Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Summary of Fair Value of Derivative Financial Instruments

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

	Balance			Balance
	Sheet	Fair		Sheet	Fair
(dollars in thousands)	Location	Value		Location	Value
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
December 31, 2018
Derivatives designated as hedging instruments
Interest rate contracts	Other assets	$	12,741	Other liabilities	$	1,603
Total derivatives designated as hedging instruments		$	12,741		$	1,603
Derivatives not designated as hedging instruments
Interest rate contracts (1)	Other assets	$	15,278	Other liabilities	$	10,562
Mortgage contracts	Other assets		874	Other liabilities		316
Foreign currency contracts	Other assets		112	Other liabilities		69
Total derivatives not designated as hedging instruments		$	16,264		$	10,947
Total		$	29,005		$	12,550

(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 $31.6 million as of December 31, 2019 and $4.8 million as of December 31, 2018.

Summary of Interest Rate Swaps Designated as Fair Value Hedges

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

	December 31,
(dollars in thousands)	2019				2018
Notional amounts	$	25,000			$	525,000
Weighted average pay rates		3.52		%		2.21	%
Weighted average receive rates		1.93		%		2.63	%
Weighted average maturity (in years)		2.1				1.4
Unrealized gains (losses)	$	(954	)		$	146

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

	December 31,
(dollars in thousands)	2019			2018
Notional amounts	$	300,000		$	200,000
Weighted average cap rates		3.21	%		3.44	%
Weighted average floor rates		2.21	%		2.38	%
Weighted average rates		1.70	%		2.35	%
Weighted average maturity (in years)		1.9			2.8
Unrealized gains (losses)	$	3,691		$	1,309

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 for the years ended December 31 were as follows:

(dollars in thousands)							Gain (Loss)
							Recognized
	Location of Gain or	Gain (Loss)			Hedged Items	Location of Gain or	in Income on
Derivatives in	(Loss) Recognized in	Recognized			in Fair Value	(Loss) Recognized in	Related
Fair Value Hedging	in Income on	in Income on			Hedging	in Income on Related	Hedged
Relationships	Derivative	Derivative			Relationships	Hedged Item	Items
2019
Interest rate contracts	Interest income / (expense)	$	12,577		Fixed-rate debt	Interest income / (expense)	$	(12,587	)
2018
Interest rate contracts	Interest income / (expense)	$	7,662		Fixed-rate debt	Interest income / (expense)	$	(7,634	)
2017
Interest rate contracts	Interest income / (expense)	$	(836	)	Fixed-rate debt	Interest income / (expense)	$	1,006

The effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income for the years ended December 31 were as follows:

		Years Ended December 31,							Years Ended December 31,
(dollars in thousands)		2019			2018		2017		2019		2018			2017
		Gain (Loss)							Gain (Loss)
Derivatives in	Location of Gain or	Recognized in Other							Reclassified from
Cash Flow Hedging	(Loss) Reclassified	Comprehensive							AOCI into
Relationships	from AOCI into Income	Income on Derivative							Income
Interest rate contracts	Interest income/(expense)	$	(543	)	$	5,145	$	927	$	596	$	(150	)	$	(6,135	)

The effect of derivatives not designated as hedging instruments on the consolidated statements of income for the years ended December 31 were as follows:

		Years Ended December 31,
(dollars in thousands)		2019			2018			2017
	Location of Gain or (Loss)	Gain (Loss)
Derivatives Not Designated as	Recognized in Income on	Recognized in Income on
Hedging Instruments	Derivative	Derivative
Interest rate contracts (1)	Other income/(expense)	$	(174	)	$	(7	)	$	56
Mortgage contracts	Mortgage banking revenue		789			(189	)		(1,995	)
Foreign currency contracts	Other income/(expense)		50			42			—
Total		$	665		$	(154	)	$	(1,939	)

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

Fixed Interest Swap [Member]

Summary of Interest Rate Swaps Designated as Fair Value Hedges

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

	December 31,
(dollars in thousands)	2019			2018
Notional amounts	$	130,500		$	757,000
Weighted average pay rates		1.82	%		2.48	%
Weighted average receive rates		2.20	%		2.70	%
Weighted average maturity (in years)		2.8			3.9
Fair value of swaps	$	1,555		$	9,683

Interest Rate Floor [Member]

Schedule of Floor Spread Transactions Designated as Cash Flow Hedges

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

	December 31,
(dollars in thousands)	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