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Derivative Financial Instruments (Tables) | 6 Months Ended
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Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Summary of Interest Rate Derivatives | The following table summarizes Old National’s derivatives designated as hedges:
| June 30, 2023 |  | December 31, 2022
|  |  | Fair Value |  |  |  | Fair Value
(dollars in thousands) | Notional |  | Assets (1) |  | Liabilities (2) |  | Notional |  | Assets (1) |  | Liabilities (2)
Cash flow hedges |  |  |  |  |  |  |  |  |  |  |
Interest rate collars and floors on loan pools | $ | 1,400,000 |  |  | $ | 2,169 |  |  | $ | 15,563 |  |  | $ | 1,900,000 |  |  | $ | 11,764 |  |  | $ | 47,859 |
Interest rate swaps on borrowings (3)(4) | 250,000 |  |  | — |  |  | — |  |  | 150,000 |  |  | — |  |  | — |
Fair value hedges |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps on investment securities (3) | 909,957 |  |  | — |  |  | — |  |  | 909,957 |  |  | — |  |  | — |
Interest rate swaps on borrowings (3) | 700,000 |  |  | — |  |  | — |  |  | 300,000 |  |  | — |  |  | — |
Total |  |  | $ | 2,169 |  |  | $ | 15,563 |  |  |  |  | $ | 11,764 |  |  | $ | 47,859 |
(1)Derivative assets are included in other assets on the balance sheet. (2)Derivative liabilities are included in other liabilities on the balance sheet. (3)The fair values of certain counterparty interest rate swaps are zero due to the settlement of centrally cleared variation margin rules. (4)Gross totals include maturing LIBOR and replacement SOFR interest rate swaps executed as part of reference rate reform.
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
Three Months Ended June 30, 2023 |  |  |  |  |  |
Interest rate contracts | Interest income/(expense) | $ | (11,101) |  | Fixed-rate debt |  | Interest income/(expense) | $ | 10,956 |
Interest rate contracts | Interest income/(expense) | 24,846 |  | Fixed-rate investment securities |  | Interest income/(expense) | (24,867) |
Total |  | $ | 13,745 |  |  |  |  | $ | (13,911) |
Three Months Ended June 30, 2022 |  |  |  |  |  |
Interest rate contracts | Interest income/(expense) | $ | (2,524) |  | Fixed-rate debt |  | Interest income/(expense) | $ | 2,600 |
Interest rate contracts | Interest income/(expense) | 53,779 |  | Fixed-rate investment securities |  | Interest income/(expense) | (53,762) |
Total |  | $ | 51,255 |  |  |  |  | $ | (51,162) |
Six Months Ended June 30, 2023 |  |  |  |  |  |
Interest rate contracts | Interest income/(expense) | $ | (8,948) |  | Fixed-rate debt |  | Interest income/(expense) | $ | 8,738 |
Interest rate contracts | Interest income/(expense) | (38,269) |  | Fixed-rate investment securities |  | Interest income/(expense) | 38,384 |
Total |  | $ | (47,217) |  |  |  |  | $ | 47,122 |
Six Months Ended June 30, 2022 |  |  |  |  |  |
Interest rate contracts | Interest income/(expense) | $ | (7,357) |  | Fixed-rate debt |  | Interest income/(expense) | $ | 7,555 |
Interest rate contracts | Interest income/(expense) | 111,433 |  | Fixed-rate investment securities |  | Interest income/(expense) | (111,791) |
Total |  | $ | 104,076 |  |  |  |  | $ | (104,236) |
The effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income were as follows:
|  | Three Months Ended June 30, | Three Months Ended June 30,
(dollars in thousands) |  | 2023 |  | 2022 | 2023 |  | 2022
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) | $ | 13,272 |  |  | $ | (3,418) |  | $ | 31,078 |  |  | $ | 219 |
|  | Six Months Ended June 30, | Six Months Ended June 30,
|  | 2023 |  | 2022 | 2023 |  | 2022
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) | $ | 19,875 |  |  | $ | (12,924) |  | $ | 23,441 |  |  | $ | 888 |
The effect of derivatives not designated as hedging instruments on the consolidated statements of income were as follows:
|  | Three Months Ended June 30,
(dollars in thousands) |  | 2023 |  | 2022
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) | $ | 837 |  |  | $ | 449 |
Mortgage contracts | Mortgage banking revenue | 262 |  |  | (1,503) |
Foreign currency contracts | Other income/(expense) | (12) |  |  | 65 |
Total |  | $ | 1,087 |  |  | $ | (989) |
|  | Six Months Ended June 30,
|  | 2023 |  | 2022
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) | $ | 699 |  |  | $ | 950 |
Mortgage contracts | Mortgage banking revenue | 369 |  |  | (1,374) |
Foreign currency contracts | Other income/(expense) | (13) |  |  | 38 |
Total |  | $ | 1,055 |  |  | $ | (386) |
(1)Includes the valuation differences between the customer and offsetting swaps.
Summary of Derivatives Not Designated as Hedging Instruments | The following table summarizes Old National’s derivatives not designated as hedges:
| June 30, 2023 |  | December 31, 2022
|  |  | Fair Value |  |  |  | Fair Value
(dollars in thousands) | Notional |  | Assets (1) |  | Liabilities (2) |  | Notional |  | Assets (1) |  | Liabilities (2)
Interest rate lock commitments | $ | 45,216 |  |  | $ | 330 |  |  | $ | — |  |  | $ | 21,401 |  |  | $ | 93 |  |  | $ | — |
Forward mortgage loan contracts | 61,084 |  |  | 164 |  |  | — |  |  | 30,330 |  |  | 32 |  |  | — |
Customer interest rate swaps (4) | 5,589,059 |  |  | 5,621 |  |  | 318,890 |  |  | 5,220,363 |  |  | 5,676 |  |  | 326,924 |
Counterparty interest rate swaps (3)(4) | 8,206,655 |  |  | 175,581 |  |  | 5,662 |  |  | 5,220,363 |  |  | 151,111 |  |  | 5,711 |
Customer foreign currency forward contracts | 12,851 |  |  | 441 |  |  | 22 |  |  | 8,341 |  |  | 253 |  |  | 42 |
Counterparty foreign currency forward contracts | 12,894 |  |  | 18 |  |  | 262 |  |  | 8,297 |  |  | 72 |  |  | 168 |
Total |  |  | $ | 182,155 |  |  | $ | 324,836 |  |  |  |  | $ | 157,237 |  |  | $ | 332,845 |
(1)Derivative assets are included in other assets on the balance sheet. (2)Derivative liabilities are included in other liabilities on the balance sheet. (3)The fair values of certain counterparty interest rate swaps are zero due to the settlement of centrally cleared variation margin rules. (4)Gross totals include maturing LIBOR and replacement SOFR interest rate swaps executed as part of reference rate reform.

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