The fair value of trading debt securities totaled $4.1 million and $38.1 million at September 30, 2022 and December 31, 2021, respectively. Net trading gains and losses were included in net gains and losses on securities transactions within non-interest income. We recorded net trading losses of $1.2 million and net trading gains of $705 thousand for the nine months ended September 30, 2022 and 2021, respectively. The net trading gains and losses for the three months ended September 30, 2022 and 2021 were not material.


	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(in thousands)
September 30, 2022
U.S. Treasury securities	$	306,748	$	—	$	(28,846)	$	277,902
U.S. government agency securities	29,529		50		(2,758)		26,821
Obligations of states and political subdivisions:
Obligations of states and state agencies	12,576		—		(565)		12,011
Municipal bonds	173,574		—		(44,022)		129,552
Total obligations of states and political subdivisions	186,150		—		(44,587)		141,563
Residential mortgage-backed securities	744,547		66		(97,948)		646,665

Corporate and other debt securities	197,847		15		(18,959)		178,903
Total	$	1,464,821	$	131	$	(193,098)	$	1,271,854
December 31, 2021

U.S. government agency securities	$	20,323	$	608	$	(6)	$	20,925
Obligations of states and political subdivisions:
Obligations of states and state agencies	26,088		132		(93)		26,127
Municipal bonds	53,530		349		(116)		53,763
Total obligations of states and political subdivisions	79,618		481		(209)		79,890
Residential mortgage-backed securities	895,279		14,986		(5,763)		904,502

Corporate and other debt securities	120,871		3,177		(556)		123,492

Total	$	1,116,091	$	19,252	$	(6,534)	$	1,128,809


	Less than Twelve Months				More than Twelve Months				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
	(in thousands)
September 30, 2022
U.S. Treasury securities	$	277,902	$	(28,846)	$	—	$	—	$	277,902	$	(28,846)
U.S. government agency securities	22,614		(2,720)		1,142		(38)		23,756		(2,758)
Obligations of states and political subdivisions:
Obligations of states and state agencies	4,402		(56)		7,610		(509)		12,012		(565)
Municipal bonds	119,722		(40,475)		9,305		(3,547)		129,027		(44,022)
Total obligations of states and political subdivisions	124,124		(40,531)		16,915		(4,056)		141,039		(44,587)
Residential mortgage-backed securities	376,683		(39,604)		266,591		(58,344)		643,274		(97,948)

Corporate and other debt securities	160,743		(14,670)		15,145		(4,289)		175,888		(18,959)
Total	$	962,066	$	(126,371)	$	299,793	$	(66,727)	$	1,261,859	$	(193,098)
December 31, 2021

U.S. government agency securities	$	—	$	—	$	1,326	$	(6)	$	1,326	$	(6)
Obligations of states and political subdivisions:
Obligations of states and state agencies	10,549		(93)		—		—		10,549		(93)
Municipal bonds	19,100		(116)		—		—		19,100		(116)
Total obligations of states and political subdivisions	29,649		(209)		—		—		29,649		(209)
Residential mortgage-backed securities	371,256		(4,770)		25,960		(993)		397,216		(5,763)

Corporate and other debt securities	59,039		(556)		—		—		59,039		(556)

Total	$	459,944	$	(5,535)	$	27,286	$	(999)	$	487,230	$	(6,534)

The contractual maturities of available for sale debt securities at September 30, 2022 are set forth in the following table. Maturities may differ from contractual maturities in residential mortgage-backed securities because the mortgages underlying the securities may be prepaid without any penalties. Therefore, residential mortgage-backed securities are not included in the maturity categories in the following summary.


	September 30, 2022
	Amortized Cost		Fair Value
	(in thousands)
Due in one year	$	8,593	$	8,553
Due after one year through five years	184,748		174,982
Due after five years through ten years	271,404		246,134
Due after ten years	255,529		195,520
Residential mortgage-backed securities	744,547		646,665
Total	$	1,464,821	$	1,271,854

Valley's available for sale debt securities portfolio includes corporate bonds and revenue bonds, among other securities. These types of securities may pose a higher risk of future impairment charges by Valley as a result of the unpredictable nature of the U.S. economy and its potential negative effect on the future performance of the security issuers, including due to current economic conditions and the effects of the COVID-19 pandemic.

Available for sale debt securities in unrealized loss positions are evaluated for impairment related to credit losses on a quarterly basis. Valley has evaluated available for sale debt securities that are in an unrealized loss position as of September 30, 2022 included in the table above and has determined that the declines in fair value are mainly attributable to market volatility, not credit quality or other factors. Based on a comparison of the present value of expected cash flows to the amortized cost, management recognized no impairment during the three and nine months ended September 30, 2022 and 2021. There was no allowance for credit losses for available for sale debt securities at September 30, 2022 and December 31, 2021.


	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(in thousands)
September 30, 2022
U.S. Treasury securities	$	67,075	$	—	$	(1,045)	$	66,030
U.S. government agency securities	259,869		—		(45,555)		214,314
Obligations of states and political subdivisions:
Obligations of states and state agencies	88,276		16		(5,127)		83,165
Municipal bonds	382,913		17		(35,961)		346,969
Total obligations of states and political subdivisions	471,189		33		(41,088)		430,134
Residential mortgage-backed securities	2,811,582		250		(438,251)		2,373,581
Trust preferred securities	37,038		1		(5,622)		31,417
Corporate and other debt securities	75,267		—		(4,091)		71,176
Total	$	3,722,020	$	284	$	(535,652)	$	3,186,652
December 31, 2021
U.S. Treasury securities	$	67,558	$	4,103	$	—	$	71,661
U.S. government agency securities	6,265		113		—		6,378
Obligations of states and political subdivisions:
Obligations of states and state agencies	141,015		3,065		(312)		143,768
Municipal bonds	196,947		3,536		(87)		200,396
Total obligations of states and political subdivisions	337,962		6,601		(399)		344,164
Residential mortgage-backed securities	2,166,142		14,599		(28,440)		2,152,301
Trust preferred securities	37,020		5		(5,109)		31,916
Corporate and other debt securities	53,750		559		(124)		54,185
Total	$	2,668,697	$	25,980	$	(34,072)	$	2,660,605


	Less than Twelve Months				More than Twelve Months				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
	(in thousands)
September 30, 2022
U.S. Treasury securities	$	66,030	$	(1,045)	$	—	$	—	$	66,030	$	(1,045)
U.S. government agency securities	213,129		(45,555)		—		—		213,129		(45,555)
Obligations of states and political subdivisions:
Obligations of states and state agencies	69,161		(3,397)		12,403		(1,730)		81,564		(5,127)
Municipal bonds	284,323		(34,193)		7,674		(1,768)		291,997		(35,961)
Total obligations of states and political subdivisions	353,484		(37,590)		20,077		(3,498)		373,561		(41,088)
Residential mortgage-backed securities	1,354,304		(200,314)		1,007,883		(237,937)		2,362,187		(438,251)
Trust preferred securities	—		—		30,416		(5,622)		30,416		(5,622)
Corporate and other debt securities	57,181		(3,336)		7,245		(755)		64,426		(4,091)
Total	$	2,044,128	$	(287,840)	$	1,065,621	$	(247,812)	$	3,109,749	$	(535,652)
December 31, 2021


Obligations of states and political subdivisions:
Obligations of states and state agencies	$	17,000	$	(254)	$	5,517	$	(58)	$	22,517	$	(312)
Municipal bonds	9,403		(87)		—		—		9,403		(87)
Total obligations of states and political subdivisions	26,403		(341)		5,517		(58)		31,920		(399)
Residential mortgage-backed securities	1,381,405		(22,365)		206,520		(6,075)		1,587,925		(28,440)
Trust preferred securities	—		—		30,912		(5,109)		30,912		(5,109)
Corporate and other debt securities	32,627		(124)		—		—		32,627		(124)
Total	$	1,440,435	$	(22,830)	$	242,949	$	(11,242)	$	1,683,384	$	(34,072)

The contractual maturities of investments in debt securities held to maturity at September 30, 2022 are set forth in the table below. Maturities may differ from contractual maturities in residential mortgage-backed securities because the mortgages underlying the securities may be prepaid without any penalties. Therefore, residential mortgage-backed securities are not included in the maturity categories in the following summary.


	September 30, 2022
	Amortized Cost		Fair Value
	(in thousands)
Due in one year	$	31,783	$	31,721
Due after one year through five years	195,679		191,824
Due after five years through ten years	86,011		79,844
Due after ten years	596,965		509,682
Residential mortgage-backed securities	2,811,582		2,373,581
Total	$	3,722,020	$	3,186,652

Valley monitors the credit quality of the held to maturity debt securities through the use of the most current credit ratings from external rating agencies. The following table summarizes the amortized cost of held to maturity debt securities by external credit rating at September 30, 2022 and December 31, 2021.


	AAA/AA/A Rated		BBB rated		Non-investment grade rated		Non-rated		Total
	(in thousands)
September 30, 2022
U.S. Treasury securities	$	67,075	$	—	$	—	$	—	$	67,075
U.S. government agency securities	259,869		—		—		—		259,869
Obligations of states and political subdivisions:
Obligations of states and state agencies	63,434		—		5,517		19,325		88,276
Municipal bonds	348,330		—		—		34,583		382,913
Total obligations of states and political subdivisions	411,764		—		5,517		53,908		471,189
Residential mortgage-backed securities	2,811,582		—		—		—		2,811,582
Trust preferred securities	—		—		—		37,038		37,038
Corporate and other debt securities	2,000		6,000		—		67,267		75,267
Total	$	3,552,290	$	6,000	$	5,517	$	158,213	$	3,722,020
December 31, 2021
U.S. Treasury securities	$	67,558	$	—	$	—	$	—	$	67,558
U.S. government agency securities	6,265		—		—		—		6,265
Obligations of states and political subdivisions:
Obligations of states and state agencies	118,368		—		5,576		17,071		141,015
Municipal bonds	148,854		—		—		48,093		196,947
Total obligations of states and political subdivisions	267,222		—		5,576		65,164		337,962
Residential mortgage-backed securities	2,166,142		—		—		—		2,166,142
Trust preferred securities	—		—		—		37,020		37,020
Corporate and other debt securities	2,000		6,000		—		45,750		53,750
Total	$	2,509,187	$	6,000	$	5,576	$	147,934	$	2,668,697

Obligations of states and political subdivisions include municipal bonds and revenue bonds issued by various municipal corporations. At September 30, 2022, most of the obligations of states and political subdivisions were rated investment grade and a large portion of the "non-rated" category included TEMS securities secured by Ginnie Mae securities. Trust preferred securities consist of non-rated single-issuer securities, issued by bank holding companies. Corporate bonds consist of debt primarily issued by banks.

Valley has a zero-loss expectation for certain securities within the held to maturity portfolio, and therefore it is not required to estimate an allowance for credit losses related to these securities under the CECL standard. After an evaluation of qualitative factors, Valley identified the following securities types which it believes qualify for this exclusion: U.S. Treasury securities, U.S. government agency securities, residential mortgage-backed securities issued by Ginnie Mae, Fannie Mae and Freddie Mac, and collateralized municipal bonds called TEMS.

Held to maturity debt securities were carried net of allowance for credit losses totaling $1.7 million at September 30, 2022, and $1.2 million at December 31, 2021. Valley recorded a provision for credit losses of $188 thousand and $531 thousand for the three and nine months ended September 30, 2022, respectively. Valley recorded