Balance Sheet Offsetting

9 Months Ended

Sep. 30, 2020

Certain financial instruments, including interest rate swap derivatives and repurchase agreements (accounted for as secured long-term borrowings), may be eligible for offset in the consolidated balance sheet and/or subject to master netting arrangements or similar agreements. Valley is party to master netting arrangements with its financial institution counterparties; however, Valley does not offset assets and liabilities under these arrangements for financial statement presentation purposes. The master netting arrangements provide for a single net settlement of all swap agreements, as well as collateral, in the event of default on, or termination of, any one contract. Collateral, usually in the form of cash or marketable investment securities, is posted by the counterparty with net liability positions in accordance with contract thresholds (i.e., the threshold for posting collateral is reduced to zero, subject to certain minimum transfer amounts). Master repurchase agreements which include “right of set-off” provisions generally have a legally enforceable right to offset recognized amounts. In such cases, the collateral would be used to settle the fair value of the repurchase agreement should Valley be in default.

The table below presents information about Valley’s financial instruments eligible for offset in the consolidated statements of financial condition as of September 30, 2020 and December 31, 2019.


							Gross Amounts Not Offset
	Gross Amounts Recognized		Gross Amounts Offset		Net Amounts Presented		Financial Instruments			Cash Collateral		Net Amount
	(in thousands)
September 30, 2020
Assets:
Interest rate swaps	$	455,404	$	—	$	455,404	$	—		$	—	$	455,404
Liabilities:
Interest rate swaps	$	187,033	$	—	$	187,033	$	—		$	(184,050)	$	2,983
Repurchase agreements	300,000		—		300,000		(300,000)		*	—		—
Total	$	487,033	$	—	$	487,033	$	(300,000)		$	(184,050)	$	2,983
December 31, 2019
Assets:
Interest rate swaps	$	158,382	$	—	$	158,382	$	(118)		$	—	$	158,264
Liabilities:
Interest rate swaps	$	43,733	$	—	$	43,733	$	(118)		$	(16,881)	$	26,734
Repurchase agreements	350,000		—		350,000		(350,000)		*	—		—
Total	$	393,733	$	—	$	393,733	$	(350,118)		$	(16,881)	$	26,734

* Represents the fair value of non-cash pledged investment securities.