XML 65 R52.htm IDEA: XBRL DOCUMENT v3.19.1
Fair Value (Tables)
 3 Months Ended
Mar. 31, 2019
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assets and Liabilities Measured on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis, including financial assets and liabilities for which we have elected the fair value option, are summarized below:

 

 

 

 

 

 

 

Fair Value Measurements at March 31, 2019 Using

 

 

 

 

 

 

 

 

 

 

 

Significant

 

 

 

 

 

 

 

 

 

 

 

Quoted Prices in

 

 

Other

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

Carrying

 

 

Identical Assets

 

 

Inputs

 

 

Inputs

 

(dollars in thousands)

 

Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities

 

$

6,235

 

 

$

6,235

 

 

$

—

 

 

$

—

 

Investment securities available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury

 

 

9,777

 

 

 

9,777

 

 

 

—

 

 

 

—

 

U.S. government-sponsored entities and agencies

 

 

698,514

 

 

 

—

 

 

 

698,514

 

 

 

—

 

Mortgage-backed securities - Agency

 

 

2,560,703

 

 

 

—

 

 

 

2,560,703

 

 

 

—

 

States and political subdivisions

 

 

965,436

 

 

 

—

 

 

 

965,396

 

 

 

40

 

Pooled trust preferred securities

 

 

8,123

 

 

 

—

 

 

 

—

 

 

 

8,123

 

Other securities

 

 

327,219

 

 

 

30,640

 

 

 

296,579

 

 

 

—

 

Residential loans held for sale

 

 

14,082

 

 

 

—

 

 

 

14,082

 

 

 

—

 

Derivative assets

 

 

39,952

 

 

 

—

 

 

 

39,952

 

 

 

—

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative liabilities

 

 

11,546

 

 

 

—

 

 

 

11,546

 

 

 

—

 

 

 

 

 

 

 

 

Fair Value Measurements at December 31, 2018 Using

 

 

 

 

 

 

 

 

 

 

 

Significant

 

 

 

 

 

 

 

 

 

 

 

Quoted Prices in

 

 

Other

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

Carrying

 

 

Identical Assets

 

 

Inputs

 

 

Inputs

 

(dollars in thousands)

 

Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities

 

$

5,582

 

 

$

5,582

 

 

$

—

 

 

$

—

 

Investment securities available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury

 

 

5,301

 

 

 

5,301

 

 

 

—

 

 

 

—

 

U.S. government-sponsored entities and agencies

 

 

628,151

 

 

 

—

 

 

 

628,151

 

 

 

—

 

Mortgage-backed securities - Agency

 

 

2,209,295

 

 

 

—

 

 

 

2,209,295

 

 

 

—

 

States and political subdivisions

 

 

940,429

 

 

 

—

 

 

 

936,321

 

 

 

4,108

 

Pooled trust preferred securities

 

 

8,495

 

 

 

—

 

 

 

—

 

 

 

8,495

 

Other securities

 

 

331,745

 

 

 

30,259

 

 

 

301,486

 

 

 

—

 

Residential loans held for sale

 

 

14,911

 

 

 

—

 

 

 

14,911

 

 

 

—

 

Derivative assets

 

 

29,005

 

 

 

—

 

 

 

29,005

 

 

 

—

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative liabilities

 

 

12,550

 

 

 

—

 

 

 

12,550

 

 

 

—

 

 
Reconciliation of All Assets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

The table below presents a reconciliation of all assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3):

 

 

 

Pooled Trust

 

 

States and

 

 

 

Preferred

 

 

Political

 

(dollars in thousands)

 

Securities

 

 

Subdivisions

 

Three Months Ended March 31, 2019

 

 

 

 

 

 

 

 

Balance at beginning of period

 

$

8,495

 

 

$

4,108

 

Accretion (amortization) of discount

 

 

4

 

 

 

—

 

Sales/payments received

 

 

(15

)

 

 

(35

)

Increase (decrease) in fair value of securities

 

 

(361

)

 

 

—

 

Transfers out of Level 3

 

 

—

 

 

 

(4,033

)

Balance at end of period

 

$

8,123

 

 

$

40

 

 

 

 

 

 

 

 

 

 

Three Months Ended March 31, 2018

 

 

 

 

 

 

 

 

Balance at beginning of period

 

$

8,448

 

 

$

—

 

Accretion of discount

 

 

5

 

 

 

—

 

Sales/payments received

 

 

(288

)

 

 

—

 

Increase (decrease) in fair value of securities

 

 

30

 

 

 

—

 

Transfers into Level 3

 

 

—

 

 

 

4,061

 

Balance at end of period

 

$

8,195

 

 

$

4,061

 
Quantitative Information about Significant Unobservable Inputs Used in Fair Value Measurements

The table below provides quantitative information about significant unobservable inputs used in fair value measurements within Level 3 of the fair value hierarchy:

 

 

 

 

 

 

 

Valuation

 

Unobservable

 

Range (Weighted

 

(dollars in thousands)

 

Fair Value

 

 

Techniques

 

Input

 

Average)

 

March 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

Pooled trust preferred securities

 

$

8,123

 

 

Discounted cash flow

 

Constant prepayment rate (a)

 

0.00%

 

 

 

 

 

 

 

 

 

Additional asset defaults (b)

 

3.6% - 4.2% (4.0%)

 

 

 

 

 

 

 

 

 

Expected asset recoveries (c)

 

0.00%

 

State and political subdivisions

 

 

40

 

 

Discounted cash flow

 

No observable inputs

 

N/A

 

 

 

 

 

 

 

 

 

Local municipality issuance

 

 

 

 

 

 

 

 

 

 

 

 

Old National owns 100%

 

 

 

 

 

 

 

 

 

 

 

 

Carried at par

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

Pooled trust preferred securities

 

$

8,495

 

 

Discounted cash flow

 

Constant prepayment rate (a)

 

0.00%

 

 

 

 

 

 

 

 

 

Additional asset defaults (b)

 

6.8% - 8.5% (7.3%)

 

 

 

 

 

 

 

 

 

Expected asset recoveries (c)

 

0.00%

 

State and political subdivisions

 

 

4,108

 

 

Discounted cash flow

 

No observable inputs

 

N/A

 

 

 

 

 

 

 

 

 

Local municipality issuance

 

 

 

 

 

 

 

 

 

 

 

 

Old National owns 100%

 

 

 

 

 

 

 

 

 

 

 

 

Carried at par

 

 

 

 

(a)

Assuming no prepayments.

(b)

Each currently performing pool asset is assigned a default probability based on the banking environment, which is adjusted for specific issuer evaluation, of 0%, 50%, or 100%.

(c)

Each currently defaulted pool asset is assigned a recovery probability based on specific issuer evaluation of 0%, 25%, or 100%.

The table below provides quantitative information about significant unobservable inputs used in fair value measurements within Level 3 of the fair value hierarchy:

 

 

 

 

 

 

 

Valuation

 

Unobservable

 

Range (Weighted

 

(dollars in thousands)

 

Fair Value

 

 

Techniques

 

Input

 

Average)

 

March 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

Collateral Dependent Impaired

   Loans

 

 

 

 

 

 

 

 

 

 

 

 

Commercial loans

 

$

4,781

 

 

Fair value of

 

Discount for type of property,

 

0% - 90% (41%)

 

 

 

 

 

 

 

collateral

 

age of appraisal, and current

 

 

 

 

 

 

 

 

 

 

 

 

status

 

 

 

 

Commercial real estate loans

 

 

17,146

 

 

Fair value of

 

Discount for type of property,

 

0% - 50% (35%)

 

 

 

 

 

 

 

collateral

 

age of appraisal and current

 

 

 

 

 

 

 

 

 

 

 

 

status

 

 

 

 

Foreclosed Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commercial

 

 

225

 

 

Fair value of

 

Discount for type of property,

 

8%

 

 

 

 

 

 

 

collateral

 

age of appraisal, and current status

 

 

 

 

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

Collateral Dependent Impaired

   Loans

 

 

 

 

 

 

 

 

 

 

 

 

Commercial loans

 

$

7,242

 

 

Fair value of

 

Discount for type of property,

 

0% - 90% (35%)

 

 

 

 

 

 

 

collateral

 

age of appraisal, and current

 

 

 

 

 

 

 

 

 

 

 

 

status

 

 

 

 

Commercial real estate loans

 

 

29,125

 

 

Fair value of

 

Discount for type of property,

 

0% - 50% (35%)

 

 

 

 

 

 

 

collateral

 

age of appraisal and current

 

 

 

 

 

 

 

 

 

 

 

 

status

 

 

 

 

Foreclosed Assets

 

 

 

 

 

 

 

 

 

 

 

 

Residential

 

 

68

 

 

Fair value of

 

Discount for type of property,

 

15% - 16% (15%)

 

 

 

 

 

 

 

collateral

 

age of appraisal, and current status

 

 

 

 

 
Assets Measured at Fair Value on a Non-Recurring Basis

Assets measured at fair value on a non-recurring basis at March 31, 2019 are summarized below:

 

 

 

 

 

 

 

Fair Value Measurements at March 31, 2019 Using

 

 

 

 

 

 

 

 

 

 

 

Significant

 

 

 

 

 

 

 

 

 

 

 

Quoted Prices in

 

 

Other

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

Carrying

 

 

Identical Assets

 

 

Inputs

 

 

Inputs

 

(dollars in thousands)

 

Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Collateral Dependent Impaired Loans:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial loans

 

$

4,781

 

 

$

—

 

 

$

—

 

 

$

4,781

 

Commercial real estate loans

 

 

17,146

 

 

 

—

 

 

 

—

 

 

 

17,146

 

Foreclosed Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial

 

 

225

 

 

 

—

 

 

 

—

 

 

 

225

 

Loan servicing rights

 

 

93

 

 

 

—

 

 

 

93

 

 

 

—

 

Assets measured at fair value on a non-recurring basis at December 31, 2018 are summarized below:

 

 

 

 

 

 

 

Fair Value Measurements at December 31, 2018 Using

 

 

 

 

 

 

 

 

 

 

 

Significant

 

 

 

 

 

 

 

 

 

 

 

Quoted Prices in

 

 

Other

 

 

Significant

 

 

 

 

 

 

 

Active Markets for

 

 

Observable

 

 

Unobservable

 

 

 

Carrying

 

 

Identical Assets

 

 

Inputs

 

 

Inputs

 

(dollars in thousands)

 

Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Collateral Dependent Impaired Loans:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial loans

 

$

7,242

 

 

$

—

 

 

$

—

 

 

$

7,242

 

Commercial real estate loans

 

 

29,125

 

 

 

—

 

 

 

—

 

 

 

29,125

 

Foreclosed Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential

 

 

68

 

 

 

—

 

 

 

—

 

 

 

68

 

Loan servicing rights

 

 

104

 

 

 

—

 

 

 

104

 

 

 

—

 
Schedule of Difference Between the Aggregate Fair Value and the Aggregate Remaining Principal Balance

The difference between the aggregate fair value and the aggregate remaining principal balance for loans for which the fair value option has been elected at March 31, 2019 and December 31, 2018 was as follows:

 

 

 

Aggregate

 

 

 

 

 

 

Contractual

 

(dollars in thousands)

 

Fair Value

 

 

Difference

 

 

Principal

 

March 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

Residential loans held for sale

 

$

14,082

 

 

$

570

 

 

$

13,512

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

Residential loans held for sale

 

$

14,911

 

 

$

475

 

 

$

14,436

 

The following table presents the amount of gains and losses from fair value changes included in income before income taxes for financial assets carried at fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Changes

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

in Fair Values

 

 

 

Other

 

 

 

 

 

 

 

 

 

 

Included in

 

 

 

Gains and

 

 

Interest

 

 

Interest

 

 

Current Period

 

(dollars in thousands)

 

(Losses)

 

 

Income

 

 

(Expense)

 

 

Earnings

 

Three Months Ended March 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential loans held for sale

 

$

90

 

 

$

5

 

 

$

—

 

 

$

95

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended March 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Residential loans held for sale

 

$

35

 

 

$

—

 

 

$

(4

)

 

$

31

 
Carrying Amounts and Estimated Fair Values of Financial Instruments, Not Carried at Fair Value

The carrying amounts and estimated fair values of financial instruments not carried at fair value at March 31, 2019 and December 31, 2018 were as follows:

 

 

 

 

 

 

 

Fair Value Measurements at March 31, 2019 Using

 

 

 

 

 

 

 

Quoted Prices in

 

 

Significant

 

 

 

 

 

 

 

 

 

 

 

Active Markets

 

 

Other

 

 

Significant

 

 

 

 

 

 

 

for Identical

 

 

Observable

 

 

Unobservable

 

 

 

Carrying

 

 

Assets

 

 

Inputs

 

 

Inputs

 

(dollars in thousands)

 

Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash, due from banks, money market,

   and other interest-earning investments

 

$

323,116

 

 

$

323,116

 

 

$

—

 

 

$

—

 

Investment securities held-to-maturity:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government-sponsored entities and agencies

 

 

74,195

 

 

 

—

 

 

 

74,186

 

 

 

—

 

Mortgage-backed securities - Agency

 

 

123,627

 

 

 

—

 

 

 

123,858

 

 

 

—

 

State and political subdivisions

 

 

287,012

 

 

 

—

 

 

 

295,833

 

 

 

—

 

Loans, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial

 

 

3,022,384

 

 

 

—

 

 

 

—

 

 

 

2,961,284

 

Commercial real estate

 

 

4,998,451

 

 

 

—

 

 

 

—

 

 

 

4,915,521

 

Residential real estate

 

 

2,241,583

 

 

 

—

 

 

 

—

 

 

 

2,205,698

 

Consumer credit

 

 

1,751,000

 

 

 

—

 

 

 

—

 

 

 

1,715,516

 

Accrued interest receivable

 

 

86,279

 

 

 

34

 

 

 

25,225

 

 

 

61,020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deposits:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noninterest-bearing demand deposits

 

$

3,903,314

 

 

$

3,903,314

 

 

$

—

 

 

$

—

 

Checking, NOW, savings, and money market

   interest-bearing deposits

 

 

8,464,358

 

 

 

8,464,358

 

 

 

—

 

 

 

—

 

Time deposits

 

 

2,061,598

 

 

 

—

 

 

 

2,046,438

 

 

 

—

 

Federal funds purchased and interbank borrowings

 

 

325,030

 

 

 

325,030

 

 

 

—

 

 

 

—

 

Securities sold under agreements to repurchase

 

 

342,480

 

 

 

342,480

 

 

 

—

 

 

 

—

 

FHLB advances

 

 

1,719,944

 

 

 

—

 

 

 

—

 

 

 

1,731,524

 

Other borrowings

 

 

251,584

 

 

 

—

 

 

 

254,441

 

 

 

—

 

Accrued interest payable

 

 

7,961

 

 

 

—

 

 

 

7,961

 

 

 

—

 

Standby letters of credit

 

 

482

 

 

 

—

 

 

 

—

 

 

 

482

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Off-Balance Sheet Financial Instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commitments to extend credit

 

$

—

 

 

$

—

 

 

$

—

 

 

$

4,105

 

 

 

 

 

 

 

 

Fair Value Measurements at December 31, 2018 Using

 

 

 

 

 

 

 

Quoted Prices in

 

 

Significant

 

 

 

 

 

 

 

 

 

 

 

Active Markets

 

 

Other

 

 

Significant

 

 

 

 

 

 

 

for Identical

 

 

Observable

 

 

Unobservable

 

 

 

Carrying

 

 

Assets

 

 

Inputs

 

 

Inputs

 

(dollars in thousands)

 

Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash, due from banks, money market,

   and other interest-earning investments

 

$

317,165

 

 

$

317,165

 

 

$

—

 

 

$

—

 

Investment securities held-to-maturity:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government-sponsored entities and agencies

 

 

73,986

 

 

 

—

 

 

 

72,359

 

 

 

 

 

Mortgage-backed securities - Agency

 

 

127,120

 

 

 

—

 

 

 

124,409

 

 

 

—

 

State and political subdivisions

 

 

305,228

 

 

 

—

 

 

 

309,335

 

 

 

—

 

Loans, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial

 

 

3,211,228

 

 

 

—

 

 

 

—

 

 

 

3,161,132

 

Commercial real estate

 

 

4,935,381

 

 

 

—

 

 

 

—

 

 

 

4,781,294

 

Residential real estate

 

 

2,246,127

 

 

 

—

 

 

 

—

 

 

 

2,225,853

 

Consumer credit

 

 

1,795,695

 

 

 

—

 

 

 

—

 

 

 

1,773,352

 

Accrued interest receivable

 

 

89,464

 

 

 

13

 

 

 

27,580

 

 

 

61,871

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deposits:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noninterest-bearing demand deposits

 

$

3,965,380

 

 

$

3,965,380

 

 

$

—

 

 

$

—

 

Checking, NOW, savings, and money market

   interest-bearing deposits

 

 

8,360,313

 

 

 

8,360,313

 

 

 

—

 

 

 

—

 

Time deposits

 

 

2,024,256

 

 

 

—

 

 

 

2,002,187

 

 

 

—

 

Federal funds purchased and interbank borrowings

 

 

270,135

 

 

 

270,135

 

 

 

—

 

 

 

—

 

Securities sold under agreements to repurchase

 

 

362,294

 

 

 

362,294

 

 

 

—

 

 

 

—

 

FHLB advances

 

 

1,613,481

 

 

 

—

 

 

 

—

 

 

 

1,611,103

 

Other borrowings

 

 

247,883

 

 

 

—

 

 

 

248,065

 

 

 

—

 

Accrued interest payable

 

 

9,871

 

 

 

—

 

 

 

9,871

 

 

 

—

 

Standby letters of credit

 

 

525

 

 

 

—

 

 

 

—

 

 

 

525

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Off-Balance Sheet Financial Instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commitments to extend credit

 

$

—

 

 

$

—

 

 

$

—

 

 

$

3,115