Note 5 - DERIVATIVES AND HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2024

DERIVATIVES AND HEDGING ACTIVITIES

Summary of derivatives

	September 30, 2024		December 31, 2023
	(dollars in thousands)
Assets:
Hedged Derivatives
Cash Flow Hedges
Interest rate caps	$	753	$	2,847
Interest rate collars		62		—
Interest rate swaps		958		1,689
Unhedged Derivatives
Cash Flow Hedges
Swaptions		4,086		—
Fair Value Hedges
Interest rate caps		314		951
Interest rate swaps		255,740		181,854
	$	261,913	$	187,341
Liabilities:
Hedged Derivatives
Cash Flow Hedges
Interest rate swaps	$	(25,060)	$	(30,407)
Interest rate collars		—		(166)
Fair Value Hedges
Interest rate swaps		(4,969)		(3,308)
Unhedged Derivatives
Interest rate swaps		(255,740)		(181,854)
	$	(285,769)	$	(215,735)

Summary of impact of AOCI

	Three Months Ended September 30, 2024				Three Months Ended September 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	$	125,420	$	65,698	$	108,568	$	53,313
The effects of cash flow hedging:
Gain on interest rate caps on deposits		-		(1,029)		-		(2,066)
Gain on interest rate swaps on junior subordinated debentures		-		(339)		-		(328)
Loss on interest rate swaps and collars on loans		(3,000)		-		(2,495)		-
The effects of fair value hedging:
Gain on interest rate swaps on loans		968		-		828		-

	Nine Months Ended September 30, 2024				Nine Months Ended September 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	$	360,215	$	189,631	$	301,162	$	135,892
The effects of cash flow hedging:
Gain on interest rate caps on deposits		-		(3,184)		-		(5,522)
Gain on interest rate swaps on junior subordinated debentures		-		(1,012)		-		(830)
Loss on interest rate swaps and collars on loans		(8,961)		-		(6,757)		-
The effects of fair value hedging:
Gain on interest rate swaps on loans		2,930		-		828		-

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

	September 30, 2024		December 31, 2023
	(dollars in thousands)
Cash	$	94,100	$	51,680
U.S. govt. sponsored agency securities		6,571		6,413
Municipal securities		156,358		68,651
Residential mortgage-backed and related securities		19,855		23,358
	$	276,884	$	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		September 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	%		188		672
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		50,000	1.57	%		376		1,503
Deposits	1/1/2020	1/1/2025	Derivatives - Assets		25,000	1.80	%		189		751
				$	200,000			$	753	$	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		September 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	%		314		872
			$	50,000			$	314	$	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		September 30, 2024		December 31, 2023
		(dollars in thousands)
QCR Holdings Statutory Trust V	7/7/2018		7/7/2028	Derivatives - Assets	$	10,000	5.37	%	4.54	%	$	190	$	335
Community National Statutory Trust III	9/15/2018		9/15/2028	Derivatives - Assets		3,500	6.96	%	4.75	%		87		118
Guaranty Bankshares Statutory Trust I	9/15/2018		9/15/2028	Derivatives - Assets		4,500	6.96	%	4.75	%		68		152
Community National Statutory Trust II	9/20/2018		9/20/2028	Derivatives - Assets		3,000	7.25	%	5.17	%		58		101
QCR Holdings Statutory Trust II	9/30/2018		9/30/2028	Derivatives - Assets		10,000	7.72	%	5.85	%		194		341
QCR Holdings Statutory Trust III	9/30/2018		9/30/2028	Derivatives - Assets		8,000	7.72	%	5.85	%		155		272
Guaranty Statutory Trust II*	5/23/2019		2/23/2026	Derivatives - Assets		10,310	6.81	%	4.09	%		206		370
QCR Holdings Subordinated Note	3/1/2024		2/15/2028	Derivatives - Liabilities		65,000	5.34	%	4.02	%		(1,582)		-
					$	114,310					$	(624)	$	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		September 30, 2024		December 31, 2023
(dollars in thousands)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities	$	35,000	1.40	%	5.33	%	$	(4,167)	$	(5,004)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		50,000	1.40	%	5.33	%		(5,952)		(7,149)
Loans	7/1/2021	7/1/2031	Derivatives - Liabilities		40,000	1.40	%	5.33	%		(4,772)		(5,730)
Loans	10/1/2022	7/1/2031	Derivatives - Liabilities		25,000	1.30	%	5.33	%		(3,005)		(3,696)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		15,000	1.91	%	5.33	%		(558)		(868)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	5.33	%		(1,861)		(2,892)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		35,000	1.91	%	5.33	%		(1,303)		(2,024)
Loans	4/1/2022	4/1/2027	Derivatives - Liabilities		50,000	1.91	%	5.33	%		(1,860)		(3,044)
				$	300,000					$	(23,478)	$	(30,407)

			Balance Sheet							Fair Value as of
Hedged Item	Effective Date	Maturity Date	Location	Notional Amount		Receive Rate		Pay Rate		September 30, 2024		December 31, 2023
(dollars in thousands)
Loans	7/12/2023	8/1/2025	Derivatives - Assets	$	15,000	5.15	%	4.60	%	$	(83)	$	(69)
Loans	7/12/2023	2/1/2026	Derivatives - Assets		25,000	5.15	%	4.38	%		(252)		(195)
Loans	7/12/2023	2/1/2026	Derivatives - Assets		15,000	5.15	%	4.38	%		(151)		(117)
Loans	7/12/2023	2/1/2026	Derivatives - Assets		20,000	5.15	%	4.38	%		(202)		(140)
Loans	7/12/2023	8/1/2026	Derivatives - Assets		30,000	5.15	%	4.21	%		(413)		(293)
Loans	7/12/2023	8/1/2026	Derivatives - Assets		15,000	5.15	%	4.21	%		(207)		(146)
Loans	7/12/2023	8/1/2026	Derivatives - Assets		20,000	5.15	%	4.21	%		(276)		(176)
Loans	7/12/2023	2/1/2027	Derivatives - Assets		32,500	5.15	%	4.08	%		(539)		(364)
Loans	7/12/2023	2/1/2027	Derivatives - Assets		15,000	5.15	%	4.08	%		(249)		(168)
Loans	7/12/2023	2/1/2027	Derivatives - Assets		20,000	5.15	%	4.08	%		(332)		(202)
Loans	7/12/2023	8/1/2027	Derivatives - Assets		32,500	5.15	%	3.98	%		(606)		(397)
Loans	7/12/2023	8/1/2027	Derivatives - Assets		15,000	5.15	%	3.98	%		(280)		(183)
Loans	7/12/2023	8/1/2027	Derivatives - Assets		25,000	5.15	%	3.98	%		(466)		(276)
Loans	7/12/2023	2/1/2028	Derivatives - Assets		30,000	5.15	%	3.90	%		(609)		(388)
Loans	7/12/2023	2/1/2028	Derivatives - Assets		15,000	5.15	%	3.90	%		(304)		(194)
				$	325,000					$	(4,969)	$	(3,308)

Changes in the fair value of the underlying derivative contracts

		September 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	$	3,898,579	$	255,740	$	3,308,024	$	181,854
Non-Hedging Interest Rate Derivatives Liabilities:
Interest rate swap contracts	$	3,898,579	$	255,740	$	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		September 30, 2024		December 31, 2023
Loans	10/1/2022	10/1/2026	Derivatives - Liabilities	$	50,000	4.40	%	2.44	%	$	62	$	(166)

Swaptions

DERIVATIVES AND HEDGING ACTIVITIES

Changes in the fair value of the underlying derivative contracts

							Fair Value as of
Effective Date	Maturity Date	Location	Notional Amount		Strike Rate		September 30, 2024		December 31, 2023
(dollars in thousands)
7/30/2024	7/30/2025	Derivatives - Assets	$	77,600	2.13	%	$	317		N/A
7/30/2024	7/30/2025	Derivatives - Assets		33,100	2.63	%		390		N/A
7/30/2024	7/30/2025	Derivatives - Assets		28,254	2.64	%		342		N/A
7/30/2024	7/30/2025	Derivatives - Assets		66,247	2.14	%		278		N/A
7/30/2024	1/29/2026	Derivatives - Assets		20,750	2.62	%		384		N/A
7/30/2024	1/29/2026	Derivatives - Assets		41,700	2.12	%		335		N/A
7/30/2024	1/30/2026	Derivatives - Assets		36,546	2.14	%		301		N/A
7/30/2024	1/30/2026	Derivatives - Assets		18,453	2.64	%		350		N/A
7/30/2024	7/30/2026	Derivatives - Assets		16,100	2.63	%		385		N/A
7/30/2024	7/30/2026	Derivatives - Assets		29,800	2.13	%		348		N/A
7/30/2024	7/30/2026	Derivatives - Assets		25,971	2.14	%		309		N/A
7/30/2024	7/30/2026	Derivatives - Assets		14,280	2.64	%		347		N/A
			$	408,801			$	4,086		N/A