DERIVATIVES (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of the Derivatives

The following table summarizes key elements of the Company’s derivative instruments as of June 30, 2021 and December 31, 2020, segregated by derivatives that are considered accounting hedges and those that are not (dollars in thousands):

	June 30, 2021						December 31, 2020
			Derivative (2)						Derivative (2)
	Notional or						Notional or
	Contractual						Contractual
	Amount (1)		Assets		Liabilities		Amount (1)		Assets		Liabilities
Derivatives designated as accounting hedges:
Interest rate contracts: (3)
Cash flow hedges	$	200,000	$	—	$	—	$	—	$	—	$	—
Fair value hedges		141,178		—		7,292		124,726		—		12,483
Derivatives not designated as accounting hedges:
Loan Swaps: (3)
Pay fixed - receive floating interest rate swaps		2,400,239		824		45,273		2,356,453		212		163,148
Pay floating - receive fixed interest rate swaps		2,400,239		102,317		9,180		2,356,453		163,148		212

⁽¹⁾ Notional amounts are not recorded on the Company’s Consolidated Balance Sheets and are generally used only as a basis on which interest and other payments are determined.

⁽²⁾ Balances represent fair value of derivative financial instruments.

⁽³⁾ The Company’s cleared derivatives are classified as a single-unit of accounting, resulting in the fair value of the designated swap being reduced by the variation margin, which is treated as settlement of the related derivatives fair value for accounting purposes and is reported on a net basis at June 30, 2021. The previous periods presented do not include the offsetting impact of variation margin.

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following table summarizes the carrying value of the Company’s hedged assets in fair value hedges and the associated cumulative basis adjustments included in those carrying values as of June 30, 2021 and December 31, 2020 (dollars in thousands):

	June 30, 2021				December 31, 2020
			Cumulative				Cumulative
			Amount of Basis				Amount of Basis
			Adjustments				Adjustments
			Included in the				Included in the
	Carrying Amount		Carrying		Carrying Amount		Carrying
	of Hedged		Amount of the		of Hedged		Amount of the
	Assets/(Liabilities)		Hedged		Assets/(Liabilities)		Hedged
	Amount (1)		Assets/(Liabilities)		Amount (1)		Assets/(Liabilities)
Line items on the Consolidated Balance Sheets in which the hedged item is included:
Securities available-for-sale (1) (2)	$	134,943	$	5,345	$	166,413	$	7,297
Loans		91,178		1,532		74,726		5,088

⁽¹⁾ These amounts include the amortized cost basis of the investment securities designated in hedging relationships for which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At June 30, 2021 and December 31, 2020, the amortized cost basis of this portfolio was $135 million and $166 million, respectively, and the cumulative basis adjustment associated with this hedge was $5.3 million and $7.3 million, respectively. The amount of the designated hedged item at June 30, 2021 and December 31, 2020 totaled $50 million.

⁽²⁾ Carrying value represents amortized cost.