Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Fair Value of Derivative Financial Instruments

The following table summarizes the fair value of derivative financial instruments utilized by Old National:

(dollars in thousands)	Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
March 31, 2020
Derivatives designated as hedging instruments
Interest rate contracts	Other assets	$	21,630	Other liabilities	$	1,443
Total derivatives designated as hedging instruments		$	21,630		$	1,443
Derivatives not designated as hedging instruments
Interest rate contracts (1)	Other assets	$	114,839	Other liabilities	$	26,630
Mortgage contracts	Other assets	13,081		Other liabilities	6,913
Foreign currency contracts	Other assets	323		Other liabilities	233
Total derivatives not designated as hedging instruments		$	128,243		$	33,776
Total		$	149,873		$	35,219
December 31, 2019
Derivatives designated as hedging instruments
Interest rate contracts	Other assets	$	7,157	Other liabilities	$	1,046
Total derivatives designated as hedging instruments		$	7,157		$	1,046
Derivatives not designated as hedging instruments
Interest rate contracts (1)	Other assets	$	42,224	Other liabilities	$	10,883
Mortgage contracts	Other assets	1,702		Other liabilities	354
Foreign currency contracts	Other assets	218		Other liabilities	110
Total derivatives not designated as hedging instruments		$	44,144		$	11,347
Total		$	51,301		$	12,393

(1)The fair values of counterparty interest rate swaps are zero due to the settlement of centrally-cleared variation margin rules.  The net adjustment was $88.9 million as of March 31, 2020 and $31.6 million as of December 31, 2019.

Summary of Interest Rate Derivatives

Summary information about the interest rate swaps designated as fair value hedges is as follows:

(dollars in thousands)	March 31, 2020			December 31, 2019
Notional amounts	$	380,500		$	130,500
Weighted average pay rates	0.33		%	1.82		%
Weighted average receive rates	1.33		%	2.20		%
Weighted average maturity (in years)	2.9			2.8
Fair value of swaps	$	10,797		$	1,555

Summary information about the interest rate swaps designated as cash flow hedges is as follows: 

(dollars in thousands)	March 31, 2020			December 31, 2019
Notional amounts	$	125,000		$	25,000
Weighted average pay rates	1.11		%	3.52		%
Weighted average receive rates	1.46		%	1.93		%
Weighted average maturity (in years)	1.8			2.1
Unrealized gains (losses)	$	(1,443)		$	(954)

Summary information about the collars designated as cash flow hedges is as follows:

(dollars in thousands)	March 31, 2020			December 31, 2019
Notional amounts	$	300,000		$	300,000
Weighted average cap rates	3.21		%	3.21		%
Weighted average floor rates	2.21		%	2.21		%
Weighted average rates	1.25		%	1.70		%
Weighted average maturity (in years)	1.6			1.9
Unrealized gains (losses)	$	9,214		$	3,691

Summary information about the interest rate floor transactions designated as cash flow hedges is as follows:

(dollars in thousands)	March 31, 2020
Notional amounts	$	100,000
Weighted average floor strike rate	0.75		%
Weighted average rates	0.99		%
Weighted average maturity (in years)	3.0
Unrealized gains (losses)	$	1,619

Schedule Of Derivative Instruments Effect On Consolidated Statement Of Income

The effect of derivative instruments in fair value hedging relationships on the consolidated statements of income were as follows:

(dollars in thousands)	Location of Gain or (Loss) Recognized in in Income on Derivative	Gain (Loss) Recognized in Income on Derivative		Hedged Items in Fair Value Hedging Relationships	Location of Gain or (Loss) Recognized in in Income on Related Hedged Item	Gain (Loss) Recognized in Income on Related Hedged Items
Derivatives in Fair Value Hedging Relationships
Three Months Ended March 31, 2020
Interest rate contracts	Interest income/(expense)	$	9,241	Fixed-rate debt	Interest income/(expense)	$	(9,228)
Three Months Ended March 31, 2019
Interest rate contracts	Interest income/(expense)	$	6,552	Fixed-rate debt	Interest income/(expense)	$	(6,548)

The effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income were as follows:

		Three Months Ended March 31,				Three Months Ended March 31,
(dollars in thousands)		2020		2019		2020		2019
Derivatives in Cash Flow Hedging Relationships	Location of Gain or (Loss) Reclassified from AOCI into Income	Gain (Loss) Recognized in Other Comprehensive Income on Derivative				Gain (Loss) Reclassified from AOCI into Income
Interest rate contracts	Interest income/(expense)	$	7,803	$	(392)	$	431	$	385

The effect of derivatives not designated as hedging instruments on the consolidated statements of income were as follows:

		Three Months Ended March 31,
(dollars in thousands)		2020		2019
Derivatives Not Designated as Hedging Instruments	Location of Gain or (Loss) Recognized in Income on Derivative	Gain (Loss) Recognized in Income on Derivative
Interest rate contracts (1)	Other income/(expense)	$	(466)	$	(37)
Mortgage contracts	Mortgage banking revenue	4,820		1,022
Foreign currency contracts	Other income/(expense)	(19)		3
Total		$	4,335	$	988

(1)Includes the valuation differences between the customer and offsetting swaps.

Schedule of Floor Spread Transactions Designated as Cash Flow Hedges

Summary information about the floor spread transactions designated as cash flow hedges at December 31, 2019 was as follows:

(dollars in thousands)	December 31, 2019
Notional amounts	$	210,000
Weighted average purchased floor strike rate	2.00		%
Weighted average sold floor rate	1.00		%
Weighted average rate	1.70		%
Weighted average maturity (in years)	2.1
Unrealized gains (losses)	$	1,820