| Fair Value of Derivatives by Balance Sheet Location |
The following table presents the fair values of derivative instruments in the Corporation’s Unaudited Consolidated Balance Sheets: | | | | | | | | | | | | | | | | | | | (Dollars in thousands) | Asset Derivatives | | Liability Derivatives | | | Fair Value | | | Fair Value | | Balance Sheet Location | Mar 31, 2019 | | Dec 31, 2018 | | Balance Sheet Location | Mar 31, 2019 | | Dec 31, 2018 | Derivatives Designated as Cash Flow Hedging Instruments: | | | | | | | | | | Interest rate risk management contracts: | | | | | | | | | | Interest rate caps | Other assets |
| $3 |
| |
| $20 |
| | Other liabilities |
| $— |
| |
| $— |
| Interest rate swaps | Other assets | 291 |
| | 903 |
| | Other liabilities | — |
| | — |
| Interest rate floors | Other assets | 16 |
| | 37 |
| | Other liabilities | — |
| | — |
| Derivatives not Designated as Hedging Instruments: | | | | | | | | | | Loan related derivative contracts: | | | | | | | | | | Interest rate swaps with customers | Other assets | 11,176 |
| | 5,340 |
| | Other liabilities | 2,952 |
| | 7,719 |
| Mirror swaps with counterparties | Other assets | 2,897 |
| | 7,592 |
| | Other liabilities | 11,236 |
| | 5,392 |
| Risk participation agreements | Other assets | — |
| | — |
| | Other liabilities | 1 |
| | — |
| Foreign exchange contracts | Other assets | 8 |
| | — |
| | Other liabilities | — |
| | 7 |
| Forward loan commitments: | | | | | | | | | | Interest rate lock commitments | Other assets | 1,491 |
| | 806 |
| | Other liabilities | — |
| | — |
| Forward sale commitments | Other assets | — |
| | — |
| | Other liabilities | 818 |
| | 816 |
| Gross amounts | | 15,882 |
| | 14,698 |
| | | 15,007 |
| | 13,934 |
| Less amounts offset in Consolidated Balance Sheets (1) | | 1,899 |
| | 10,732 |
| | | 1,899 |
| | 10,732 |
| Net amounts presented in Consolidated Balance Sheets | | 13,983 |
| | 3,966 |
| | | 13,108 |
| | 3,202 |
| Less collateral pledged (2) | | — |
| | — |
| | | 9,569 |
| | 1,460 |
| Net amounts | |
| $13,983 |
| |
| $3,966 |
| | |
| $3,539 |
| |
| $1,742 |
|
| | (1) | Interest rate risk management contracts and loan related derivative contracts with counterparties are subject to master netting arrangements. |
| | (2) | Collateral pledged to derivative counterparties is in the form of cash. Washington Trust may need to post additional collateral in the future in proportion to potential increases in unrealized loss positions. |
|
| Derivative Instruments Effect in Statements of Income and Changes in Shareholders' Equity |
The following tables present the effect of derivative instruments in the Corporation’s Unaudited Consolidated Statements of Changes in Shareholders’ Equity and Unaudited Consolidated Statements of Income: | | | | | | | | | (Dollars in thousands) | Gain (Loss) Recognized in Other Comprehensive Income, Net of Tax | Three months ended March 31, | 2019 | | 2018 | Derivatives Designated as Cash Flow Hedging Instruments: | | | | Interest rate risk management contracts: | | | | Interest rate caps |
| $— |
| |
| $38 |
| Interest rate swaps | (466 | ) | | 839 |
| Interest rate floors | 24 |
| | 12 |
| Total |
| ($442 | ) | |
| $889 |
|
See Note 15 for additional disclosure pertaining to the amounts reclassified from accumulated other comprehensive income into earnings for derivatives designated as cash flow hedging instruments.
| | | | | | | | | | (Dollars in thousands) | | Amount of Gain (Loss) Recognized in Income on Derivatives | Three months ended March 31, | Statement of Income Location | 2019 | | 2018 | Derivatives not Designated as Hedging Instruments: | | | | | Loan related derivative contracts: | | | | | Interest rate swaps with customers | Loan related derivative income |
| $10,310 |
| |
| ($9,195 | ) | Mirror swaps with counterparties | Loan related derivative income | (9,604 | ) | | 9,324 |
| Risk participation agreements | Loan related derivative income | — |
| | — |
| Foreign exchange contracts | Loan related derivative income | 18 |
| | 12 |
| Forward loan commitments: | | | | | Interest rate lock commitments | Mortgage banking revenues | 685 |
| | (14 | ) | Forward sale commitments | Mortgage banking revenues | (429 | ) | | 1,318 |
| Total | |
| $980 |
| |
| $1,445 |
|
|