Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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	Jun 30, 2021	Dec 31, 2020	Balance Sheet Location	Jun 30, 2021	Dec 31, 2020
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	Other assets	$178	$—	Other liabilities	$1,475	$1,958
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Other assets	49,644	75,804	Other liabilities	1,269	68
Mirror swaps with counterparties	Other assets	1,262	67	Other liabilities	49,805	76,248
Risk participation agreements	Other assets	2	22	Other liabilities	2	2
Mortgage loan commitments:
Interest rate lock commitments	Other assets	2,361	7,202	Other liabilities	—	—
Forward sale commitments	Other assets	115	—	Other liabilities	760	2,914
Gross amounts		53,562	83,095		53,311	81,190
Less: amounts offset (1)		1,440	67		1,440	67
Derivative balances, net of offset		52,122	83,028		51,871	81,123
Less: collateral pledged (2)		—	—		47,113	74,698
Net amounts		$52,122	$83,028		$4,758	$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 table presents the effect of derivative instruments in the Unaudited Consolidated Statements of Changes in Shareholders’ Equity:

(Dollars in thousands)	Gain (Loss) Recognized in Other Comprehensive Income, Net of Tax
	Three Months		Six Months
Periods ended June 30,	2021	2020	2021	2020
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	$70	$1	$367	($1,323)
Interest rate caps	—	24	—	46
Interest rate floors	—	(17)	—	235
Total	$70	$8	$367	($1,042)

Interest rate cap and interest rate floor contracts designated as cash flow hedges matured in 2020.

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.

The following table presents the effect of derivative instruments in the Corporation’s Unaudited Consolidated Statements of Income:

(Dollars in thousands)		Amount of Gain (Loss) Recognized in Income on Derivatives
		Three Months		Six Months
Periods ended June 30,	Statement of Income Location	2021	2020	2021	2020
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Loan related derivative income	$11,665	$7,960	($18,566)	$66,491
Mirror swaps with counterparties	Loan related derivative income	(11,068)	(7,964)	19,615	(64,154)
Risk participation agreements	Loan related derivative income	578	103	593	217
Mortgage loan commitments:
Interest rate lock commitments	Mortgage banking revenues	(313)	3,548	(4,842)	7,284
Forward sale commitments	Mortgage banking revenues	(1,930)	(2,356)	5,355	(5,990)
Total		($1,068)	$1,291	$2,155	$3,848