Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2020

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: 

	March 31, 2020						December 31, 2019
	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	$	—	$	2,493	$	730,000	$	—	$	1,484	$	180,000
Fair value hedge interest rate swaps	—		218		7,215		—		229		7,281
Total derivatives designated as hedging instruments	$	—	$	2,711	$	737,215	$	—	$	1,713	$	187,281
Derivatives not designated as hedging instruments:
Interest rate swaps and embedded derivatives	$	436,497	$	157,683	$	5,226,704	$	158,382	$	42,020	$	4,113,106
Mortgage banking derivatives	1,686		2,976		380,116		150		193		142,760
Total derivatives not designated as hedging instruments	$	438,183	$	160,659	$	5,606,820	$	158,532	$	42,213	$	4,255,866

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

Losses included in the consolidated statements of income and 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 March 31,
	2020			2019
	(in thousands)
Amount of loss reclassified from accumulated other comprehensive loss to interest expense	$	(615	)	$	(290	)
Amount of loss recognized in other comprehensive income	(1,480		)	(550		)

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 March 31,
	2020			2019
	(in thousands)
Derivative - interest rate swaps:
Interest income	$	11		$	24
Hedged item - loans:
Interest income	$	(11	)	$	(24	)

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 March 31, 2020 and December 31, 2019.

Line Item in the Statement of Financial Condition 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
	March 31, 2020		December 31, 2019		March 31, 2020		December 31, 2019
	(in thousands)
Loans	$	7,433	$	7,510	$	218	$	229

Net Gains (Losses) Related to Derivative Instruments Not Designated as Hedging Instruments

The net losses included in the consolidated statements of income related to derivative instruments not designated as hedging instruments were as follows: 

	Three Months Ended March 31,
	2020		2019
	(in thousands)
Non-designated hedge interest rate swaps and credit derivatives
Other non-interest expense	$	89	$	410