Company: ONBPP
Filing Date: 2025-10-29
Form Type: 10-Q
Source: 0000707179-25-000064
Chunk: 113

Company: OLD NATIONAL BANCORP /IN/
Filing Date: 2025-10-29
Form: 10-Q
Item: Item 1
Chunk 113
---
 rate risk, we establish guidelines for asset and liability management, including measurement of short and long-term sensitivities to changes in interest rates, which are reviewed with the Enterprise Risk Committee of our Board of Directors. Based on the results of our analysis, we may use different techniques to manage changing trends in interest rates including:

•adjusting balance sheet mix or altering interest rate characteristics of assets and liabilities;

•changing product pricing strategies;

•modifying characteristics of the investment securities portfolio; or

•using derivative financial instruments, to a limited degree.

A key element in our ongoing process is to measure and monitor interest rate risk using a model to quantify the likely impact of changing interest rates on Old National’s results of operations. The model quantifies the effects of various possible interest rate scenarios on projected net interest income. The model measures the impact on net interest income relative to a base case scenario over a two-year cumulative horizon resulting from an immediate change in interest rates using multiple rate scenarios. The base case scenario assumes that the balance sheet and interest rates are held at current levels. The model shows our projected net interest income sensitivity based on interest rate changes only and does not consider other forecast assumptions. The net interest income projections across all interest rate scenarios include the expected impact of purchase accounting accretion due to recent acquisitions. Due to the dynamics of future interest rate expectations, we also measure and monitor interest rate risk using the forward curve, which may be a more probable scenario of our interest rate exposure. The forward curve represents the relationship between the price of forward contracts and the time to maturity of the forward contracts at a point in time.

76

The following table illustrates our projected net interest income sensitivity over a two-year cumulative horizon based on the asset/liability model at September 30, 2025 and 2024:

Immediate Rate DecreaseSeptember 30, 2025ForwardCurveImmediate Rate Increase(dollars in thousands)-300Basis Points-200Basis Points-100Basis PointsBase+100Basis Points+200Basis Points+300Basis PointsSeptember 30, 2025Projected interest income:Money market, other  interest earning  investments, and  investment  securities$999,607 $1,133,037 $1,243,065 $1,326,205 $1,347,047 $1,414,490 $1,465,366 $1,513,792 Loans4,111