Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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	Sep 30, 2019		Dec 31, 2018		Balance Sheet Location	Sep 30, 2019		Dec 31, 2018
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate caps	Other assets		$—		$20	Other liabilities		$—		$—
Interest rate swaps	Other assets	2		903		Other liabilities	1,000		—
Interest rate floors	Other assets	69		37		Other liabilities	—		—
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Other assets	37,765		5,340		Other liabilities	80		7,719
Mirror swaps with counterparties	Other assets	80		7,592		Other liabilities	37,913		5,392
Risk participation agreements	Other assets	1		—		Other liabilities	3		—
Foreign exchange contracts	Other assets	6		—		Other liabilities	—		7
Forward loan commitments:
Interest rate lock commitments	Other assets	1,762		806		Other liabilities	1		—
Forward sale commitments	Other assets	393		—		Other liabilities	977		816
Gross amounts		40,078		14,698			39,974		13,934
Less amounts offset in Consolidated Balance Sheets (1)		157		10,732			157		10,732
Net amounts presented in Consolidated Balance Sheets		39,921		3,966			39,817		3,202
Less collateral pledged (2)		—		—			37,695		1,460
Net amounts			$39,921		$3,966			$2,122		$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						Nine Months
Periods ended September 30,	2019			2018			2019			2018
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate caps		$18			$17			$32			$66
Interest rate swaps	(211		)	189			(1,442		)	1,322
Interest rate floors	22			(51		)	175			21
Total		($171	)		$155			($1,235	)		$1,409

For derivatives designated as cash flow hedging instruments, see Note 15 for additional disclosure pertaining to the amounts and location of reclassifications from accumulated other comprehensive income into earnings.

(Dollars in thousands)		Amount of Gain (Loss) Recognized in Income on Derivatives
		Three Months						Nine Months
Periods ended September 30,	Statement of Income Location	2019			2018			2019			2018
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Loan related derivative income		$12,284			($3,178	)	39,568			(15,374		)
Mirror swaps with counterparties	Loan related derivative income	(11,108		)	3,415			(36,958		)	16,384
Risk participation agreements	Loan related derivative income	213			25			213			25
Foreign exchange contracts	Loan related derivative income	18			16			54			52
Forward loan commitments:
Interest rate lock commitments	Mortgage banking revenues	(340		)	(504		)		$955			($327	)
Forward sale commitments	Mortgage banking revenues	(101		)	316			(1,969		)	1,552
Total			$966			$90			$1,863			$2,312