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Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2024

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, 2024																		December 31, 2023
									Fair Value																		Fair Value
(dollars in thousands)			Notional						Assets (1)						Liabilities (2)						Notional						Assets (1)						Liabilities (2)
Cash flow hedges
Interest rate swaps, collars, and floors on loan    pools			$	1,800,000					$	2,276					$	17,662					$	1,600,000					$	10,472					$	6,014
Interest rate swaps on borrowings (3)			150,000						—						—						150,000						—						—
Fair value hedges
Interest rate swaps on investment securities (3)			998,107						—						—						998,107						—						—
Interest rate swaps on borrowings (3)			1,100,000						1,777						—						900,000						—						—
Total									$	4,053					$	17,662											$	10,472					$	6,014

(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.

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, 2024
Interest rate contracts			Interest income/(expense)			$	(317)		Fixed-rate debt						Interest income/(expense)			$	272
Interest rate contracts			Interest income/(expense)			2,836			Fixed-rate investment securities						Interest income/(expense)			(2,809)
Total						$	2,519											$	(2,537)
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)
Six Months Ended June 30, 2024
Interest rate contracts			Interest income/(expense)			$	(14,288)		Fixed-rate debt						Interest income/(expense)			$	14,399
Interest rate contracts			Interest income/(expense)			28,684			Fixed-rate investment securities						Interest income/(expense)			(28,714)
Total						$	14,396											$	(14,315)
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

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)						2024						2023			2024						2023
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)			$	(7,035)					$	13,272		$	(5,781)					$	31,078
						Six Months Ended June 30,									Six Months Ended June 30,
						2024						2023			2024						2023
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)			$	(26,194)					$	19,875		$	(11,692)					$	23,441

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)						2024						2023
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)			$	(160)					$	837
Mortgage contracts			Mortgage banking revenue			(693)						262
Foreign currency contracts			Other income/(expense)			(47)						(12)
Total						$	(900)					$	1,087
						Six Months Ended June 30,
						2024						2023
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)			$	408					$	699
Mortgage contracts			Mortgage banking revenue			44						369
Foreign currency contracts			Other income/(expense)			(81)						(13)
Total						$	371					$	1,055

(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, 2024																		December 31, 2023
									Fair Value																		Fair Value
(dollars in thousands)			Notional						Assets (1)						Liabilities (2)						Notional						Assets (1)						Liabilities (2)
Interest rate lock commitments			$	99,131					$	—					$	172					$	25,151					$	291					$	—
Forward mortgage loan contracts			125,414						398						—						39,529						—						566
Customer interest rate swaps			6,022,198						11,351						265,548						5,954,216						33,182						228,750
Counterparty interest rate swaps (3)			6,022,198						152,679						11,409						5,954,216						121,969						33,346
Customer foreign currency contracts			7,904						33						49						12,455						320						59
Counterparty foreign currency contracts			7,786						90						6						12,308						68						181
Total									$	164,551					$	277,184											$	155,830					$	262,902

(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.

Schedule of Offsetting Assets

The following table presents the fair value of the Company’s derivatives and offsetting positions:

			June 30, 2024												December 31, 2023
(dollars in thousands)			Assets						Liabilities						Assets						Liabilities
Gross amounts recognized			$	168,604					$	294,846					$	166,302					$	268,916
Less: amounts offset in the Consolidated Balance Sheet			—						—						—						—
Net amount presented in the Consolidated Balance Sheet			168,604						294,846						166,302						268,916
Gross amounts not offset in the Consolidated Balance Sheet
Offsetting derivative positions			(29,071)						(29,071)						(39,360)						(39,360)
Cash collateral pledged			—						(128,289)						—						(97,840)
Net credit exposure			$	139,533					$	137,486					$	126,942					$	131,716

Schedule of Offsetting Liabilities

The following table presents the fair value of the Company’s derivatives and offsetting positions:

			June 30, 2024												December 31, 2023
(dollars in thousands)			Assets						Liabilities						Assets						Liabilities
Gross amounts recognized			$	168,604					$	294,846					$	166,302					$	268,916
Less: amounts offset in the Consolidated Balance Sheet			—						—						—						—
Net amount presented in the Consolidated Balance Sheet			168,604						294,846						166,302						268,916
Gross amounts not offset in the Consolidated Balance Sheet
Offsetting derivative positions			(29,071)						(29,071)						(39,360)						(39,360)
Cash collateral pledged			—						(128,289)						—						(97,840)
Net credit exposure			$	139,533					$	137,486					$	126,942					$	131,716

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