Note 5 - DERIVATIVES AND HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2022

Notes Tables

Summary of derivatives

	September 30, 2022		December 31, 2021
	(dollars in thousands)
Assets:
Interest rate caps - hedged	$	9,191	$	927
Interest rate caps		2,480		238
Interest rate swaps - hedged		506		—
Interest rate swaps		172,860		221,055
	$	185,037	$	222,220
Liabilities:
Interest rate collars - hedged	$	(541)	$	—
Interest rate swaps - hedged		(36,078)		(4,080)
Interest rate swaps		(172,860)		(221,055)
	$	(209,479)	$	(225,135)

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

	September 30, 2022		December 31, 2021
	(dollars in thousands)
Cash	$	2,001	$	21,100
U.S treasuries and govt. sponsored agency securities		3,492		3,555
Municipal securities		101,588		139,166
Residential mortgage-backed and related securities		45,650		65,104
	$	152,731	$	228,925

Summary of impact of AOCI

	Three Months Ended September 30, 2022				Three Months Ended September 30, 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	$	79,267	$	18,498	$	51,667	$	5,438
The effects of cash flow hedging:
Gain (loss) on cash flow hedges:
Interest rate caps on deposits		-		(259)		-		181
Interest rate swaps on variable rate loans		(426)		-		-		-
Interest rate swaps on junior subordinated debentures		-		73		-		285

	Nine Months Ended September 30, 2022				Nine Months Ended September 30, 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	$	198,534	$	32,632	$	148,135	$	16,415
The effects of cash flow hedging:
Gain (loss) on cash flow hedges:
Interest rate caps on deposits		-		202		-		495
Interest rate swaps on variable rate loans		715		-		502		-
Interest rate swaps on junior subordinated debentures		-		536		-		830

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, 2022		December 31, 2021
(dollars in thousands)
Deposits	1/1/2020	1/1/2023	Derivatives - Assets	$	25,000	1.75	%	$	120	$	5
Deposits	1/1/2020	1/1/2023	Derivatives - Assets		50,000	1.57	%		221		11
Deposits	1/1/2020	1/1/2023	Derivatives - Assets		25,000	1.80	%		111		5
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.75	%		797		60
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		50,000	1.57	%		1,593		125
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.80	%		796		62
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.75	%		1,379		161
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		50,000	1.57	%		2,783		332
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.80	%		1,391		166
				$	300,000			$	9,191	$	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		September 30, 2022		December 31, 2021
(dollars in thousands)
1/1/2020	1/1/2023	Derivatives - Assets	$	25,000	1.90	%	$	128	$	3
2/1/2020	2/1/2024	Derivatives - Assets		25,000	1.90	%		867		62
3/1/2020	3/1/2025	Derivatives - Assets		25,000	1.90	%		1,485		173
			$	75,000			$	2,480	$	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		September 30, 2022		December 31, 2021
(dollars in thousands)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities	$	35,000	1.40	%	1.79	%	$	(5,968)	$	(17)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		50,000	1.40	%	1.79	%		(8,527)		(25)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		40,000	1.40	%	1.79	%		(6,833)		(34)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		25,000	1.40	%	1.79	%		(4,263)		(13)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		15,000	1.91	%	1.79	%		(1,248)		N/A
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	1.79	%		(4,159)		N/A
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		35,000	1.91	%	1.79	%		(2,911)		N/A
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	1.79	%		(4,159)		N/A
				$	300,000					$	(38,068)	$	(89)

				Balance Sheet							Fair Value as of
Hedged Item	Effective Date		Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		September 30, 2022		December 31, 2021
		(dollars in thousands)
QCR Holdings Statutory Trust II	9/30/2018		9/30/2028	Derivatives - Liabilities	$	10,000	6.52	%	5.85	%	$	513	$	(1,035)
QCR Holdings Statutory Trust III	9/30/2018		9/30/2028	Derivatives - Liabilities		8,000	6.52	%	5.85	%		410		(828)
QCR Holdings Statutory Trust V	7/7/2018		7/7/2028	Derivatives - Liabilities		10,000	4.06	%	4.54	%		510		(996)
Community National Statutory Trust II	9/20/2018		9/20/2028	Derivatives - Liabilities		3,000	5.70	%	5.17	%		153		(309)
Community National Statutory Trust III	9/15//2018		9/15/2028	Derivatives - Liabilities		3,500	5.04	%	4.75	%		177		(360)
Guaranty Bankshares Statutory Trust I	9/15/2018		9/15/2028	Derivatives - Liabilities		4,500	5.04	%	4.75	%		227		(463)
Guaranty Statutory Trust II*	12/15/2005		2/23/2036	Derivatives - Assets		10,310	4.41	%	4.09	%		506		N/A
					$	49,310					$	2,496	$	(3,991)

Changes in the fair value of the underlying derivative contracts

		September 30, 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	$	2,331,961	$	172,860	$	2,024,599	$	221,055
Non-Hedging Interest Rate Derivatives Liabilities:
Interest rate swap contracts	$	2,331,961	$	172,860	$	2,024,599	$	221,055

Interest rate collar

Notes Tables

Schedule of interest rate caps

Fair Value as of

Hedged Item

Effective Date

Maturity Date

Location

Notional Amount

Cap Strike Rate

Floor Strike Rate

September 30, 2022

December 31, 2021

Loans

10/1/2022

10/1/2026

Derivatives - Liabilities

$

50,000

4.40

%

2.44

%

$

(541)

$

N/A