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Fair Value (Tables) | 12 Months Ended
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Dec. 31, 2020
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 December 31, 2020 Using
(dollars in thousands) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3)
Financial Assets |  |  |  |
Equity securities | $ | 2,547 |  | $ | 2,547 |  | $ | — |  | $ | — |
Investment securities available-for-sale: |  |  |  |
U.S. Treasury | 10,208 |  | 10,208 |  | — |  | — |
U.S. government-sponsored entities and agencies | 841,988 |  | — |  | 841,988 |  | — |
Mortgage-backed securities - Agency | 3,339,098 |  | — |  | 3,339,098 |  | — |
States and political subdivisions | 1,492,162 |  | — |  | 1,492,162 |  | — |
Pooled trust preferred securities | 7,913 |  | — |  | — |  | 7,913 |
Other securities | 278,746 |  | — |  | 278,746 |  | — |
Residential loans held for sale | 63,250 |  | — |  | 63,250 |  | — |
Derivative assets | 140,201 |  | — |  | 140,201 |  | — |
Financial Liabilities |  |  |  |
Derivative liabilities | 18,187 |  | — |  | 18,187 |  | — |
|  | Fair Value Measurements at December 31, 2019 Using
(dollars in thousands) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3)
Financial Assets |  |  |  |
Equity securities | $ | 6,842 |  | $ | 6,842 |  | $ | — |  | $ | — |
Investment securities available-for-sale: |  |  |  |
U.S. Treasury | 17,682 |  | 17,682 |  | — |  | — |
U.S. government-sponsored entities and agencies | 592,984 |  | — |  | 592,984 |  | — |
Mortgage-backed securities - Agency | 3,183,861 |  | — |  | 3,183,861 |  | — |
States and political subdivisions | 1,275,643 |  | — |  | 1,275,603 |  | 40 |
Pooled trust preferred securities | 8,222 |  | — |  | — |  | 8,222 |
Other securities | 306,699 |  | 31,169 |  | 275,530 |  | — |
Residential loans held for sale | 46,898 |  | — |  | 46,898 |  | — |
Derivative assets | 51,301 |  | — |  | 51,301 |  | — |
Financial Liabilities |  |  |  |
Derivative liabilities | 12,393 |  | — |  | 12,393 |  | — |
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):
(dollars in thousands) | Pooled Trust Preferred Securities | State and Political Subdivisions
Year Ended December 31, 2020 |  |
Balance at beginning of period | $ | 8,222 |  | $ | 40 |
Accretion (amortization) of discount | 15 |  | — |
Sales/payments received | (64) |  | (40) |
Increase (decrease) in fair value of securities | (260) |  | — |
Balance at end of period | $ | 7,913 |  | $ | — |
Year Ended December 31, 2019 |  |
Balance at beginning of period | $ | 8,495 |  | $ | 4,108 |
Accretion (amortization) of discount | 12 |  | — |
Sales/payments received | (62) |  | (35) |
Increase (decrease) in fair value of securities | (223) |  | — |
Transfers out of Level 3 | — | (4,033) |
Balance at end of period | $ | 8,222 |  | $ | 40 |
Year Ended December 31, 2018 |  |
Balance at beginning of period | $ | 8,448 |  | $ | — |
Accretion (amortization) of discount | 17 |  | (56) |
Sales/payments received | (338) |  | — |
Increase (decrease) in fair value of securities | 368 |  | 28 |
Transfers into Level 3 | — | 4,136 |
Balance at end of period | $ | 8,495 |  | $ | 4,108 |
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:
(dollars in thousands) | Fair Value | Valuation Techniques | Unobservable Input | Range (Weighted Average) (4)
December 31, 2020 |  |  |  |
Pooled trust preferred securities | $ | 7,913 |  | Discounted cash flow | Constant prepayment rate (1) | 0.0%
|  |  | Additional asset defaults (2) | 6.0% - 8.7% (6.8%)
|  |  | Expected asset recoveries (3) | 0.0% - 23.2% (7.3%)
December 31, 2019 |  |  |  |
Pooled trust preferred securities | $ | 8,222 |  | Discounted cash flow | Constant prepayment rate (1) | 0.0%
|  |  | Additional asset defaults (2) | 6.2% - 8.0% (6.8%)
|  |  | Expected asset recoveries (3) | 0.0% - 19.1% (6.0%)
State and political subdivisions | 40 |  | Discounted cash flow | No observable inputs | N/A
|  |  | Local municipality issuances |
|  |  | Old National owns 100% |
|  |  | Carried at par |
(1)Assuming no prepayments. (2)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%. (3)Each currently defaulted pool asset is assigned a recovery probability based on specific issuer evaluation of 0%, 25%, or 100%. (4)Unobservable inputs are weighted by the estimated number of defaults and current performing collateral of the instruments. The table below provides quantitative information about significant unobservable inputs used in fair value measurements within Level 3 of the fair value hierarchy:
(dollars in thousands) | Fair Value | Valuation Techniques | Unobservable Input | Range (Weighted Average)(2)
December 31, 2020 |  |  |  |
Collateral Dependent Loans |  |  |  |
Commercial loans | $ | 10,747 |  | Discounted cash flow | Discount for type of property, age of appraisal, and current status | 0% - 33% (12%)
Commercial real estate loans | 40,653 |  | Discounted cash flow | Discount for type of property, age of appraisal, and current status | 0% -18% (7%)
December 31, 2019 |  |  |  |
Collateral Dependent Loans |  |  |  |
Commercial loans | $ | 10,361 |  | Fair value of collateral | Discount for type of property, age of appraisal, and current status | 0% - 50% (13%)
Commercial real estate loans (1) | 11,610 |  | Fair value of collateral | Discount for type of property, age of appraisal, and current status | 45%
Foreclosed Assets |  |  |  |
Commercial real estate (1) | 21 |  | Fair value of collateral | Discount for type of property, age of appraisal, and current status | 43%
Residential (1) | 22 |  | Fair value of collateral | Discount for type of property, age of appraisal, and current status | 21%
(1)There was only one collateral dependent commercial real estate loan, one foreclosed commercial real estate asset, and one foreclosed residential asset at December 31, 2019, so no range or weighted average is reported. (2)Unobservable inputs were weighted by the relative fair value of the instruments.
Assets Measured at Fair Value on a Non-Recurring Basis | Assets measured at fair value on a non-recurring basis are summarized below:
|  | Fair Value Measurements at December 31, 2020 Using
(dollars in thousands) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3)
Collateral Dependent Loans: |  |  |  |
Commercial loans | $ | 10,747 |  | $ | — |  | $ | — |  | $ | 10,747 |
Commercial real estate loans | 40,653 |  | — |  | — |  | 40,653 |
Loan servicing rights | 26,717 |  | — |  | 26,717 |  | — |
Assets measured at fair value on a non-recurring basis at December 31, 2019 are summarized below:
|  | Fair Value Measurements at December 31, 2019 Using
(dollars in thousands) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3)
Collateral Dependent Loans: |  |  |  |
Commercial loans | $ | 10,361 |  | $ | — |  | $ | — |  | $ | 10,361 |
Commercial real estate loans | 11,610 |  | — |  | — |  | 11,610 |
Foreclosed Assets: |  |  |  |
Commercial real estate | 21 |  | — |  | — |  | 21 |
Residential | 22 |  | — |  | — |  | 22 |
Loan servicing rights | 4,662 |  | — |  | 4,662 |  | — |
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 was as follows:
(dollars in thousands) | Aggregate Fair Value | Difference | Contractual Principal
December 31, 2020 |  |  |
Residential loans held for sale | $ | 63,250 |  | $ | 3,485 |  | $ | 59,765 |
December 31, 2019 |  |  |
Residential loans held for sale | $ | 46,898 |  | $ | 1,529 |  | $ | 45,369 |
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:
(dollars in thousands) | Other Gains and (Losses) | Interest Income | Interest (Expense) | Total Changes in Fair Values Included in Current Period Earnings
Year Ended December 31, 2020 |  |  |  |
Residential loans held for sale | $ | 1,962 |  | $ | 18 |  | $ | (24) |  | $ | 1,956 |
Year Ended December 31, 2019 |  |  |  |
Residential loans held for sale | $ | 1,036 |  | $ | 18 |  | $ | — |  | $ | 1,054 |
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 were as follows:
|  | Fair Value Measurements at December 31, 2020 Using
(dollars in thousands) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3)
Financial Assets |  |  |  |
Cash, due from banks, money market, and other interest-earning investments | $ | 589,712 |  | $ | 589,712 |  | $ | — |  | $ | — |
Loans, net: |  |  |  |
Commercial | 3,922,642 |  | — |  | — |  | 3,912,948 |
Commercial real estate | 5,867,795 |  | — |  | — |  | 5,797,447 |
Residential real estate | 2,235,814 |  | — |  | — |  | 2,264,274 |
Consumer credit | 1,628,840 |  | — |  | — |  | 1,618,365 |
Accrued interest receivable | 85,306 |  | 21 |  | 27,977 |  | 57,308 |
Financial Liabilities |  |  |  |
Deposits: |  |  |  |
Noninterest-bearing demand deposits | $ | 5,633,672 |  | $ | 5,633,672 |  | $ | — |  | $ | — |
Checking, NOW, savings, and money market interest-bearing deposits | 10,180,911 |  | 10,180,911 |  | — |  | — |
Other time deposits | 1,103,313 |  | — |  | 1,121,365 |  | — |
Brokered deposits | 119,557 |  | — |  | 119,514 |  | — |
Federal funds purchased and interbank borrowings | 1,166 |  | 1,166 |  | — | — |
Securities sold under agreements to repurchase | 431,166 |  | 431,166 |  | — | — |
FHLB advances | 1,991,435 |  | — |  | 2,092,033 |  | — |
Other borrowings | 252,787 |  | — |  | 254,612 |  | — |
Accrued interest payable | 5,443 |  | — |  | 5,443 |  | — |
Standby letters of credit | 462 |  | — |  | — |  | 462 |
Off-Balance Sheet Financial Instruments |  |  |  |
Commitments to extend credit | $ | — |  | $ | — |  | $ | — |  | $ | 11,822 |
|  | Fair Value Measurements at December 31, 2019 Using
(dollars in thousands) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3)
Financial Assets |  |  |  |
Cash, due from banks, money market, and other interest-earning investments | $ | 276,337 |  | $ | 276,337 |  | $ | — |  | $ | — |
Loans, net: |  |  |  |
Commercial | 2,867,711 |  | — |  | — |  | 2,831,298 |
Commercial real estate | 5,145,204 |  | — |  | — |  | 5,130,848 |
Residential real estate | 2,331,990 |  | — |  | — |  | 2,357,341 |
Consumer credit | 1,718,000 |  | — |  | — |  | 1,676,253 |
Accrued interest receivable | 85,123 |  | 15 |  | 28,185 |  | 56,923 |
Financial Liabilities |  |  |  |
Deposits: |  |  |  |
Noninterest-bearing demand deposits | $ | 4,042,286 |  | $ | 4,042,286 |  | $ | — |  | $ | — |
Checking, NOW, savings, and money market interest-bearing deposits | 8,828,881 |  | 8,828,881 |  | — |  | — |
Other time deposits | 1,589,988 |  | — |  | 1,600,214 |  | — |
Brokered deposits | 92,242 |  | — |  | 92,355 |  | — |
Federal funds purchased and interbank borrowings | 350,414 |  | 350,414 |  | — | — |
Securities sold under agreements to repurchase | 327,782 |  | 327,782 |  | — | — |
FHLB advances | 1,822,847 |  | — |  | 1,875,089 |  | — |
Other borrowings | 243,685 |  | — |  | 254,519 |  | — |
Accrued interest payable | 8,272 |  | — |  | 8,272 |  | — |
Standby letters of credit | 573 |  | — |  | — |  | 573 |
Off-Balance Sheet Financial Instruments |  |  |  |
Commitments to extend credit | $ | — |  | $ | — |  | $ | — |  | $ | 4,302 |

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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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