Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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)	September 30, 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)	$140,000	$3,639	$—	$320,000	$548	$31,178
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate contracts with customers	962,174	1,839	80,658	935,099	32	68,137
Mirror contracts with counterparties	962,174	80,277	1,841	935,099	67,797	61
Risk participation agreements	319,002	1	—	282,191	—	2
Mortgage loan commitments:
Interest rate lock commitments	30,722	334	20	12,201	144	4
Forward sale commitments	45,433	192	139	23,150	58	150
Gross amounts		86,282	82,658		68,579	99,532
Less: amounts offset (2)		1,841	1,841		23,524	23,524
Derivative balances, net of offset		84,441	80,817		45,055	76,008
Less: collateral pledged (3)		—	—		—	7,716
Net amounts		$84,441	$80,817		$45,055	$68,292

(1)The fair value of derivative assets includes accrued interest receivable of $262 thousand and $24 thousand, respectively, at September 30, 2023 and December 31, 2022. The fair value of derivative liabilities includes accrued interest payable of $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		Nine Months
Periods ended September 30,	2023	2022	2023	2022
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	$2,833	($6,973)	$8,345	($20,281)
Total	$2,833	($6,973)	$8,345	($20,281)

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		Nine Months
Periods ended September 30,	Statement of Income Location	2023	2022	2023	2022
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate contracts with customers	Loan related derivative income	($18,684)	($33,605)	($28,044)	($93,227)
Mirror interest rate contracts with counterparties	Loan related derivative income	20,291	34,646	29,815	95,189
Risk participation agreements	Loan related derivative income	(525)	—	(493)	49
Mortgage loan commitments:
Interest rate lock commitments	Mortgage banking revenues	(17)	(516)	174	(1,238)
Forward sale commitments	Mortgage banking revenues	456	998	814	4,729
Total		$1,521	$1,523	$2,266	$5,502