Balance Sheet Offsetting

6 Months Ended

Jun. 30, 2024

Certain financial instruments, including certain OTC derivatives (mostly interest rate swaps) and repurchase agreements (accounted for as secured long-term borrowings), may be eligible for offset in the consolidated statements of financial condition and/or subject to master netting arrangements or similar agreements. OTC derivatives include interest rate swaps executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house (presented in the table below). The credit risk associated with bilateral OTC derivatives is managed through obtaining collateral and enforceable master netting 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 or received from the counterparty with net liability or asset positions, respectively, in accordance with contract thresholds. 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 swap or repurchase agreement should Valley be in default. Total amount of collateral held or pledged cannot exceed the net derivative fair values with the counterparty.

The table below presents information about Valley’s financial instruments eligible for offset in the consolidated statements of financial condition as of June 30, 2024 and December 31, 2023.


							Gross Amounts Not Offset
	Gross Amounts Recognized		Gross Amounts Offset		Net Amounts Presented		Financial Instruments		Cash Collateral *		Net Amount
	(in thousands)
June 30, 2024
Assets
Interest rate swaps and other contracts	$	502,150	$	—	$	502,150	$	11,418	$	(420,020)	$	93,548
Liabilities
Interest rate swaps and other contracts	$	519,658	$	—	$	519,658	$	(11,418)	$	—	$	508,240


December 31, 2023
Assets
Interest rate swaps and other contracts	$	458,129	$	—	$	458,129	$	53,780	$	(302,180)	$	209,729
Liabilities
Interest rate swaps and other contracts	$	479,345	$	—	$	479,345	$	(53,780)	$	—	$	425,565

* Cash collateral received from or pledged to our counterparties in relation to market value exposures of OTC derivative contracts in an asset/liability position.