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Investment Securities | 12 Months Ended
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Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract] |
Investment Securities | INVESTMENT SECURITIES The following table summarizes the amortized cost and fair value of the available-for-sale investment securities portfolio and the corresponding amounts of unrealized gains, unrealized losses, and basis adjustments recognized in accumulated other comprehensive income (loss):
(dollars in thousands) | Amortized Cost | Unrealized Gains | Unrealized Losses | Basis Adjustments (1) | Fair Value
December 31, 2021 |  |  |  |  |
Available-for-Sale |  |  |  |  |
U.S. Treasury | $ | 234,555 |  | $ | 1,233 |  | $ | (7,751) |  | $ | 7,547 |  | $ | 235,584 |
U.S. government-sponsored entities and agencies | 1,575,994 |  | 7,354 |  | (37,014) |  | (3,561) |  | 1,542,773 |
Mortgage-backed securities - Agency | 3,737,484 |  | 27,421 |  | (66,074) |  | — |  | 3,698,831 |
States and political subdivisions | 1,587,172 |  | 69,696 |  | (1,882) |  | — |  | 1,654,986 |
Pooled trust preferred securities | 13,756 |  | — |  | (4,260) |  | — |  | 9,496 |
Other securities | 235,072 |  | 6,578 |  | (1,254) |  | — |  | 240,396 |
Total available-for-sale securities | $ | 7,384,033 |  | $ | 112,282 |  | $ | (118,235) |  | $ | 3,986 |  | $ | 7,382,066 |
December 31, 2020 |  |  |  |  |
Available-for-Sale |  |  |  |  |
U.S. Treasury | $ | 9,909 |  | $ | 299 |  | $ | — |  | $ | — |  | $ | 10,208 |
U.S. government-sponsored entities and agencies | 841,133 |  | 5,744 |  | (3,921) |  | (968) |  | 841,988 |
Mortgage-backed securities - Agency | 3,249,002 |  | 91,086 |  | (990) |  | — |  | 3,339,098 |
States and political subdivisions | 1,405,868 |  | 86,325 |  | (31) |  | — |  | 1,492,162 |
Pooled trust preferred securities | 13,763 |  | — |  | (5,850) |  | — |  | 7,913 |
Other securities | 265,079 |  | 14,260 |  | (593) |  | — |  | 278,746 |
Total available-for-sale securities | $ | 5,784,754 |  | $ | 197,714 |  | $ | (11,385) |  | $ | (968) |  | $ | 5,970,115 |
(1) Basis adjustments represent the cumulative fair value adjustments included in the carrying amounts of fixed-rate investment securities assets in fair value hedging arrangements. Proceeds from sales or calls of available-for-sale investment securities and the resulting realized gains and realized losses were as follows:
| Years Ended December 31,
(dollars in thousands) | 2021 | 2020 | 2019
Proceeds from sales of available-for-sale debt securities | $ | 198,886 |  | $ | 299,885 |  | $ | 424,140 |
Proceeds from calls of available-for-sale debt securities | 158,818 |  | 465,179 |  | 441,851 |
Total | $ | 357,704 |  | $ | 765,064 |  | $ | 865,991 |
Realized gains on sales of available-for-sale debt securities | $ | 4,188 |  | $ | 11,172 |  | $ | 4,620 |
Realized gains on calls of available-for-sale debt securities | 317 |  | 121 |  | 93 |
Realized losses on sales of available-for-sale debt securities | (145) |  | (500) |  | (2,760) |
Realized losses on calls of available-for-sale debt securities | (33) |  | (26) |  | (30) |
Debt securities gains (losses), net | $ | 4,327 |  | $ | 10,767 |  | $ | 1,923 |
Investment securities pledged to secure public and other funds had a carrying value of $2.701 billion at December 31, 2021 and $2.427 billion at December 31, 2020. At December 31, 2021, Old National had a concentration of investment securities issued by certain states and their political subdivisions. The aggregate market value issued by Indiana was $647.6 million, which represented 21.5% of shareholders’ equity. Of the Indiana municipal bonds, 97% are rated “A” or better, and the remaining 3% generally represent non-rated local interest bonds where Old National has a market presence. All of the mortgage-backed securities in the investment portfolio are residential mortgage-backed securities. The amortized cost and fair value of the investment securities portfolio are shown by contractual maturity. Expected maturities may differ from contractual maturities if borrowers have the right to call or prepay obligations with or without call or prepayment penalties. Weighted average yield is based on amortized cost.
| At December 31, 2021
(dollars in thousands) | Amortized Cost | Fair Value | Weighted Average Yield
Maturity
Available-for-Sale |  |  |
Within one year | $ | 101,565 |  | $ | 102,886 |  | 2.87 | %
One to five years | 2,377,074 |  | 2,389,054 |  | 2.05 | %
Five to ten years | 2,496,036 |  | 2,449,808 |  | 1.75 | %
Beyond ten years | 2,409,358 |  | 2,440,318 |  | 2.40 | %
Total | $ | 7,384,033 |  | $ | 7,382,066 |  | 2.07 | %
The following table summarizes the available-for-sale investment securities with unrealized losses for which an allowance for credit losses has not been recorded by aggregated major security type and length of time in a continuous unrealized loss position:
| Less than 12 months |  | 12 months or longer |  | Total
(dollars in thousands) | Fair Value | Unrealized Losses |  | Fair Value | Unrealized Losses |  | Fair Value | Unrealized Losses
December 31, 2021 |  |  |  |  |  |  |  |
Available-for-Sale |  |  |  |  |  |  |  |
U.S. Treasury | $ | 91,063 |  | $ | (7,751) |  |  | $ | — |  | $ | — |  |  | $ | 91,063 |  | $ | (7,751) |
U.S. government-sponsored entities and agencies | 1,032,566 |  | (21,167) |  |  | 312,949 |  | (15,847) |  |  | 1,345,515 |  | (37,014) |
Mortgage-backed securities - Agency | 2,415,923 |  | (59,277) |  |  | 163,685 |  | (6,797) |  |  | 2,579,608 |  | (66,074) |
States and political subdivisions | 178,570 |  | (1,849) |  |  | 2,729 |  | (33) |  |  | 181,299 |  | (1,882) |
Pooled trust preferred securities | — |  | — |  |  | 9,496 |  | (4,260) |  |  | 9,496 |  | (4,260) |
Other securities | 56,976 |  | (943) |  |  | 21,133 |  | (311) |  |  | 78,109 |  | (1,254) |
Total available-for-sale | $ | 3,775,098 |  | $ | (90,987) |  |  | $ | 509,992 |  | $ | (27,248) |  |  | $ | 4,285,090 |  | $ | (118,235) |
December 31, 2020 |  |  |  |  |  |  |  |
Available-for-Sale |  |  |  |  |  |  |  |
U.S. government-sponsored entities and agencies | $ | 355,528 |  | $ | (3,921) |  |  | $ | — |  | $ | — |  |  | $ | 355,528 |  | $ | (3,921) |
Mortgage-backed securities - Agency | 275,833 |  | (895) |  |  | 3,572 |  | (95) |  |  | 279,405 |  | (990) |
States and political subdivisions | 3,497 |  | (31) |  |  | — |  | — |  |  | 3,497 |  | (31) |
Pooled trust preferred securities | — | — |  |  | 7,913 |  | (5,850) |  |  | 7,913 |  | (5,850) |
Other securities | 19,404 |  | (70) |  |  | 24,871 |  | (523) |  |  | 44,275 |  | (593) |
Total available-for-sale | $ | 654,262 |  | $ | (4,917) |  |  | $ | 36,356 |  | $ | (6,468) |  |  | $ | 690,618 |  | $ | (11,385) |
Available-for-sale debt securities in unrealized loss positions are evaluated for impairment related to credit losses at least quarterly. For available-for sale debt securities in an unrealized loss position, we first assess whether we intend to sell, or it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis. If either of the criteria regarding intent or requirement to sell is met, the security’s amortized cost basis is written down to fair value through income. For available-for sale debt securities that do not meet the criteria, we evaluate whether the decline in fair value has resulted from credit losses or other factors. In making this assessment, management considers the extent to which fair value is less than amortized cost, any changes to the rating of the security by a rating agency, and adverse conditions specifically related to the security and the issuer, among other factors. If this assessment indicates that a credit loss exists, we compare the present value of cash flows expected to be collected from the security with the amortized cost basis of the security. If the present value of cash flows expected to be collected is less than the amortized cost basis for the security, a credit loss exists and an allowance for credit losses is recorded, limited to the amount that the fair value of the security is less than its amortized cost basis. Any impairment that has not been recorded through an allowance for credit losses is recognized in other comprehensive income, net of applicable taxes. No allowance for credit losses for available-for-sale debt securities was needed at December 31, 2021 or December 31, 2020. Accrued interest receivable on available-for-sale debt securities is excluded from the estimate of credit losses and totaled $35.5 million at December 31, 2021 and $27.0 million at December 31, 2020. The U.S. government sponsored entities and agencies and mortgage-backed securities – agency are either explicitly or implicitly guaranteed by the U.S. government, are highly rated by major credit rating agencies, and have a long history of no credit losses. Therefore, for those securities, we do not record expected credit losses. Prior to the adoption of ASC 326 on January 1, 2020, we did not record OTTI in 2019. At December 31, 2021, Old National’s securities portfolio consisted of 1,918 securities, 357 of which were in an unrealized loss position. The unrealized losses attributable to our U.S. Treasury, U.S. government-sponsored entities and agencies, agency mortgage-backed securities, states and political subdivisions, and other securities are the result of fluctuations in interest rates. Old National’s pooled trust preferred securities are evaluated using collateral-specific assumptions to estimate the expected future interest and principal cash flows. At December 31, 2021, we had no intent to sell any securities that were in an unrealized loss position nor is it expected that we would be required to sell the securities prior to their anticipated recovery. Old National’s pooled trust preferred securities have experienced credit defaults. However, we believe that the value of the instruments lies in the full and timely interest payments that will be received through maturity, the steady amortization that will be experienced until maturity, and the full return of principal by the final maturity of the collateralized debt obligations. Old National did not recognize any losses on these securities for the years ended December 31, 2021 or December 31, 2020. Equity Securities Old National’s equity securities with readily determinable fair values totaled $13.2 million at December 31, 2021 and $2.5 million at December 31, 2020. There were gains on equity securities of $0.2 million during 2021, $1.4 million during 2020, and $0.7 million during 2019. Old National also has equity securities without readily determinable fair values that are included in other assets that totaled $186.0 million at December 31, 2021 and $105.8 million at December 31, 2020. These equity securities without readily determinable fair values are illiquid investments that consist of partnerships, limited liability companies, and other ownership interests that support affordable housing, economic development, and community revitalization initiatives in low-to-moderate income neighborhoods. There were no impairments or adjustments on equity securities without readily determinable fair values, except for amortization of tax credit investments during 2021 and 2019. There were impairments on these securities totaling $117 thousand in 2020.

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