Company: ONBPP
Filing Date: 2025-10-29
Form Type: 10-Q
Source: 0000707179-25-000064
Chunk: 267

Company: OLD NATIONAL BANCORP /IN/
Filing Date: 2025-10-29
Form: 10-Q
Item: Item 2
Chunk 267
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+2004.25 %6.25 %5.00 %7.00 %+1004.25 %5.25 %5.00 %6.00 %Base4.25 %4.25 %5.00 %5.00 %-1004.25 %3.25 %5.00 %4.00 %-2004.25 %2.25 %5.00 %3.00 %-3004.25 %1.25 %5.00 %2.00 %

(1)Represents the upper bound, Federal Funds Rate.

(2)Represents the Federal Funds Rate in month 12 given a gradual, parallel “ramp” relative to the base implied forward scenario.

Our projected net interest income increased year over year driven by loan growth and asset repricing due to current interest rates and economic conditions. Our overall strategy is consistent period over period, as we continue to manage our balance sheet toward a neutral interest rate risk position in a disciplined manner.

A key element in the measurement and modeling of interest rate risk is the re-pricing assumptions of our transaction deposit accounts, which align with our approach to deposit pricing and are consistent period over period. Because the models are driven by expected behavior in various interest rate scenarios and many factors besides market interest rates affect our net interest income, we recognize that model outputs are not guarantees of actual results. For this reason, we model many different combinations of interest rates and balance sheet assumptions to understand our overall sensitivity to market interest rate changes, including shocks, ramps, yield curve flattening, yield curve steepening, as well as forecasts of likely interest rate scenarios tested.

We use cash flow and fair value hedges, primarily interest rate swaps, collars, and floors, to mitigate interest rate risk. Derivatives designated as hedging instruments were in a net asset position with a fair value gain of $17.0 million at September 30, 2025, compared to a net liability position with a fair value loss of $7.0 million at December 31, 2024. See Note 15 to the consolidated financial statements for further discussion of derivative financial instruments.

Liquidity Risk

Liquidity risk arises from the possibility that we may not be able to satisfy current or future financial commitments or may become unduly reliant on alternative funding sources. We establish liquidity risk guidelines that we review with the Enterprise Risk