Note 4 - DERIVATIVES AND HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2023

Notes Tables

Summary of derivatives

	September 30, 2023		December 31, 2022
	(dollars in thousands)
Assets:
Hedged Derivatives
Cash Flow Hedges
Interest rate caps	$	5,196	$	8,327
Interest rate swaps		3,334		477
Fair Value Hedges
Interest rate swaps		3,977		—
Unhedged Derivatives
Interest rate caps		1,533		2,213
Interest rate swaps		277,255		166,614
	$	291,295	$	177,631
Liabilities:
Hedged Derivatives
Cash Flow Hedges
Interest rate swaps		(42,095)		(33,824)
Interest rate collars		(870)		(263)
Unhedged Derivatives
Interest rate swaps		(277,255)		(166,614)
	$	(320,220)	$	(200,701)

Summary of impact of AOCI

	Three Months Ended September 30, 2023				Three Months Ended September 30, 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	$	108,568	$	53,313	$	79,267	$	18,498
The effects of cash flow hedging:
Gain on interest rate caps on deposits		-		(2,066)		-		(263)
Gain on interest rate swaps on junior subordinated debentures		-		(328)		-		73
Loss on interest rate swaps and collars on loans		(2,495)		-		(426)		-
The effects of fair value hedging:
Gain on interest rate swaps on loans		828		-		-		-

	Nine Months Ended September 30, 2023				Nine Months Ended September 30, 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	$	301,162	$	135,892	$	198,534	$	32,632
The effects of cash flow hedging:
Gain on interest rate caps on deposits		-		(5,522)		-		199
Gain on interest rate swaps on junior subordinated debentures		-		(830)		-		536
Loss on interest rate swaps and collars on loans		(6,757)		-		715		-
The effects of fair value hedging:
Gain on interest rate swaps on loans		828		-		-		-

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

	September 30, 2023		December 31, 2022
	(dollars in thousands)
Cash	$	1,275	$	1,272
Municipal securities		3,945		8,227
Residential mortgage-backed and related securities		5,778		29,257
	$	10,998	$	38,756

Interest rate caps

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, 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	%		157		714
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		50,000	1.57	%		474		1,566
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.80	%		237		783
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.75	%		1,010		1,264
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		50,000	1.57	%		2,212		2,700
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.80	%		1,106		1,350
				$	225,000			$	5,196	$	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		September 30, 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	%		310		822
3/1/2020	3/3/2025	Derivatives - Assets		25,000	1.90	%		1,223		1,388
			$	75,000			$	1,533	$	2,213

Interest rate swaps

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, 2023		December 31, 2022
		(dollars in thousands)
QCR Holdings Statutory Trust II	9/30/2018		9/30/2028	Derivatives - Assets	$	10,000	8.51	%	5.85	%	$	710	$	464
QCR Holdings Statutory Trust III	9/30/2018		9/30/2028	Derivatives - Assets		8,000	8.51	%	5.85	%		568		372
QCR Holdings Statutory Trust V	7/7/2018		7/7/2028	Derivatives - Assets		10,000	7.12	%	4.54	%		691		459
Community National Statutory Trust II	9/20/2018		9/20/2028	Derivatives - Assets		3,000	7.83	%	5.17	%		212		140
Community National Statutory Trust III	9/15/2018		9/15/2028	Derivatives - Assets		3,500	7.42	%	4.75	%		247		163
Guaranty Bankshares Statutory Trust I	9/15/2018		9/15/2028	Derivatives - Assets		4,500	7.42	%	4.75	%		318		209
Guaranty Statutory Trust II*	5/23/2019		2/23/2026	Derivatives - Assets		10,310	7.09	%	4.09	%		588		477
					$	49,310					$	3,334	$	2,284
* Acquired on 4/1/2022 with GFED acquisition.

			Balance Sheet							Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		September 30, 2023		December 31, 2022
(dollars in thousands)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities	$	35,000	1.40	%	5.31	%	$	(6,776)	$	(5,646)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		50,000	1.40	%	5.31	%		(9,680)		(8,066)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		40,000	1.40	%	5.31	%		(7,755)		(6,464)
Loans	10/1/2022	7/1/2031	Derivatives - Liabilities		25,000	1.30	%	5.31	%		(4,877)		(4,018)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		15,000	1.91	%	5.31	%		(1,301)		(1,144)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	5.31	%		(4,335)		(3,812)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		35,000	1.91	%	5.31	%		(3,035)		(2,669)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	5.31	%		(4,336)		(3,812)
				$	300,000					$	(42,095)	$	(35,631)

			Balance Sheet							Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		September 30, 2023		December 31, 2022
(dollars in thousands)
Loans	7/12/2023	2/1/2026	Derivatives - Assets	$	25,000	5.31	%	4.38	%	$	204	$	N/A
Loans	7/12/2023	8/1/2026	Derivatives - Assets		30,000	5.31	%	4.21	%		304		N/A
Loans	7/12/2023	2/1/2027	Derivatives - Assets		32,500	5.31	%	4.08	%		409		N/A
Loans	7/12/2023	8/1/2027	Derivatives - Assets		32,500	5.31	%	3.98	%		488		N/A
Loans	7/12/2023	2/1/2028	Derivatives - Assets		30,000	5.31	%	3.90	%		532		N/A
Loans	7/12/2023	2/1/2026	Derivatives - Assets		15,000	5.31	%	4.38	%		123		N/A
Loans	7/12/2023	8/1/2026	Derivatives - Assets		15,000	5.31	%	4.21	%		152		N/A
Loans	7/12/2023	2/1/2027	Derivatives - Assets		15,000	5.31	%	4.08	%		189		N/A
Loans	7/12/2023	8/1/2027	Derivatives - Assets		15,000	5.31	%	3.98	%		225		N/A
Loans	7/12/2023	2/1/2028	Derivatives - Assets		15,000	5.31	%	3.90	%		267		N/A
Loans	7/12/2023	8/1/2025	Derivatives - Assets		15,000	5.31	%	4.60	%		90		N/A
Loans	7/12/2023	2/1/2026	Derivatives - Assets		20,000	5.31	%	4.38	%		163		N/A
Loans	7/12/2023	8/1/2026	Derivatives - Assets		20,000	5.31	%	4.21	%		203		N/A
Loans	7/12/2023	2/1/2027	Derivatives - Assets		20,000	5.31	%	4.08	%		252		N/A
Loans	7/12/2023	8/1/2027	Derivatives - Assets		25,000	5.31	%	3.98	%		376		N/A
				$	325,000					$	3,977	$	N/A

Changes in the fair value of the underlying derivative contracts

		September 30, 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	$	2,967,392	$	277,255	$	2,528,949	$	166,614
Non-Hedging Interest Rate Derivatives Liabilities:
Interest rate swap contracts	$	2,967,392	$	277,255	$	2,528,949	$	166,614

Interest rate collars

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, 2023		December 31, 2022
Loans	10/1/2022	10/1/2026	Derivatives - Liabilities	$	50,000	4.40	%	2.44	%	$	(870)	$	(263)