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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 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:

			September 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					$	18,627					$	3,876					$	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						7,690						—						900,000						—						—
Total									$	26,317					$	3,876											$	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 September 30, 2024
Interest rate contracts			Interest income/(expense)			$	24,495		Fixed-rate debt						Interest income/(expense)			$	(24,645)
Interest rate contracts			Interest income/(expense)			(44,845)			Fixed-rate investment securities						Interest income/(expense)			45,167
Total						$	(20,350)											$	20,522
Three Months Ended September 30, 2023
Interest rate contracts			Interest income/(expense)			$	(9,553)		Fixed-rate debt						Interest income/(expense)			$	9,566
Interest rate contracts			Interest income/(expense)			45,537			Fixed-rate investment securities						Interest income/(expense)			(46,055)
Total						$	35,984											$	(36,489)
Nine Months Ended September 30, 2024
Interest rate contracts			Interest income/(expense)			$	10,207		Fixed-rate debt						Interest income/(expense)			$	(10,246)
Interest rate contracts			Interest income/(expense)			(16,161)			Fixed-rate investment securities						Interest income/(expense)			16,454
Total						$	(5,954)											$	6,208
Nine Months Ended September 30, 2023
Interest rate contracts			Interest income/(expense)			$	(18,500)		Fixed-rate debt						Interest income/(expense)			$	18,303
Interest rate contracts			Interest income/(expense)			7,268			Fixed-rate investment securities						Interest income/(expense)			(7,671)
Total						$	(11,232)											$	10,632

The effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income were as follows:

						Three Months Ended September 30,									Three Months Ended September 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)			$	23,654					$	(15,574)		$	(5,970)					$	(5,960)
						Nine Months Ended September 30,									Nine Months Ended September 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)			$	(2,540)					$	4,302		$	(17,661)					$	17,481

The effect of derivatives not designated as hedging instruments on the consolidated statements of income were as follows:

						Three Months Ended September 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)			$	(89)					$	426
Mortgage contracts			Mortgage banking revenue			114						391
Foreign currency contracts			Other income/(expense)			(27)						(3)
Total						$	(2)					$	814
						Nine Months Ended September 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)			$	319					$	1,125
Mortgage contracts			Mortgage banking revenue			158						760
Foreign currency contracts			Other income/(expense)			(108)						(16)
Total						$	369					$	1,869

(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:

			September 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			$	110,582					$	483					$	—					$	25,151					$	291					$	—
Forward mortgage loan contracts			154,287						—						19						39,529						—						566
Customer interest rate swaps			6,246,316						60,609						147,190						5,954,216						33,182						228,750
Counterparty interest rate swaps (3)			6,246,316						76,075						60,896						5,954,216						121,969						33,346
Customer foreign currency contracts			7,221						74						24						12,455						320						59
Counterparty foreign currency contracts			7,130						28						37						12,308						68						181
Total									$	137,269					$	208,166											$	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:

			September 30, 2024												December 31, 2023
(dollars in thousands)			Assets						Liabilities						Assets						Liabilities
Gross amounts recognized			$	163,586					$	212,042					$	166,302					$	268,916
Less: amounts offset in the Consolidated Balance Sheet			—						—						—						—
Net amount presented in the Consolidated Balance Sheet			163,586						212,042						166,302						268,916
Gross amounts not offset in the Consolidated Balance Sheet
Offsetting derivative positions			(64,772)						(64,772)						(39,360)						(39,360)
Cash collateral pledged			—						(35,589)						—						(97,840)
Net credit exposure			$	98,814					$	111,681					$	126,942					$	131,716

Schedule of Offsetting Liabilities

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

			September 30, 2024												December 31, 2023
(dollars in thousands)			Assets						Liabilities						Assets						Liabilities
Gross amounts recognized			$	163,586					$	212,042					$	166,302					$	268,916
Less: amounts offset in the Consolidated Balance Sheet			—						—						—						—
Net amount presented in the Consolidated Balance Sheet			163,586						212,042						166,302						268,916
Gross amounts not offset in the Consolidated Balance Sheet
Offsetting derivative positions			(64,772)						(64,772)						(39,360)						(39,360)
Cash collateral pledged			—						(35,589)						—						(97,840)
Net credit exposure			$	98,814					$	111,681					$	126,942					$	131,716

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