ⁽³⁾	438,183		—		438,183		—
Total assets	$	2,293,594	$	99,379	$	2,193,684	$	531
Liabilities
Other liabilities ⁽³⁾	$	163,370	$	—	$	163,370	$	—
Total liabilities	$	163,370	$	—	$	163,370	$	—
Non-recurring fair value measurements:
Collateral dependent loans	$	44,716	$	—	$	—	$	44,716
Loan servicing rights	1,464		—		—		1,464
Foreclosed assets	6,446		—		—		6,446
Total	$	52,626	$	—	$	—	$	52,626



			Fair Value Measurements at Reporting Date Using:
	December 31, 2019		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(in thousands)
Recurring fair value measurements:
Assets
Investment securities:
Equity securities at fair value	$	41,410	$	41,410	$	—	$	—
Available for sale:
U.S. Treasury securities	$	50,943	$	50,943	$	—	$	—
U.S. government agency securities	29,243		—		29,243		—
Obligations of states and political subdivisions	170,051		—		169,371		680
Residential mortgage-backed securities	1,254,786		—		1,254,786		—
Corporate and other debt securities	61,778		—		61,778		—
Total available for sale	1,566,801		50,943		1,515,178		680
Loans held for sale ⁽²⁾	76,113		—		76,113		—
Other assets ⁽³⁾	158,532		—		158,532		—
Total assets	$	1,842,856	$	92,353	$	1,749,823	$	680
Liabilities
Other liabilities ⁽³⁾	$	43,926	$	—	$	43,926	$	—
Total liabilities	$	43,926	$	—	$	43,926	$	—
Non-recurring fair value measurements:
Collateral dependent impaired loans ⁽⁴⁾	$	39,075	$	—	$	—	$	39,075
Loan servicing rights	1,591		—		—		1,591
Foreclosed assets	10,807		—		—		10,807
Total	$	51,473	$	—	$	—	$	51,473


(1)	Excludes equity securities measured at net asset value (NAV).


(2)	Represents residential mortgage loans originated for sale that are carried at fair value and had contractual unpaid principal balances totaling approximately $56.4 million and $74.5 million at March 31, 2020 and December 31, 2019, respectively.


(3)	Derivative financial instruments are included in this category.

(4)

Excludes purchased credit-impaired loans.

Carrying Amounts and Estimated Fair Values of Financial Instruments

The carrying amounts and estimated fair values of financial instruments not measured and not reported at fair value on the consolidated statements of financial condition at March 31, 2020 and December 31, 2019 were as follows:



	Fair Value Hierarchy	March 31, 2020				December 31, 2019
	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
		(in thousands)
Financial assets
Cash and due from banks	Level 1	$	286,755	$	286,755	$	256,264	$	256,264
Interest bearing deposits with banks	Level 1	718,260		718,260		178,423		178,423
Equity securities ⁽¹⁾	N/A	3,000		3,000		—		—
Investment securities held to maturity:
U.S. Treasury securities	Level 1	138,311		148,124		138,352		144,113
U.S. government agency securities	Level 2	6,794		6,920		7,345		7,362
Obligations of states and political subdivisions	Level 2	480,698		492,221		500,705		513,607
Residential mortgage-backed securities	Level 2	1,616,150		1,667,403		1,620,119		1,629,572
Trust preferred securities	Level 2	37,330		30,133		37,324		31,382
Corporate and other debt securities	Level 2	37,750		38,137		32,250		32,684
Total investment securities held to maturity		2,317,033		2,382,938		2,336,095		2,358,720
Net loans	Level 3	30,144,725		29,927,130		29,537,449		28,964,396
Accrued interest receivable	Level 1	107,353		107,353		105,637		105,637
Federal Reserve Bank and Federal Home Loan Bank stock⁽²⁾	Level 1	295,420		295,420		214,421		214,421
Financial liabilities
Deposits without stated maturities	Level 1	20,449,903		20,449,903		19,467,892		19,467,892
Deposits with stated maturities	Level 2	8,567,085		8,623,519		9,717,945		9,747,867
Short-term borrowings	Level 2	2,095,655		1,952,248		1,093,280		1,081,879
Long-term borrowings	Level 2	2,805,639		3,060,203		2,122,426		2,181,401
Junior subordinated debentures issued to capital trusts	Level 2	55,805		64,088		55,718		53,889
Accrued interest payable ⁽³⁾	Level 1	26,724		26,724		33,066		33,066


(1)	Equity securities that are presented at NAV. Valley uses NAV as a practical expedient to record its investment in certain non-publicly traded funds since the shares do not have a readily determinable fair value.


(2)	Included in other assets.


(3)	Included in accrued expenses and other liabilities.