Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 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	Sep 30, 2021	Dec 31, 2020	Balance Sheet Location	Sep 30, 2021	Dec 31, 2020
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	Other assets	$180	$—	Other liabilities	$2,006	$1,958
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate swaps with customers	Other assets	42,873	75,804	Other liabilities	1,667	68
Mirror swaps with counterparties	Other assets	1,649	67	Other liabilities	42,996	76,248
Risk participation agreements	Other assets	1	22	Other liabilities	2	2
Mortgage loan commitments:
Interest rate lock commitments	Other assets	2,344	7,202	Other liabilities	—	—
Forward sale commitments	Other assets	703	—	Other liabilities	1,024	2,914
Gross amounts		47,750	83,095		47,695	81,190
Less: amounts offset (1)		1,828	67		1,828	67
Derivative balances, net of offset		45,922	83,028		45,867	81,123
Less: collateral pledged (2)		—	—		39,109	74,698
Net amounts		$45,922	$83,028		$6,758	$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		Nine Months
Periods ended September 30,	2021	2020	2021	2020
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	($403)	$214	($36)	($1,109)
Interest rate caps	—	25	—	71
Interest rate floors	—	(85)	—	150
Total	($403)	$154	($36)	($888)

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		Nine Months
Periods ended September 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	($2,715)	$767	($21,281)	$67,258
Mirror swaps with counterparties	Loan related derivative income	3,558	499	23,173	(63,655)
Risk participation agreements	Loan related derivative income	(115)	(2)	478	215
Mortgage loan commitments:
Interest rate lock commitments	Mortgage banking revenues	(17)	(1,499)	(4,859)	5,785
Forward sale commitments	Mortgage banking revenues	(361)	(4,743)	4,994	(10,733)
Total		$350	($4,978)	$2,505	($1,130)