Note 4 - DERIVATIVES AND HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2023

Notes Tables

Summary of derivatives

	March 31, 2023		December 31, 2022
	(dollars in thousands)
Assets:
Interest rate caps - hedged	$	6,714	$	8,327
Interest rate caps		1,786		2,213
Interest rate swaps - hedged		1,484		477
Interest rate swaps		120,366		166,614
	$	130,350	$	177,631
Liabilities:
Interest rate collars - hedged	$	(57)	$	(263)
Interest rate swaps - hedged		(29,978)		(33,824)
Interest rate swaps		(120,366)		(166,614)
	$	(150,401)	$	(200,701)

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

	March 31, 2023		December 31, 2022
	(dollars in thousands)
Cash	$	1,661	$	1,272
Municipal securities		3,954		8,227
Residential mortgage-backed and related securities		5,987		29,257
	$	11,602	$	38,756

Summary of impact of AOCI

	Three Months Ended March 31, 2023				Three Months Ended March 31, 2022
	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	$	94,217	$	37,407	$	51,062	$	5,329
The effects of cash flow hedging:
Gain (loss) on cash flow hedges:
Interest rate caps on deposits		-		(1,581)		-		221
Interest rate swaps and collars on variable rate loans		(2,055)		-		471		-
Interest rate swaps on junior subordinated debentures		-		(227)		-		267

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, 2023		December 31, 2022
(dollars in thousands)
Deposits	1/1/2020	1/1/2023	Derivatives - Assets	$	25,000	1.75	%	$	-	$	(50)
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.75	%		515		714
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		50,000	1.57	%		1,191		1,566
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.80	%		596		783
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.75	%		1,032		1,264
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		50,000	1.57	%		2,253		2,700
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.80	%		1,127		1,350
				$	225,000			$	6,714	$	8,327

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, 2023		December 31, 2022
(dollars in thousands)
1/1/2020	1/3/2023	Derivatives - Assets	$	25,000	1.90	%	$	-	$	3
2/1/2020	2/1/2024	Derivatives - Assets		25,000	1.90	%		635		822
3/1/2020	3/3/2025	Derivatives - Assets		25,000	1.90	%		1,151		1,388
			$	75,000			$	1,786	$	2,213

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, 2023		December 31, 2022
(dollars in thousands)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities	$	35,000	1.40	%	4.86	%	$	(4,809)	$	(5,646)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		50,000	1.40	%	4.86	%		(6,871)		(8,066)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		40,000	1.40	%	4.86	%		(5,508)		(6,464)
Loans	10/1/2022	7/1/2031	Derivatives - Liabilities		25,000	1.30	%	4.87	%		(3,403)		(4,018)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		15,000	1.91	%	4.86	%		(939)		(1,144)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	4.86	%		(3,129)		(3,812)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		35,000	1.91	%	4.86	%		(2,190)		(2,669)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	4.86	%		(3,129)		(3,812)
				$	300,000					$	(29,978)	$	(35,631)

				Balance Sheet							Fair Value as of
Hedged Item	Effective Date		Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		March 31, 2023		December 31, 2022
		(dollars in thousands)
QCR Holdings Statutory Trust II	9/30/2018		9/30/2028	Derivatives - Assets	$	10,000	7.60	%	5.85	%	$	279	$	464
QCR Holdings Statutory Trust III	9/30/2018		9/30/2028	Derivatives - Assets		8,000	7.60	%	5.85	%		223		372
QCR Holdings Statutory Trust V	7/7/2018		7/7/2028	Derivatives - Assets		10,000	6.38	%	4.54	%		279		459
Community National Statutory Trust II	9/20/2018		9/20/2028	Derivatives - Assets		3,000	7.13	%	5.17	%		83		140
Community National Statutory Trust III	9/15//2018		9/15/2028	Derivatives - Assets		3,500	6.62	%	4.75	%		96		163
Guaranty Bankshares Statutory Trust I	9/15/2018		9/15/2028	Derivatives - Assets		4,500	6.62	%	4.75	%		124		209
Guaranty Statutory Trust II*	5/23/2019		2/23/2026	Derivatives - Assets		10,310	6.37	%	4.09	%		400		477
					$	49,310					$	1,484	$	2,284

*Acquired on 4/1/2022 with GFED acquisition.

Changes in the fair value of the underlying derivative contracts

		March 31, 2023			December 31, 2022
	Notional Amount		Estimated Fair Value		Notional Amount		Estimated Fair Value
	(dollars in thousands)
Non-Hedging Interest Rate Derivatives Assets:
Interest rate swap contracts	$	2,855,239	$	120,366	$	2,528,949	$	166,614
Non-Hedging Interest Rate Derivatives Liabilities:
Interest rate swap contracts	$	2,855,239	$	120,366	$	2,528,949	$	166,614

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		March 31, 2023		December 31, 2022
Loans	10/1/2022	10/1/2026	Derivatives - Liabilities	$	50,000	4.40	%	2.44	%	$	(57)	$	(263)