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NOTE 4 - DERIVATIVES AND HEDGING ACTIVITIES (Tables) | 6 Months Ended
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Jun. 30, 2021
Notes Tables |
Summary of derivatives | ​
​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | June 30, 2021 |  | December 31, 2020
​ | ​ | (dollars in thousands)
Assets: | ​ | ​ | ​ | ​ | ​ | ​
Interest rate caps - hedged | ​ | $ | 613 | ​ | $ | 259
Interest rate caps | ​ |  | 158 | ​ |  | 67
Interest rate swaps - hedged | ​ | ​ | 1,490 | ​ | ​ | —
Interest rate swaps | ​ |  | 191,134 | ​ |  | 222,431
​ | ​ | $ | 193,395 | ​ | $ | 222,757
​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities: | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swaps - hedged | ​ | $ | (4,958) | ​ | $ | (6,839)
Interest rate swaps | ​ | ​ | (191,134) | ​ | ​ | (222,431)
​ | ​ | $ | (196,092) | ​ | $ | (229,270)
​ | ​ | ​ | ​ | ​ | ​ | ​
Schedule of hedged interest rate swaps and non-hedged interest rate swaps are collateralized by investment securities with carrying values | ​
​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | June 30, 2021 | ​ | December 31, 2020
​ | ​ | (dollars in thousands)
​ | ​ | ​ | ​ | ​ | ​ | ​
Cash | ​ | $ | 22,660 | ​ | $ | 45,719
U.S govt. sponsored agency securities | ​ | ​ | 3,612 | ​ | ​ | 3,628
Municipal securities | ​ | ​ | 85,895 | ​ | ​ | 85,937
Residential mortgage-backed and related securities | ​ |  | 78,733 | ​ |  | 89,646
​ | ​ | $ | 190,900 | ​ | $ | 224,930
​ | ​ | ​ | ​ | ​ | ​ | ​
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 | ​ | June 30, 2021 | ​ | ​ | December 31, 2020 | ​ | ​
(dollars in thousands) | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Deposits | ​ | 1/1/2020 | ​ | 1/1/2023 | ​ | Derivatives - Assets | ​ | $ | 25,000 | ​ | 1.75 | % | ​ | $ | 3 | ​ | ​ | $ | 3 | ​ | ​
Deposits | ​ | 1/1/2020 | ​ | 1/1/2023 | ​ | Derivatives - Assets | ​ | ​ | 50,000 | ​ | 1.57 | ​ | ​ | ​ | 8 | ​ | ​ | ​ | 5 | ​ | ​
Deposits | ​ | 1/1/2020 | ​ | 1/1/2023 | ​ | Derivatives - Assets | ​ | ​ | 25,000 | ​ | 1.80 | ​ | ​ | ​ | 3 | ​ | ​ | ​ | 3 | ​ | ​
Deposits | ​ | 1/1/2020 | ​ | 1/1/2024 | ​ | Derivatives - Assets | ​ | ​ | 25,000 | ​ | 1.75 | ​ | ​ | ​ | 35 | ​ | ​ | ​ | 15 | ​ | ​
Deposits | ​ | 1/1/2020 | ​ | 1/1/2024 | ​ | Derivatives - Assets | ​ | ​ | 50,000 | ​ | 1.57 | ​ | ​ | ​ | 73 | ​ | ​ | ​ | 31 | ​ | ​
Deposits | ​ | 1/1/2020 | ​ | 1/1/2024 | ​ | Derivatives - Assets | ​ | ​ | 25,000 | ​ | 1.80 | ​ | ​ | ​ | 37 | ​ | ​ | ​ | 15 | ​ | ​
Deposits | ​ | 1/1/2020 | ​ | 1/1/2025 | ​ | Derivatives - Assets | ​ | ​ | 25,000 | ​ | 1.75 | ​ | ​ | ​ | 110 | ​ | ​ | ​ | 46 | ​ | ​
Deposits | ​ | 1/1/2020 | ​ | 1/1/2025 | ​ | Derivatives - Assets | ​ | ​ | 50,000 | ​ | 1.57 | ​ | ​ | ​ | 229 | ​ | ​ | ​ | 94 | ​ | ​
Deposits | ​ | 1/1/2020 | ​ | 1/1/2025 | ​ | Derivatives - Assets | ​ | ​ | 25,000 | ​ | 1.80 | ​ | ​ | ​ | 115 | ​ | ​ | ​ | 47 | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | 300,000 | ​ | ​ | ​ | ​ | $ | 613 | ​ | ​ | $ | 259 | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
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, 2021 | ​ | ​ | December 31, 2020 | ​ | ​
​ | ​ | (dollars in thousands) | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 1/1/2020 | ​ | 1/1/2023 | ​ | Derivatives - Assets | ​ | $ | 25,000 | ​ | 1.90 | % | ​ | $ | 3 | ​ | ​ | $ | 2 | ​ | ​
​ | ​ | 2/1/2020 | ​ | 2/1/2024 | ​ | Derivatives - Assets | ​ | ​ | 25,000 | ​ | 1.90 | ​ | ​ | ​ | 35 | ​ | ​ | ​ | 15 | ​ | ​
​ | ​ | 3/1/2020 | ​ | 3/1/2025 | ​ | Derivatives - Assets | ​ | ​ | 25,000 | ​ | 1.90 | ​ | ​ | ​ | 120 | ​ | ​ | ​ | 50 | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | 75,000 | ​ | ​ | ​ | ​ | $ | 158 | ​ | ​ | $ | 67 | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
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 | ​ | ​ | June 30, 2021 | ​ | December 31, 2020
(dollars in thousands)
QCBT - Loans |  | 7/1/2021 | ​ | 7/1/2031 | ​ | Derivatives - Assets |  | ​ | 35,000 | ​ | 1.40 | % | ​ |  | 2.81 | % | ​ | ​ | 351 | ​ | ​ | N/A
CRBT - Loans |  | 7/1/2021 | ​ | 7/1/2031 | ​ | Derivatives - Assets |  | ​ | 50,000 | ​ | 1.40 | % | ​ |  | 2.81 | % | ​ | ​ | 502 | ​ | ​ | N/A
CSB - Loans |  | 7/1/2021 | ​ | 7/1/2031 | ​ | Derivatives - Assets |  | ​ | 40,000 | ​ | 1.40 | % | ​ |  | 2.81 | % | ​ | ​ | 386 | ​ | ​ | N/A
SFCB - Loans |  | 7/1/2021 | ​ | 7/1/2031 | ​ | Derivatives - Assets |  | ​ | 25,000 | ​ | 1.40 | % | ​ |  | 2.81 | % | ​ | ​ | 251 | ​ | ​ | N/A
​ |  |  | ​ | ​ | ​ | ​ |  | $ | 150,000 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | 1,490 | ​ | $ | N/A
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | Balance Sheet | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Fair Value as of
Hedged Item | ​ | Effective Date | ​ | Maturity Date | ​ | Location | ​ | Notional Amount | ​ | Receive Rate | ​ | ​ | Pay Rate | ​ | June 30, 2021 | ​ | December 31, 2020
(dollars in thousands)
QCR Holdings Statutory Trust II |  | 9/30/2018 | ​ | 9/30/2028 | ​ | Derivatives - Liabilities |  | ​ | 10,000 | ​ | 3.00 | % | ​ |  | 5.85 | % | ​ | ​ | (1,282) | ​ | ​ | (1,767)
QCR Holdings Statutory Trust III |  | 9/30/2018 | ​ | 9/30/2028 | ​ | Derivatives - Liabilities |  | ​ | 8,000 | ​ | 3.00 | % | ​ |  | 5.85 | % | ​ | ​ | (1,025) | ​ | ​ | (1,414)
QCR Holdings Statutory Trust V |  | 7/7/2018 | ​ | 7/7/2028 | ​ | Derivatives - Liabilities |  | ​ | 10,000 | ​ | 1.74 | % | ​ |  | 4.54 | % | ​ | ​ | (1,246) | ​ | ​ | (1,721)
Community National Statutory Trust II |  | 9/20/2018 | ​ | 9/20/2028 | ​ | Derivatives - Liabilities |  | ​ | 3,000 | ​ | 2.30 | % | ​ |  | 5.17 | % | ​ | ​ | (383) | ​ | ​ | (529)
Community National Statutory Trust III |  | 9/15//2018 | ​ | 9/15/2028 | ​ | Derivatives - Liabilities |  | ​ | 3,500 | ​ | 1.87 | % | ​ |  | 4.75 | % | ​ | ​ | (447) | ​ | ​ | (616)
Guaranty Bankshares Statutory Trust I |  | 9/15/2018 | ​ | 9/15/2028 | ​ | Derivatives - Liabilities |  | ​ | 4,500 | ​ | 1.87 | % | ​ |  | 4.75 | % | ​ | ​ | (575) | ​ | ​ | (792)
​ |  |  | ​ | ​ | ​ | ​ |  | $ | 39,000 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | $ | (4,958) | ​ | $ | (6,839)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Changes in the fair value of the underlying derivative contracts | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | June 30, 2021 | ​ | December 31, 2020
​ | ​ | ​ | Notional Amount | ​ | Estimated Fair Value | ​ | Notional Amount | ​ | Estimated Fair Value
​ | ​ | ​ | (dollars in thousands)
Non-Hedging Interest Rate Derivatives Assets: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swap contracts | ​ | ​ | $ | 3,149,265 | ​ | $ | 191,134 | ​ | $ | 1,539,602 | ​ | $ | 222,431
Non-Hedging Interest Rate Derivatives Liabilities: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swap contracts | ​ | ​ | $ | 3,149,265 | ​ | $ | 191,134 | ​ | $ | 1,539,602 | ​ | $ | 222,431

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