Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Interest Rate Derivatives

The following table summarizes Old National’s derivatives designated as hedges:

	March 31, 2022						December 31, 2021
			Fair Value						Fair Value
(dollars in thousands)	Notional		Assets (1)		Liabilities (2)		Notional		Assets (1)		Liabilities (2)
Cash flow hedges
Interest rate collars and floors on loan pools	$	500,000	$	62	$	17,145	$	600,000	$	459	$	2,173
Interest rate swaps on borrowings (3)	150,000		—		—		150,000		4,316		—
Fair value hedges
Interest rate swaps on investment securities (3)	909,957		—		—		909,957		10,961		14,643
Interest rate swaps on borrowings (3)	377,500		305		—		377,500		2,475		96
Total			$	367	$	17,145			$	18,211	$	16,912

(1)Derivative assets are included in other assets on the balance sheet.

(2)Derivative liabilities are included in other liabilities on the balance sheet.

(3)The fair values of certain counterparty interest rate swaps are zero due to the settlement of centrally-cleared variation margin rules.

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)						Gain (Loss) Recognized in Income on Related Hedged Items
Derivatives in Fair Value Hedging Relationships	Location of Gain or (Loss) Recognized 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
Three Months Ended March 31, 2022
Interest rate contracts	Interest income/(expense)	$	(4,833)	Fixed-rate debt	Interest income/(expense)	$	4,956
Interest rate contracts	Interest income/(expense)	57,654		Fixed-rate investment securities	Interest income/(expense)	(58,029)
Total		$	52,821			$	(53,073)
Three Months Ended March 31, 2021
Interest rate contracts	Interest income/(expense)	$	(1,575)	Fixed-rate debt	Interest income/(expense)	$	1,578
Interest rate contracts	Interest income/(expense)	45,839		Fixed-rate investment securities	Interest income/(expense)	(45,544)
Total		$	44,264			$	(43,966)

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)		2022		2021		2022		2021
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)	$	(9,506)	$	4,048	$	669	$	149

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)		2022		2021
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)	$	501	$	385
Mortgage contracts	Mortgage banking revenue	130		3,261
Foreign currency contracts	Other income/(expense)	(28)		36
Total		$	603	$	3,682

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

Summary of Derivatives Not Designated as Hedging Instruments

The following table summarizes Old National’s derivatives not designated as hedges:

	March 31, 2022						December 31, 2021
			Fair Value						Fair Value
(dollars in thousands)	Notional		Assets (1)		Liabilities (2)		Notional		Assets (1)		Liabilities (2)
Interest rate lock commitments	$	114,827	$	—	$	439	$	90,731	$	2,352	$	—
Forward mortgage loan contracts	114,543		3,162		—		126,107		242		—
Customer interest rate swaps	4,802,134		19,911		117,852		2,433,177		52,439		11,658
Counterparty interest rate swaps (3)	4,802,134		32,527		5,438		2,433,177		583		12,956
Customer foreign currency forward contracts	10,531		357		—		10,292		399		—
Counterparty foreign currency forward contracts	10,458		—		324		10,205		—		346
Total			$	55,957	$	124,053			$	56,015	$	24,960

(1)Derivative assets are included in other assets on the balance sheet.

(2)Derivative liabilities are included in other liabilities on the balance sheet.

(3)The fair values of certain counterparty interest rate swaps are zero due to the settlement of centrally-cleared variation margin rules.