Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value of Derivatives by Balance Sheet Location

The following table presents the notional amounts and fair values of derivative instruments in the Unaudited Consolidated Balance Sheets:

(Dollars in thousands)	March 31, 2023			December 31, 2022
		Fair Value			Fair Value
	Notional Amounts	Derivative Assets	Derivative Liabilities	Notional Amounts	Derivative Assets	Derivative Liabilities
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps (1)	$20,000	$405	$—	$320,000	$548	$31,178
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate contracts with customers	933,832	1,131	53,185	935,099	32	68,137
Mirror contracts with counterparties	933,832	52,875	1,260	935,099	67,797	61
Risk participation agreements	284,325	—	2	282,191	—	2
Mortgage loan commitments:
Interest rate lock commitments	26,489	404	—	12,201	144	4
Forward sale commitments	38,810	12	305	23,150	58	150
Gross amounts		54,827	$54,752		68,579	99,532
Less: amounts offset (2)		1,260	1,260		23,524	23,524
Derivative balances, net of offset		53,567	53,492		45,055	76,008
Less: collateral pledged (3)		—	—		—	7,716
Net amounts		$53,567	$53,492		$45,055	$68,292

(1)The fair value of derivative assets includes accrued interest receivable of $25 thousand and $24 thousand, respectively, at March 31, 2023 and December 31, 2022. The fair value of derivative liabilities includes accrued interest payable $856 thousand at December 31, 2022.

(2)Interest rate risk management contracts and loan related derivative contracts with counterparties are subject to master netting arrangements.

(3)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 (Loss), Net of Tax
Three months ended March 31,	2023	2022
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	$2,797	($10,335)
Total	$2,797	($10,335)

For derivatives designated as cash flow hedging instruments, see Note 14 for additional disclosure pertaining to the amounts and location of reclassifications from AOCL into earnings.

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

(Dollars in thousands)		Amount of Gain (Loss) Recognized in Noninterest Income
Three months ended March 31,	Statement of Income Location	2023	2022
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate contracts with customers	Loan related derivative income	$11,132	($40,822)
Mirror interest rate contracts with counterparties	Loan related derivative income	(11,171)	41,122
Risk participation agreements	Loan related derivative income	(11)	1
Mortgage loan commitments:
Interest rate lock commitments	Mortgage banking revenues	263	(934)
Forward sale commitments	Mortgage banking revenues	(124)	2,991
Total		$89	$2,358