Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

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	Mar 31, 2021	Dec 31, 2020	Balance Sheet Location	Mar 31, 2021	Dec 31, 2020
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	Other assets	$—	$—	Other liabilities	$1,569	$1,958
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Other assets	44,732	75,804	Other liabilities	3,589	68
Mirror swaps with counterparties	Other assets	3,497	67	Other liabilities	44,903	76,248
Risk participation agreements	Other assets	2	22	Other liabilities	1	2
Mortgage loan commitments:
Interest rate lock commitments	Other assets	2,776	7,202	Other liabilities	102	—
Forward sale commitments	Other assets	3,193	—	Other liabilities	666	2,914
Gross amounts		54,200	83,095		50,830	81,190
Less: amounts offset (1)		3,495	67		3,495	67
Derivative balances, net of offset		50,705	83,028		47,335	81,123
Less: collateral pledged (2)		—	—		39,945	74,698
Net amounts		$50,705	$83,028		$7,390	$6,425

(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 ended March 31,	2021	2020
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate caps	$—	$22
Interest rate swaps	297	(1,325)
Interest rate floors	—	253
Total	$297	($1,050)

The Corporation previously had interest rate cap and interest rate floor contracts designated as cash flow hedges. During 2020, the interest rate caps and interest rate floors matured.

For derivatives designated as cash flow hedging instruments, see Note 16 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	2021	2020
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Loan related derivative income	($30,231)	$58,531
Mirror swaps with counterparties	Loan related derivative income	30,683	(56,190)
Risk participation agreements	Loan related derivative income	15	114
Mortgage loan commitments:
Interest rate lock commitments	Mortgage banking revenues	(4,529)	3,736
Forward sale commitments	Mortgage banking revenues	7,285	(3,634)
Total		$3,223	$2,557