XML 24 R14.htm IDEA: XBRL DOCUMENT

Investment Securities

6 Months Ended

Jun. 30, 2024

Investments, Debt and Equity Securities [Abstract]

Equity Securities

Equity securities totaled $69.1 million and $64.5 million at June 30, 2024 and December 31, 2023, respectively. See Note 5 for further details on equity securities.

Trading Debt Securities

The fair value of trading debt securities totaled $4.0 million at both June 30, 2024 and December 31, 2023. Net trading gains and losses are included in net gains and losses on securities transactions within non-interest income. The net trading gains for the three and six months ended June 30, 2024 were not material. We recorded net trading gains of $226 thousand and $628 thousand for the three and six months ended June 30, 2023, respectively.

Available for Sale Debt Securities

The amortized cost, gross unrealized gains and losses and fair value of AFS debt securities at June 30, 2024 and December 31, 2023 were as follows:


	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
	(in thousands)
June 30, 2024
U.S. Treasury securities	$	316,642	$	—	$	(30,368)	$	286,274
U.S. government agency securities	25,177		23		(2,434)		22,766
Obligations of states and political subdivisions:
Obligations of states and state agencies	50,154		—		(676)		49,478
Municipal bonds	171,552		—		(32,342)		139,210
Total obligations of states and political subdivisions	221,706		—		(33,018)		188,688
Residential mortgage-backed securities	1,625,542		1,565		(91,417)		1,535,690

Corporate and other debt securities	202,487		59		(23,872)		178,674
Total	$	2,391,554	$	1,647	$	(181,109)	$	2,212,092
December 31, 2023
U.S. Treasury securities	$	313,772	$	—	$	(25,615)	$	288,157
U.S. government agency securities	25,967		19		(2,284)		23,702
Obligations of states and political subdivisions:
Obligations of states and state agencies	48,283		—		(588)		47,695
Municipal bonds	170,260		—		(26,265)		143,995
Total obligations of states and political subdivisions	218,543		—		(26,853)		191,690
Residential mortgage-backed securities	703,875		728		(78,031)		626,572

Corporate and other debt securities	192,282		—		(25,827)		166,455

Total	$	1,454,439	$	747	$	(158,610)	$	1,296,576

Accrued interest on investments, which is excluded from the amortized cost of AFS debt securities, totaled $8.9 million and $5.9 million at June 30, 2024 and December 31, 2023, respectively, and is presented within total accrued interest receivable on the consolidated statements of financial condition.

The age of unrealized losses and fair value of the related AFS debt securities at June 30, 2024 and December 31, 2023 were as follows:


	Less than 12 Months				More than 12 Months				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
	(in thousands)
June 30, 2024
U.S. Treasury securities	$	—	$	—	$	286,274	$	(30,368)	$	286,274	$	(30,368)
U.S. government agency securities	—		—		21,457		(2,434)		21,457		(2,434)
Obligations of states and political subdivisions:
Obligations of states and state agencies	—		—		6,608		(676)		6,608		(676)
Municipal bonds	—		—		139,210		(32,342)		139,210		(32,342)
Total obligations of states and political subdivisions	—		—		145,818		(33,018)		145,818		(33,018)
Residential mortgage-backed securities	543,665		(2,396)		529,338		(89,021)		1,073,003		(91,417)

Corporate and other debt securities	4,803		(197)		163,811		(23,675)		168,614		(23,872)
Total	$	548,468	$	(2,593)	$	1,146,698	$	(178,516)	$	1,695,166	$	(181,109)
December 31, 2023
U.S. Treasury securities	$	—	$	—	$	288,156	$	(25,615)	$	288,156	$	(25,615)
U.S. government agency securities	—		—		22,364		(2,284)		22,364		(2,284)
Obligations of states and political subdivisions:
Obligations of states and state agencies	—		—		8,276		(588)		8,276		(588)
Municipal bonds	1,019		(4)		142,976		(26,261)		143,995		(26,265)
Total obligations of states and political subdivisions	1,019		(4)		151,252		(26,849)		152,271		(26,853)
Residential mortgage-backed securities	9,010		(3)		569,629		(78,028)		578,639		(78,031)

Corporate and other debt securities	4,977		(23)		161,478		(25,804)		166,455		(25,827)

Total	$	15,006	$	(30)	$	1,192,879	$	(158,580)	$	1,207,885	$	(158,610)

Within the AFS debt securities portfolio, the total number of security positions in an unrealized loss position was 706 and 687 at June 30, 2024 and December 31, 2023, respectively.

As of June 30, 2024, the fair value of AFS securities that were pledged to secure public deposits, repurchase agreements, lines of credit, and for other purposes required by law, was $1.7 billion.

The contractual maturities of AFS debt securities at June 30, 2024 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.


	June 30, 2024
	Amortized Cost		Fair Value
	(in thousands)
Due in one year	$	351	$	349
Due after one year through five years	292,140		278,674
Due after five years through ten years	183,029		159,565
Due after ten years	290,492		237,814
Residential mortgage-backed securities	1,625,542		1,535,690
Total	$	2,391,554	$	2,212,092

Actual maturities of AFS debt securities may differ from those presented above since certain obligations provide the issuer the right to call or prepay the obligation prior to scheduled maturity without penalty.

The weighted average remaining expected life for residential mortgage-backed securities AFS was 6.73 years at June 30, 2024.

Impairment Analysis of Available For Sale Debt Securities

Valley's AFS 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.

AFS debt securities in unrealized loss positions are evaluated for impairment related to credit losses on a quarterly basis. Valley also evaluated AFS debt securities that were in an unrealized loss position as of June 30, 2024 included in the tables above and has determined that the declines in fair value are mainly attributable to interest rates, credit spreads, market volatility and liquidity conditions, not credit quality or other factors. Based on a comparison of the present value of expected cash flows to the amortized cost, there was no impairment recognized during the three and six months ended June 30, 2024. During the three and six months ended June 30, 2023, Valley recognized a credit related impairment of one corporate bond issued by Signature Bank resulting in both a provision for credit losses and full charge-off of the security totaling $5.0 million based on a comparison of the present value of expected cash flows to the amortized cost. The bond was subsequently sold and the sale resulted in a $869 thousand gain during the fourth quarter 2023.

Valley does not intend to sell any of its AFS debt securities in an unrealized loss position prior to recovery of their amortized cost basis, and it is more likely than not that Valley will not be required to sell any of its securities prior to recovery of their amortized cost basis. None of the AFS debt securities were past due as of June 30, 2024. As a result, there was no allowance for credit losses for AFS debt securities at June 30, 2024, December 31, 2023 and June 30, 2023.

Held to Maturity Debt Securities

The amortized cost, gross unrealized gains and losses and fair value of debt securities held to maturity at June 30, 2024 and December 31, 2023 were as follows:


	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Allowance for Credit Losses		Net Carrying Value
	(in thousands)
June 30, 2024
U.S. Treasury securities	$	25,861	$	—	$	(282)	$	25,579	$	—	$	25,861
U.S. government agency securities	304,308		—		(46,851)		257,457		—		304,308
Obligations of states and political subdivisions:
Obligations of states and state agencies	84,910		—		(5,303)		79,607		382		84,528
Municipal bonds	308,253		3		(21,252)		287,004		52		308,201
Total obligations of states and political subdivisions	393,163		3		(26,555)		366,611		434		392,729
Residential mortgage-backed securities	2,804,769		2,008		(427,522)		2,379,255		—		2,804,769
Trust preferred securities	37,071		—		(7,223)		29,848		445		36,626
Corporate and other debt securities	86,282		—		(5,084)		81,198		211		86,071
Total	$	3,651,454	$	2,011	$	(513,517)	$	3,139,948	$	1,090	$	3,650,364
December 31, 2023
U.S. Treasury securities	$	26,232	$	—	$	(254)	$	25,978	$	—	$	26,232
U.S. government agency securities	305,996		—		(44,441)		261,555		—		305,996
Obligations of states and political subdivisions:
Obligations of states and state agencies	88,556		552		(4,155)		84,953		395		88,161
Municipal bonds	316,914		40		(14,380)		302,574		49		316,865
Total obligations of states and political subdivisions	405,470		592		(18,535)		387,527		444		405,026
Residential mortgage-backed securities	2,885,303		6,059		(369,436)		2,521,926		—		2,885,303
Trust preferred securities	37,062		—		(6,412)		30,650		506		36,556
Corporate and other debt securities	80,350		—		(5,674)		74,676		255		80,095
Total	$	3,740,413	$	6,651	$	(444,752)	$	3,302,312	$	1,205	$	3,739,208

Accrued interest on investments, which is excluded from the amortized cost of HTM debt securities, totaled $13.7 million and $13.9 million at June 30, 2024 and December 31, 2023, respectively, and is presented within total accrued interest receivable on the consolidated statements of financial condition. HTM debt securities are carried net of an allowance for credit losses.

The age of unrealized losses and fair value of related debt securities held to maturity at June 30, 2024 and December 31, 2023 were as follows:


	Less than 12 Months				More than 12 Months				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
	(in thousands)
June 30, 2024
U.S. Treasury securities	$	—	$	—	$	25,578	$	(282)	$	25,578	$	(282)
U.S. government agency securities	41,012		(95)		215,334		(46,756)		256,346		(46,851)
Obligations of states and political subdivisions:
Obligations of states and state agencies	23,423		(560)		55,433		(4,743)		78,856		(5,303)
Municipal bonds	47,542		(990)		207,639		(20,262)		255,181		(21,252)
Total obligations of states and political subdivisions	70,965		(1,550)		263,072		(25,005)		334,037		(26,555)
Residential mortgage-backed securities	155,245		(950)		2,042,485		(426,572)		2,197,730		(427,522)
Trust preferred securities	951		(49)		28,897		(7,174)		29,848		(7,223)
Corporate and other debt securities	18,858		(142)		62,340		(4,942)		81,198		(5,084)
Total	$	287,031	$	(2,786)	$	2,637,706	$	(510,731)	$	2,924,737	$	(513,517)
December 31, 2023
U.S. Treasury securities	$	—	$	—	$	25,978	$	(254)	$	25,978	$	(254)
U.S. government agency securities	43,664		(151)		216,759		(44,290)		260,423		(44,441)
Obligations of states and political subdivisions:
Obligations of states and state agencies	10,700		(102)		48,149		(4,053)		58,849		(4,155)
Municipal bonds	11,958		(121)		207,520		(14,259)		219,478		(14,380)
Total obligations of states and political subdivisions	22,658		(223)		255,669		(18,312)		278,327		(18,535)
Residential mortgage-backed securities	57,085		(505)		2,164,704		(368,931)		2,221,789		(369,436)
Trust preferred securities	938		(63)		29,712		(6,349)		30,650		(6,412)
Corporate and other debt securities	12,575		(426)		59,102		(5,248)		71,677		(5,674)
Total	$	136,920	$	(1,368)	$	2,751,924	$	(443,384)	$	2,888,844	$	(444,752)

Within the HTM securities portfolio, the total number of security positions in an unrealized loss position was 816 and 762 at June 30, 2024 and December 31, 2023, respectively.

As of June 30, 2024, the fair value of debt securities HTM that were pledged to secure public deposits, repurchase agreements, lines of credit, and for other purposes required by law was $2.7 billion.

The contractual maturities of investments in HTM debt securities at June 30, 2024 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.


	June 30, 2024
	Amortized Cost		Fair Value
	(in thousands)
Due in one year	$	26,489	$	26,345
Due after one year through five years	109,365		106,796
Due after five years through ten years	165,751		154,096
Due after ten years	545,080		473,456
Residential mortgage-backed securities	2,804,769		2,379,255
Total	$	3,651,454	$	3,139,948

Actual maturities of HTM debt securities may differ from those presented above since certain obligations provide the issuer the right to call or prepay the obligation prior to scheduled maturity without penalty.

The weighted-average remaining expected life for residential mortgage-backed securities HTM was 9.45 years at June 30, 2024.

Credit Quality Indicators

Valley monitors the credit quality of the HTM debt securities utilizing the most current credit ratings from external rating agencies. The following table summarizes the amortized cost of HTM debt securities by external credit rating at June 30, 2024 and December 31, 2023.


	AAA/AA/A Rated		BBB rated		Non-investment grade rated		Non-rated		Total
	(in thousands)
June 30, 2024
U.S. Treasury securities	$	25,861	$	—	$	—	$	—	$	25,861
U.S. government agency securities	304,308		—		—		—		304,308
Obligations of states and political subdivisions:
Obligations of states and state agencies	63,002		—		5,248		16,660		84,910
Municipal bonds	280,002		—		—		28,251		308,253
Total obligations of states and political subdivisions	343,004		—		5,248		44,911		393,163
Residential mortgage-backed securities	2,804,769		—		—		—		2,804,769
Trust preferred securities	—		—		—		37,071		37,071
Corporate and other debt securities	—		6,000		—		80,282		86,282
Total	$	3,477,942	$	6,000	$	5,248	$	162,264	$	3,651,454
December 31, 2023
U.S. Treasury securities	$	26,232	$	—	$	—	$	—	$	26,232
U.S. government agency securities	305,996		—		—		—		305,996
Obligations of states and political subdivisions:
Obligations of states and state agencies	66,502		—		5,330		16,724		88,556
Municipal bonds	283,441		—		—		33,473		316,914
Total obligations of states and political subdivisions	349,943		—		5,330		50,197		405,470
Residential mortgage-backed securities	2,885,303		—		—		—		2,885,303
Trust preferred securities			—		—		37,062		37,062
Corporate and other debt securities	—		6,000		—		74,350		80,350
Total	$	3,567,474	$	6,000	$	5,330	$	161,609	$	3,740,413

Obligations of states and political subdivisions include municipal bonds and revenue bonds issued by various municipal corporations. At June 30, 2024, most of the obligations of states and political subdivisions were rated investment grade and a large portion of the “non-rated” category included municipal bonds 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.

Allowance for Credit Losses for Held to Maturity Debt Securities

Valley has a zero loss expectation for certain securities within the HTM 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 security 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. To measure the expected credit losses on HTM debt securities that have loss expectations, Valley estimates the expected credit losses using a discounted cash flow model developed by a third-party.

The following table details the activity in the allowance for credit losses for HTM securities for the three and six months ended June 30, 2024 and 2023:


	Three months ended June 30,				Six months ended June 30,
	2024		2023		2024		2023
	(in thousands)
Beginning balance	$	1,131	$	1,633	$	1,205	$	1,646
Credit for credit losses	(41)		(282)		(115)		(295)
Ending balance	$	1,090	$	1,351	$	1,090	$	1,351