Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2023

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: 

	September 30, 2023						December 31, 2022
	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	$	—	$	—	$	—	$	3,971	$	4	$	600,000
Fair value hedge interest rate swaps	—		32,361		300,000		—		29,794		300,000
Total derivatives designated as hedging instruments	$	—	$	32,361	$	300,000	$	3,971	$	29,798	$	900,000
Derivatives not designated as hedging instruments:
Interest rate swaps and other contracts*	$	697,043	$	696,955	$	15,926,996	$	449,280	$	564,678	$	14,753,330
Foreign currency derivatives	7,242		5,658		1,328,862		13,709		12,604		1,273,735
Mortgage banking derivatives	383		304		68,635		167		157		31,299
Total derivatives not designated as hedging instruments	$	704,668	$	702,917	$	17,324,493	$	463,156	$	577,439	$	16,058,364

* Other derivative contracts include risk participation agreements.

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

Gains (losses) included in the consolidated statements of income and other comprehensive loss, 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,
	2023		2022		2023		2022
	(in thousands)
Amount of gain (loss) reclassified from accumulated other comprehensive loss to interest income and expense	$	63	$	21	$	(1,193)	$	(405)
Amount of (loss) gain recognized in other comprehensive loss	—		(6)		(1,093)		435

Gains (Losses) Related to Interest Rate Derivatives Designated as Hedges of Fair Value

(Losses) gains 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,
	2023		2022		2023		2022
	(in thousands)
Derivative - interest rate swap:
Interest expense	$	(52)	$	(989)	$	850	$	(383)
Hedged item - subordinated debt
Interest expense	$	61	$	325	$	(759)	$	802

Interest Rate Derivatives Designated as Hedges

The following table presents the hedged item related to interest rate derivatives designated as fair value hedges and the cumulative basis fair value adjustment included in the net carrying amount of the hedged item at September 30, 2023 and December 31, 2022, respectively.

Line Item in the Statement of Financial Position in Which the Hedged Item is Included	Net Carrying Amount of the Hedged Liability *		Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Liability
	(in thousands)
September 30, 2023
Long-term borrowings	$	268,441	$	(29,373)
December 31, 2022
Long-term borrowings	$	267,076	$	(30,132)

*    Net carrying amount includes unamortized debt issuance costs of $2.2 million and $2.8 million at September 30, 2023 and December 31, 2022, respectively.

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

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

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
	(in thousands)
Non-designated hedge interest rate swaps and credit derivatives
Other non-interest expense	$	(455)	$	463	$	(615)	$	(1,191)