Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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)	Derivative Assets					Derivative Liabilities
		Fair Value					Fair Value
	Balance Sheet Location	Mar 31, 2020		Dec 31, 2019		Balance Sheet Location	Mar 31, 2020		Dec 31, 2019
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate caps	Other assets		$—		$—	Other liabilities		$—		$—
Interest rate swaps	Other assets	—		—		Other liabilities	2,489		730
Interest rate floors	Other assets	236		3		Other liabilities	—		—
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Other assets	84,833		27,736		Other liabilities	9		358
Mirror swaps with counterparties	Other assets	8		351		Other liabilities	85,108		27,819
Risk participation agreements	Other assets	11		1		Other liabilities	3		1
Mortgage loan commitments:
Interest rate lock commitments	Other assets	4,937		1,097		Other liabilities	105		—
Forward sale commitments	Other assets	128		30		Other liabilities	3,676		827
Gross amounts		90,153		29,218			91,390		29,735
Less amounts offset in Consolidated Balance Sheets (1)		244		354			244		354
Net amounts presented in Consolidated Balance Sheets		89,909		28,864			91,146		29,381
Less collateral pledged (2)		—		—			30,051		27,105
Net amounts			$89,909		$28,864			$61,095		$2,276

(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,	2020			2019
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate caps		$22			$—
Interest rate swaps	(1,325		)	(466		)
Interest rate floors	253			24
Total		($1,050	)		($442	)

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 ended March 31,	Statement of Income Location	2020			2019
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Loan related derivative income		$58,531			$10,310
Mirror swaps with counterparties	Loan related derivative income	(56,190		)	(9,604		)
Risk participation agreements	Loan related derivative income	114			—
Foreign exchange contracts	Loan related derivative income	—			18
Mortgage loan commitments:
Interest rate lock commitments	Mortgage banking revenues	3,736			685
Forward sale commitments	Mortgage banking revenues	(3,634		)	(429		)
Total			$2,557			$980