Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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 Unaudited Consolidated Balance Sheets:

(Dollars in thousands)	Derivative Assets			Derivative Liabilities
		Fair Value			Fair Value
	Balance Sheet Location	Sep 30, 2020	Dec 31, 2019	Balance Sheet Location	Sep 30, 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	2,224	730
Interest rate floors	Other assets	—	3	Other liabilities	—	—
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Other assets	86,500	27,736	Other liabilities	—	358
Mirror swaps with counterparties	Other assets	—	351	Other liabilities	86,955	27,819
Risk participation agreements	Other assets	25	1	Other liabilities	3	1
Mortgage loan commitments:
Interest rate lock commitments	Other assets	6,882	1,097	Other liabilities	—	—
Forward sale commitments	Other assets	111	30	Other liabilities	3,726	827
Gross amounts		93,518	29,218		92,908	29,735
Less amounts offset in Consolidated Balance Sheets (1)		—	354		—	354
Net amounts presented in Consolidated Balance Sheets		93,518	28,864		92,908	29,381
Less collateral pledged (2)		—	—		85,516	27,105
Net amounts		$93,518	$28,864		$7,392	$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 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,	2020	2019	2020	2019
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate caps	$25	$18	$71	$32
Interest rate swaps	214	(211)	(1,109)	(1,442)
Interest rate floors	(85)	22	150	175
Total	$154	($171)	($888)	($1,235)

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	2020	2019	2020	2019
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Loan related derivative income	$767	$12,284	$67,258	$39,568
Mirror swaps with counterparties	Loan related derivative income	499	(11,108)	(63,655)	(36,958)
Risk participation agreements	Loan related derivative income	(2)	213	215	213
Foreign exchange contracts	Loan related derivative income	—	18	—	54
Mortgage loan commitments:
Interest rate lock commitments	Mortgage banking revenues	(1,499)	(340)	5,785	955
Forward sale commitments	Mortgage banking revenues	(4,743)	(101)	(10,733)	(1,969)
Total		($4,978)	$966	($1,130)	$1,863