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Derivative Financial Instruments (Tables) | 12 Months Ended
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Dec. 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
December 31, 2020 |  |  |  |  |  |  |
Derivatives designated as hedging instruments |  |  |  |  |  |  |
Interest rate contracts | Other assets |  | $ | 17,202 |  |  | Other liabilities |  | $ | 1,988 |
Total derivatives designated as hedging instruments |  |  | $ | 17,202 |  |  |  |  | $ | 1,988 |
Derivatives not designated as hedging instruments |  |  |  |  |  |  |
Interest rate contracts (1) | Other assets |  | $ | 113,300 |  |  | Other liabilities |  | $ | 13,676 |
Mortgage contracts | Other assets |  | 9,375 |  |  | Other liabilities |  | 2,335 |
Foreign currency contracts | Other assets |  | 324 |  |  | Other liabilities |  | 188 |
Total derivatives not designated as hedging instruments |  |  | $ | 122,999 |  |  |  |  | $ | 16,199 |
Total |  |  | $ | 140,201 |  |  |  |  | $ | 18,187 |
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 $100.4 million as of December 31, 2020 and $31.6 million as of December 31, 2019.
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) | 2020 |  | 2019
Notional amounts | $ | 726,516 |  |  | $ | 130,500 |
Weighted average pay rates | 0.63 | % |  | 1.82 | %
Weighted average receive rates | 1.23 | % |  | 2.20 | %
Weighted average maturity (in years) | 6.9 |  | 2.8
Fair value of swaps | $ | 9,766 |  |  | $ | 1,555 |
Summary information about the interest rate swaps designated as cash flow hedges is as follows:
| December 31,
(dollars in thousands) | 2020 |  | 2019
Notional amounts | $ | 325,000 |  |  | $ | 25,000 |
Weighted average pay rates | 0.74 | % |  | 3.52 | %
Weighted average receive rates | 0.39 | % |  | 1.93 | %
Weighted average maturity (in years) | 3.5 |  | 2.1
Unrealized gains (losses) | $ | (1,188) |  |  | $ | (954) |
Summary information about the collars designated as cash flow hedges is as follows:
| December 31,
(dollars in thousands) | 2020 |  | 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 | 0.15 | % |  | 1.70 | %
Weighted average maturity (in years) | 0.8 |  | 1.9
Unrealized gains (losses) | $ | 5,244 |  |  | $ | 3,691 |
Summary information about the interest rate floor transactions designated as cash flow hedges is as follows:
(dollars in thousands) | December 31, 2020
Notional amounts | $ | 100,000 |
Weighted average floor strike rate | 0.75 | %
Weighted average rates | 0.15 | %
Weighted average maturity (in years) | 2.3
Unrealized gains (losses) | $ | 1,392 |
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 |
Year Ended December 31, 2020 |  |  |  |  |  |  |  |  |
Interest rate contracts | Interest income/(expense) |  | $ | 7,238 |  |  | Fixed-rate debt |  | Interest income/(expense) |  | $ | (7,283) |
Interest rate contracts | Interest income/(expense) |  | 973 |  |  | Fixed-rate investment securities |  | Interest income/(expense) |  | (967) |
Total |  |  | $ | 8,211 |  |  |  |  |  |  | $ | (8,250) |
Year Ended December 31, 2019 |  |  |  |  |  |  |  |  |
Interest rate contracts | Interest income/(expense) |  | $ | 12,577 |  |  | Fixed-rate debt |  | Interest income/(expense) |  | $ | (12,587) |
Year Ended December 31, 2018 |  |  |  |  |  |  |  |  |
Interest rate contracts | Interest income/(expense) |  | $ | 7,662 |  |  | Fixed-rate debt |  | Interest income/(expense) |  | $ | (7,634) |
The effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income were as follows:
|  |  | Years Ended December 31, |  | Years Ended December 31,
(dollars in thousands) |  |  | 2020 |  | 2019 |  | 2018 |  | 2020 |  | 2019 |  | 2018
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) |  | $ | 8,261 |  |  | $ | (543) |  |  | $ | 5,145 |  |  | $ | 5,153 |  |  | $ | 596 |  |  | $ | (150) |
The effect of derivatives not designated as hedging instruments on the consolidated statements of income were as follows:
|  |  | Years Ended December 31,
(dollars in thousands) |  |  | 2020 |  | 2019 |  | 2018
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) |  | $ | (551) |  |  | $ | (174) |  |  | $ | (7) |
Mortgage contracts | Mortgage banking revenue |  | 5,692 |  |  | 789 |  |  | (189) |
Foreign currency contracts | Other income/(expense) |  | 13 |  |  | 50 |  |  | 42 |
Total |  |  | $ | 5,154 |  |  | $ | 665 |  |  | $ | (154) |
(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 |

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