Note 4 - DERIVATIVES AND HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2022

Notes Tables

Summary of derivatives

	March 31, 2022		December 31, 2021
	(dollars in thousands)
Assets:
Interest rate caps - hedged	$	4,484	$	927
Interest rate caps		1,144		238
Interest rate swaps		101,698		221,055
	$	107,326	$	222,220
Liabilities:
Interest rate swaps - hedged	$	(14,495)	$	(4,080)
Interest rate swaps		(101,698)		(221,055)
	$	(116,193)	$	(225,135)

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

	March 31, 2022		December 31, 2021
	(dollars in thousands)
Cash	$	4,193	$	21,100
U.S treasuries and govt. sponsored agency securities		3,518		3,555
Municipal securities		123,763		139,166
Residential mortgage-backed and related securities		59,683		65,104
	$	191,157	$	228,925

Summary of impact of AOCI

	Three Months Ended March 31, 2022				Three Months Ended March 31, 2021
	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	$	51,062	$	5,329	$	47,565	$	5,590
The effects of cash flow hedging:
Gain (loss) on cash flow hedges:
Interest rate caps on deposits		-		221		-		151
Interest rate swaps on variable rate loans		471		-		-		-
Interest rate swaps on junior subordinated debentures		-		267		-		269

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		March 31, 2022		December 31, 2021
(dollars in thousands)
Deposits	1/1/2020	1/1/2023	Derivatives - Assets	$	25,000	1.75	%	$	48	$	5
Deposits	1/1/2020	1/1/2023	Derivatives - Assets		50,000	1.57			97		11
Deposits	1/1/2020	1/1/2023	Derivatives - Assets		25,000	1.80			48		5
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.75			355		60
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		50,000	1.57			723		125
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.80			361		62
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.75			695		161
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		50,000	1.57			1,438		332
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.80			719		166
				$	300,000			$	4,484	$	927

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		March 31, 2022		December 31, 2021
(dollars in thousands)
1/1/2020	1/1/2023	Derivatives - Assets	$	25,000	1.90	%	$	41	$	3
2/1/2020	2/1/2024	Derivatives - Assets		25,000	1.90			369		62
3/1/2020	3/1/2025	Derivatives - Assets		25,000	1.90			734		173
			$	75,000			$	1,144	$	238

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		March 31, 2022		December 31, 2021
(dollars in thousands)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		35,000	1.40	%	0.23	%		(2,387)		(17)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		50,000	1.40	%	0.23	%		(3,411)		(25)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		40,000	1.40	%	0.23	%		(2,742)		(34)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		25,000	1.40	%	0.23	%		(1,705)		(13)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		15,000	1.91	%	N/A			(281)		N/A
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	N/A			(938)		N/A
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		35,000	1.91	%	N/A			(656)		N/A
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	N/A			(939)		N/A
				$	300,000					$	(13,059)	$	(89)

				Balance Sheet							Fair Value as of
Hedged Item	Effective Date		Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		March 31, 2022		December 31, 2021
		(dollars in thousands)
QCR Holdings Statutory Trust II	9/30/2018		9/30/2028	Derivatives - Liabilities		10,000	3.86	%	5.85	%		(375)		(1,035)
QCR Holdings Statutory Trust III	9/30/2018		9/30/2028	Derivatives - Liabilities		8,000	3.86	%	5.85	%		(300)		(828)
QCR Holdings Statutory Trust V	7/7/2018		7/7/2028	Derivatives - Liabilities		10,000	1.79	%	4.54	%		(350)		(996)
Community National Statutory Trust II	9/20/2018		9/20/2028	Derivatives - Liabilities		3,000	3.10	%	5.17	%		(112)		(309)
Community National Statutory Trust III	9/15//2018		9/15/2028	Derivatives - Liabilities		3,500	2.58	%	4.75	%		(131)		(360)
Guaranty Bankshares Statutory Trust I	9/15/2018		9/15/2028	Derivatives - Liabilities		4,500	2.58	%	4.75	%		(168)		(463)
					$	39,000					$	(1,436)	$	(3,991)

Changes in the fair value of the underlying derivative contracts

		March 31, 2022			December 31, 2021
	Notional Amount		Estimated Fair Value		Notional Amount		Estimated Fair Value
	(dollars in thousands)
Non-Hedging Interest Rate Derivatives Assets:
Interest rate swap contracts	$	2,069,977	$	101,698	$	2,024,599	$	221,055
Non-Hedging Interest Rate Derivatives Liabilities:
Interest rate swap contracts	$	2,069,977	$	101,698	$	2,024,599	$	221,055