NOTE 4 - DERIVATIVES AND HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2021

Notes Tables

Summary of derivatives

	September 30, 2021		December 31, 2020
	(dollars in thousands)
Assets:
Interest rate caps - hedged	$	517	$	259
Interest rate caps		141		67
Interest rate swaps - hedged		807		—
Interest rate swaps		196,928		222,431
	$	198,393	$	222,757
Liabilities:
Interest rate swaps - hedged	$	(4,522)	$	(6,839)
Interest rate swaps		(196,928)		(222,431)
	$	(201,450)	$	(229,270)

Schedule of hedged interest rate swaps and non-hedged interest rate swaps are collateralized by investment securities with carrying values

	September 30, 2021		December 31, 2020
	(dollars in thousands)
Cash	$	13,220	$	45,719
U.S treasuries and govt. sponsored agency securities		3,579		3,628
Municipal securities		69,397		85,937
Residential mortgage-backed and related securities		122,606		89,646
	$	208,802	$	224,930

Summary of impact of AOCI

	Three Months Ended September 30, 2021				Three Months Ended September 30, 2020
	Interest and		Interest		Interest and		Interest
	Dividend Income		Expense		Dividend Income		Expense
	(dollars in thousands)
Income and expense line items presented in the consolidated statements of income	$	51,667	$	5,438	$	50,890	$	6,309
The effects of cash flow hedging:
Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding		-		-		-		79
Interest rate swap on variable rate loans		502		-		-		-
Interest rate cap on deposits		-		181		-		128

	Nine Months Ended September 30, 2021				Nine Months Ended September 30, 2020
	Interest and		Interest		Interest and		Interest
	Dividend Income		Expense		Dividend Income		Expense
	(dollars in thousands)
Income and expense line items presented in the consolidated statements of income	$	148,135	$	16,415	$	148,522	$	25,279
The effects of cash flow hedging:
Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding		-		-		-		114
Interest rate swap on variable rate loans		502		-		-		-
Interest rate cap on deposits		-		495		-		336

Interest rate cap

Notes Tables

Schedule of interest rate caps

			Balance Sheet					Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Strike Rate		September 30, 2021		December 31, 2020
(dollars in thousands)
Deposits	1/1/2020	1/1/2023	Derivatives - Assets	$	25,000	1.75	%	$	1	$	3
Deposits	1/1/2020	1/1/2023	Derivatives - Assets		50,000	1.57			2		5
Deposits	1/1/2020	1/1/2023	Derivatives - Assets		25,000	1.80			1		3
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.75			26		15
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		50,000	1.57			53		31
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.80			26		15
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.75			101		46
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		50,000	1.57			205		94
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.80			102		47
				$	300,000			$	517	$	259

Changes in the fair value of the underlying derivative contracts

		Balance Sheet					Fair Value as of
Effective Date	Maturity Date	Location	Notional Amount		Strike Rate		September 30, 2021		December 31, 2020
(dollars in thousands)
1/1/2020	1/1/2023	Derivatives - Assets	$	25,000	1.90	%	$	1	$	2
2/1/2020	2/1/2024	Derivatives - Assets		25,000	1.90			26		15
3/1/2020	3/1/2025	Derivatives - Assets		25,000	1.90			114		50
			$	75,000			$	141	$	67

Interest rate swap

Notes Tables

Schedule of interest rate caps

			Balance Sheet							Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		September 30, 2021		December 31, 2020
(dollars in thousands)
QCBT - Loans	7/1/2021	7/1/2031	Derivatives - Assets		35,000	1.40	%	2.81	%		192		N/A
CRBT - Loans	7/1/2021	7/1/2031	Derivatives - Assets		50,000	1.40	%	2.81	%		274		N/A
CSB - Loans	7/1/2021	7/1/2031	Derivatives - Assets		40,000	1.40	%	2.81	%		204		N/A
SFCB - Loans	7/1/2021	7/1/2031	Derivatives - Assets		25,000	1.40	%	2.81	%		137		N/A
				$	150,000					$	807	$	N/A

			Balance Sheet							Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		September 30, 2021		December 31, 2020
(dollars in thousands)
QCR Holdings Statutory Trust II	9/30/2018	9/30/2028	Derivatives - Liabilities		10,000	2.98	%	5.85	%		(1,169)		(1,767)
QCR Holdings Statutory Trust III	9/30/2018	9/30/2028	Derivatives - Liabilities		8,000	2.98	%	5.85	%		(936)		(1,414)
QCR Holdings Statutory Trust V	7/7/2018	7/7/2028	Derivatives - Liabilities		10,000	1.68	%	4.54	%		(1,135)		(1,721)
Community National Statutory Trust II	9/20/2018	9/20/2028	Derivatives - Liabilities		3,000	2.29	%	5.17	%		(350)		(529)
Community National Statutory Trust III	9/15//2018	9/15/2028	Derivatives - Liabilities		3,500	1.87	%	4.75	%		(408)		(616)
Guaranty Bankshares Statutory Trust I	9/15/2018	9/15/2028	Derivatives - Liabilities		4,500	1.87	%	4.75	%		(524)		(792)
				$	39,000					$	(4,522)	$	(6,839)

Changes in the fair value of the underlying derivative contracts

		September 30, 2021			December 31, 2020
	Notional Amount		Estimated Fair Value		Notional Amount		Estimated Fair Value
	(dollars in thousands)
Non-Hedging Interest Rate Derivatives Assets:
Interest rate swap contracts	$	3,609,566	$	196,928	$	1,539,602	$	222,431
Non-Hedging Interest Rate Derivatives Liabilities:
Interest rate swap contracts	$	3,609,566	$	196,928	$	1,539,602	$	222,431