Note 5 - DERIVATIVES AND HEDGING ACTIVITIES (Tables)

6 Months Ended

Jun. 30, 2024

DERIVATIVES AND HEDGING ACTIVITIES

Summary of derivatives

	June 30, 2024		December 31, 2023
	(dollars in thousands)
Assets:
Hedged Derivatives
Cash Flow Hedges
Interest rate caps	$	1,783	$	2,847
Interest rate swaps		2,680		1,689
Fair Value Hedges
Interest rate swaps		1,881		—
Unhedged Derivatives
Interest rate caps		586		951
Interest rate swaps		187,424		181,854
	$	194,354	$	187,341
Liabilities:
Hedged Derivatives
Cash Flow Hedges
Interest rate swaps		(33,906)		(30,407)
Interest rate collars		(468)		(166)
Fair Value Hedges
Interest rate swaps		—		(3,308)
Unhedged Derivatives
Interest rate swaps		(187,424)		(181,854)
	$	(221,798)	$	(215,735)

Summary of impact of AOCI

	Three Months Ended June 30, 2024				Three Months Ended June 30, 2023
	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	$	119,746	$	63,583	$	98,377	$	45,172
The effects of cash flow hedging:
Gain (loss) on interest rate caps on deposits		-		(1,039)		-		(1,875)
Gain (loss) on interest rate swaps on junior subordinated debentures		-		(337)		-		(275)
Gain (loss) on interest rate swaps and collars on loans		(2,987)		-		(2,207)		-
The effects of fair value hedging:
Gain on interest rate swaps on loans		985		-		-		-

	Six Months Ended June 30, 2024				Six Months Ended June 30, 2023
	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	$	234,795	$	123,933	$	192,594	$	82,579
The effects of cash flow hedging:
Gain (loss) on interest rate caps on deposits		-		(2,155)		-		(3,456)
Gain (loss) on interest rate swaps on junior subordinated debentures		-		(673)		-		(502)
Gain (loss) on interest rate swaps and collars on loans		(5,961)		-		(4,262)		-
The effects of fair value hedging:
Gain on interest rate swaps on loans		1,962		-		-		-

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

	June 30, 2024		December 31, 2023
	(dollars in thousands)
Cash	$	34,960	$	51,680
U.S govt. sponsored agency securities		6,262		6,413
Municipal securities		63,824		68,651
Residential mortgage-backed and related securities		21,268		23,358
	$	126,314	$	150,102

Interest rate caps

DERIVATIVES AND HEDGING ACTIVITIES

Schedule of interest rate caps

			Balance Sheet					Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Strike Rate		June 30, 2024		December 31, 2023
(dollars in thousands)
Deposits	1/1/2020	1/1/2024	Derivatives - Assets	$	25,000	1.75	%	$	-	$	(79)
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		50,000	1.57	%		-		-
Deposits	1/1/2020	1/1/2024	Derivatives - Assets		25,000	1.80	%		-		-
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.75	%		443		672
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		50,000	1.57	%		893		1,503
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.80	%		447		751
				$	200,000			$	1,783	$	2,847

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		June 30, 2024		December 31, 2023
(dollars in thousands)
2/1/2020	2/1/2024	Derivatives - Assets	$	25,000	1.90	%	$	-	$	79
3/1/2020	3/3/2025	Derivatives - Assets		25,000	1.90	%		586		872
			$	50,000			$	586	$	951

Interest rate swaps

DERIVATIVES AND HEDGING ACTIVITIES

Schedule of interest rate caps

				Balance Sheet							Fair Value as of
Hedged Item	Effective Date		Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		June 30, 2024		December 31, 2023
		(dollars in thousands)
QCR Holdings Statutory Trust V	7/7/2018		7/7/2028	Derivatives - Assets	$	10,000	7.14	%	4.54	%	$	509	$	335
Community National Statutory Trust III	9/15/2018		9/15/2028	Derivatives - Assets		3,500	7.34	%	4.75	%		182		118
Guaranty Bankshares Statutory Trust I	9/15/2018		9/15/2028	Derivatives - Assets		4,500	7.34	%	4.75	%		234		152
Community National Statutory Trust II	9/20/2018		9/20/2028	Derivatives - Assets		3,000	7.76	%	5.17	%		156		101
QCR Holdings Statutory Trust II	9/30/2018		9/30/2028	Derivatives - Assets		10,000	8.44	%	5.85	%		522		341
QCR Holdings Statutory Trust III	9/30/2018		9/30/2028	Derivatives - Assets		8,000	8.44	%	5.85	%		418		272
Guaranty Statutory Trust II*	5/23/2019		2/23/2026	Derivatives - Assets		10,310	7.03	%	4.09	%		407		370
QCR Holdings Subordinated Note	3/1/2024		2/15/2028	Derivatives - Assets		65,000	5.34	%	4.02	%		252		-
					$	114,310					$	2,680	$	1,689
* Acquired on April 1, 2022 with GFED acquisition.

			Balance Sheet							Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		June 30, 2024		December 31, 2023
(dollars in thousands)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities	$	35,000	1.40	%	5.45	%	$	(5,623)	$	(5,004)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		50,000	1.40	%	5.45	%		(8,033)		(7,149)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		40,000	1.40	%	5.45	%		(6,436)		(5,730)
Loans	10/1/2022	7/1/2031	Derivatives - Liabilities		25,000	1.30	%	5.45	%		(4,047)		(3,696)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		15,000	1.91	%	5.45	%		(977)		(868)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	5.45	%		(3,256)		(2,892)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		35,000	1.91	%	5.45	%		(2,279)		(2,024)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	5.45	%		(3,255)		(3,044)
				$	300,000					$	(33,906)	$	(30,407)

			Balance Sheet							Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		June 30, 2024		December 31, 2023
(dollars in thousands)
Loans	7/12/2023	8/1/2025	Derivatives - Assets		15,000	5.33	%	4.60	%		46		(69)
Loans	7/12/2023	2/1/2026	Derivatives - Assets	$	25,000	5.33	%	4.38	%	$	104	$	(195)
Loans	7/12/2023	2/1/2026	Derivatives - Assets		15,000	5.33	%	4.38	%		62		(117)
Loans	7/12/2023	2/1/2026	Derivatives - Assets		20,000	5.33	%	4.38	%		83		(140)
Loans	7/12/2023	8/1/2026	Derivatives - Assets		30,000	5.33	%	4.21	%		151		(293)
Loans	7/12/2023	8/1/2026	Derivatives - Assets		15,000	5.33	%	4.21	%		76		(146)
Loans	7/12/2023	8/1/2026	Derivatives - Assets		20,000	5.33	%	4.21	%		101		(176)
Loans	7/12/2023	2/1/2027	Derivatives - Assets		32,500	5.33	%	4.08	%		194		(364)
Loans	7/12/2023	2/1/2027	Derivatives - Assets		15,000	5.33	%	4.08	%		90		(168)
Loans	7/12/2023	2/1/2027	Derivatives - Assets		20,000	5.33	%	4.08	%		119		(202)
Loans	7/12/2023	8/1/2027	Derivatives - Assets		32,500	5.33	%	3.98	%		225		(397)
Loans	7/12/2023	8/1/2027	Derivatives - Assets		15,000	5.33	%	3.98	%		104		(183)
Loans	7/12/2023	8/1/2027	Derivatives - Assets		25,000	5.33	%	3.98	%		172		(276)
Loans	7/12/2023	2/1/2028	Derivatives - Assets		30,000	5.33	%	3.90	%		236		(388)
Loans	7/12/2023	2/1/2028	Derivatives - Assets		15,000	5.33	%	3.90	%		118		(194)
				$	325,000					$	1,881	$	(3,308)

Changes in the fair value of the underlying derivative contracts

		June 30, 2024			December 31, 2023
	Notional Amount		Estimated Fair Value		Notional Amount		Estimated Fair Value
	(dollars in thousands)
Non-Hedging Interest Rate Derivatives Assets:
Interest rate swap contracts	$	3,731,140	$	187,424	$	3,308,024	$	181,854
Non-Hedging Interest Rate Derivatives Liabilities:
Interest rate swap contracts	$	3,731,140	$	187,424	$	3,308,024	$	181,854

Interest rate collars

DERIVATIVES AND HEDGING ACTIVITIES

Schedule of interest rate caps

										Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Cap Strike Rate		Floor Strike Rate		June 30, 2024		December 31, 2023
Loans	10/1/2022	10/1/2026	Derivatives - Liabilities	$	50,000	4.40	%	2.44	%	$	(468)	$	(166)