Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2024

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, 2024			December 31, 2023
		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)	$120,000	$1,970	$132	$120,000	$802	$1,119
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate contracts with customers	944,336	3,880	61,806	938,872	6,594	52,102
Mirror contracts with counterparties	944,336	61,570	3,980	938,872	51,859	6,757
Risk participation agreements	325,172	49	1	321,055	66	1
Mortgage loan commitments:
Interest rate lock commitments	40,189	754	3	20,980	504	1
Forward sale commitments	73,330	57	605	50,117	18	711
Gross amounts		68,280	66,527		59,843	60,691
Less: amounts offset (2)		4,112	4,112		7,877	7,877
Derivative balances, net of offset		64,168	62,415		51,966	52,814
Less: collateral pledged (3)		—	—		—	—
Net amounts		$64,168	$62,415		$51,966	$52,814

(1)The fair value of derivative assets includes accrued interest receivable of $233 thousand and $239 thousand, respectively, at March 31, 2024 and December 31, 2023. There was no accrued interest payable included in the fair value of derivative liabilities at March 31, 2024 or at December 31, 2023.

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

(3)Collateral contractually required to be 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 Recognized in Other Comprehensive Income (Loss), Net of Tax
Three months ended March 31,	2024	2023
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	$3,205	$2,797
Total	$3,205	$2,797

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	2024	2023
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate contracts with customers	Loan related derivative income	($19,009)	$11,132
Mirror interest rate contracts with counterparties	Loan related derivative income	19,310	(11,171)
Risk participation agreements	Loan related derivative income	(17)	(11)
Mortgage loan commitments:
Interest rate lock commitments	Mortgage banking revenues	248	263
Forward sale commitments	Mortgage banking revenues	66	(124)
Total		$598	$89