Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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)	September 30, 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	$307	$1,640	$120,000	$802	$1,119
Interest rate collar	50,000	—	198	—	—	—
Derivatives Designated as Fair Value Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	100,000	33	14	—	—	—
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate contracts with customers	902,068	8,069	36,501	938,872	6,594	52,102
Mirror contracts with counterparties	902,068	36,346	8,206	938,872	51,859	6,757
Risk participation agreements	340,822	58	1	321,055	66	1
Mortgage loan commitments:
Interest rate lock commitments	41,191	684	—	20,980	504	1
Forward sale commitments	76,213	78	513	50,117	18	711
Gross amounts		45,575	47,073		59,843	60,691
Less: amounts offset (2)		8,528	8,528		7,877	7,877
Derivative balances, net of offset		37,047	38,545		51,966	52,814
Less: collateral pledged (3)		—	—		—	—
Net amounts		$37,047	$38,545		$51,966	$52,814

(1)The fair value of derivative assets includes accrued interest receivable of $218 thousand and $239 thousand, respectively, at September 30, 2024 and December 31, 2023. There was no accrued interest payable included in the fair value of derivative liabilities at September 30, 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)	Amounts Recognized in Other Comprehensive Income (Loss), Net of Tax
	Three Months		Nine Months
Periods ended September 30,	2024	2023	2024	2023
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	($992)	$2,833	$4,059	$8,345
Interest rate collar	(116)	—	(147)	—
Total	($1,108)	$2,833	$3,912	$8,345

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 the Unaudited Consolidated Statements of Income
		Three Months		Nine Months
Periods ended September 30,	Statement of Income Location	2024	2023	2024	2023
Derivatives Designated as Cash Flow Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	Interest income: Interest and fees on loans	(2,164)	(2,164)	(6,441)	(7,065)
Interest rate swaps	Interest expense: FHLB advances	487	631	1,475	1,022
Derivatives Designated as Fair Value Hedging Instruments:
Interest rate risk management contracts:
Interest rate swaps	Interest income: Interest and fees on loans	19	—	19	—
Hedged item	Interest income: Interest and fees on loans	(19)	—	(19)	—
Derivatives not Designated as Hedging Instruments:
Loan related derivative contracts:
Interest rate contracts with customers	Loan related derivative income	$22,742	($18,684)	($2,615)	($28,044)
Mirror interest rate contracts with counterparties	Loan related derivative income	(22,733)	20,291	2,981	29,815
Risk participation agreements	Loan related derivative income	117	(525)	93	(493)
Mortgage loan commitments:
Interest rate lock commitments	Mortgage banking revenues	(20)	(17)	180	174
Forward sale commitments	Mortgage banking revenues	(432)	456	(189)	814
Total		($2,003)	($12)	($4,516)	($3,777)

For derivatives designated as cash flow hedging instruments in the table above, the amounts represent the pre-tax reclassifications from AOCL into earnings.