Capital City Bank Group, Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

INVESTMENT SECURITIES

INVESTMENT SECURITIES	9 Months Ended
INVESTMENT SECURITIES	Sep. 30, 2022
Investments Securities [Abstract]
Investment securities	NOTE 2 – INVESTMENT SECURITIES Investment Portfolio Composition . The following table summarizes the amortized cost and related fair value of investment securities available-for-sale (“AFS”) and securities held-to-maturity (“HTM”) and the corresponding amounts of gross unrealized gains and losses. Available for Sale Amortized Unrealized Unrealized Allowance for Fair (Dollars in Thousands) Cost Gains Losses Credit Losses Value September 30, 2022 U.S. Government Treasury $ 21,140 $ - $ 2,082 $ - $ 19,058 U.S. Government Agency 206,631 85 13,572 - 193,144 States and Political Subdivisions 47,249 - 7,008 (13) 40,228 Mortgage-Backed Securities (1) 82,879 2 12,583 - 70,298 Corporate Debt Securities 96,421 28 9,730 (28) 86,691 Other Securities (2) 7,326 - - - 7,326 Total $ 461,646 $ 115 $ 44,975 $ (41) $ 416,745 December 31, 2021 U.S. Government Treasury $ 190,409 $ 65 $ 2,606 $ - $ 187,868 U.S. Government Agency 238,490 1,229 2,141 - 237,578 States and Political Subdivisions 47,762 44 811 (15) 46,980 Mortgage-Backed Securities (1) 89,440 27 598 - 88,869 Corporate Debt Securities 87,537 10 1,304 (21) 86,222 Other Securities (2) 7,094 - - - 7,094 Total $ 660,732 $ 1,375 $ 7,460 $ (36) $ 654,611 Held to Maturity Amortized Unrealized Unrealized Fair (Dollars in Thousands) Cost Gains Losses Value September 30, 2022 U.S. Government Treasury $ 462,302 $ - $ 27,585 $ 434,717 Mortgage-Backed Securities (1) 213,876 10 24,975 188,911 Total $ 676,178 $ 10 $ 52,560 $ 623,628 December 31, 2021 U.S. Government Treasury $ 115,499 $ - $ 1,622 $ 113,877 Mortgage-Backed Securities (1) 224,102 2,819 1,099 225,822 Total $ 339,601 $ 2,819 $ 2,721 $ 339,699 (1) Comprised of residential mortgage-backed securities (2) Includes Federal Home Loan Bank and Federal Reserve Bank stock, recorded at cost of $ 2.3 million and $ 5.0 million, respectively, at September 30, 2022 and $ 2.0 million and $ 5.1 million, respectively, at December 31, 2021. At September 30, 2022, the investment portfolio had $ 1.3 million in equity securities. These securities do not have a readily determinable fair value and were not credit impaired. Securities with an amortized cost of $ 469.2 million and $ 463.8 million at September 30, 2022 and December 31, 2021, respectively, were pledged to secure public deposits and for other purposes. The Bank, as a member of the Federal Home Loan Bank of Atlanta (“FHLB”), is required to own capital stock in the FHLB based generally upon the balances of residential and commercial real estate loans and FHLB advances. FHLB stock, which is included in other securities, is pledged to secure FHLB advances. No ready market exists for this stock, and it has no quoted fair value; however, redemption of this stock has historically been at par value. As a member of the Federal Reserve Bank of Atlanta, the Bank is required to maintain stock in the Federal Reserve Bank of Atlanta based on a specified ratio relative to the Bank’s capital. Federal Reserve Bank stock is carried at cost. During the third quarter of 2022, the Company transferred certain securities from the AFS to HTM classification. Transfers are made at fair value on the date of the transfer. The 33 securities had an amortized cost basis and fair value of $ 168.4 million and $ 159.0 million, respectively at the time of transfer. The net unamortized, unrealized loss on the transferred securities included in accumulated other comprehensive loss in the accompanying balance sheet at September 30, 2022 totaled $ 8.8 million. This amount will be amortized out of accumulated other comprehensive loss over the remaining life of the underlying securities as an adjustment of the yield on those securities. Investment Sales. There were no significant sales of investment securities for the three or nine months ended September 30, 2022 or September 30, 2021. Maturity Distribution . At September 30, 2022, the Company’s investment securities had the following maturity distribution based on contractual maturity. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations. Mortgage-backed securities (“MBS”) and certain amortizing U.S. government agency securities are shown separately because they are not due at a certain maturity date. Available for Sale Held to Maturity (Dollars in Thousands) Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 39,283 $ 35,743 $ - $ - Due after one year through five years 151,355 138,505 462,302 434,717 Due after five year through ten years 54,076 44,031 - - Mortgage-Backed Securities 82,879 70,298 213,876 188,911 U.S. Government Agency 126,727 120,842 - - Other Securities 7,326 7,326 - - Total $ 461,646 $ 416,745 $ 676,178 $ 623,628 Unrealized Losses on Investment Securities. The following table summarizes the available for sale investment securities with unrealized losses aggregated by major security type and length of time in a continuous unrealized loss position: Less Than Greater Than 12 Months 12 Months Total Fair Unrealized Fair Unrealized Fair Unrealized (Dollars in Thousands) Value Losses Value Losses Value Losses September 30, 2022 Available for Sale U.S. Government Treasury $ - $ - $ 19,058 $ 2,082 $ 19,058 $ 2,082 U.S. Government Agency 69,249 3,367 110,295 10,205 179,544 13,572 States and Political Subdivisions 5,831 736 34,410 6,272 40,241 7,008 Mortgage-Backed Securities 25,953 4,076 44,278 8,507 70,231 12,583 Corporate Debt Securities 33,827 1,211 48,927 8,519 82,754 9,730 Total 134,860 9,390 256,968 35,585 391,828 44,975 Held to Maturity U.S. Government Treasury 205,334 12,813 229,383 14,772 434,717 27,585 Mortgage-Backed Securities 108,405 10,634 79,302 14,341 187,707 24,975 Total $ 313,739 $ 23,447 $ 308,685 $ 29,113 $ 622,424 $ 52,560 December 31, 2021 Available for Sale U.S. Government Treasury $ 172,206 $ 2,606 $ - $ - $ 172,206 $ 2,606 U.S. Government Agency 127,484 1,786 17,986 355 145,470 2,141 States and Political Subdivisions 42,122 811 - - 42,122 811 Mortgage-Backed Securities 81,832 598 - - 81,832 598 Corporate Debt Securities 69,354 1,304 - - 69,354 1,304 Total $ 492,998 $ 7,105 $ 17,986 $ 355 $ 510,984 $ 7,460 Held to Maturity U.S. Government Treasury 113,877 1,622 - - 113,877 1,622 Mortgage-Backed Securities 115,015 1,099 - - 115,015 1,099 Total $ 228,892 $ 2,721 $ - $ - $ 228,892 $ 2,721 At September 30, 2022, there were 897 positions (combined AFS and HTM) with unrealized losses totaling $ 97.5 million. 87 of these positions are U.S. Treasury bonds and carry the full faith and credit of the U.S. Government. 682 are U.S. government agency securities issued by U.S. government sponsored entities. We believe the long history of no credit losses on government securities indicates that the expectation of nonpayment of the amortized cost basis is zero. The remaining 128 positions (municipal securities and corporate bonds) have a credit component. At September 30, 2022, all collateralized mortgage obligation securities (“CMO”), MBS, Small Business Administration securities (“SBA”), U.S. Agency, and U.S. Treasury bonds held were AAA rated. At September 30, 2022, corporate debt securities had an allowance for credit losses of $ 28,000 and municipal securities had an allowance of $ 13,000 . Credit Quality Indicators The Company monitors the credit quality of its investment securities through various risk management procedures, including the monitoring of credit ratings. A majority of the debt securities in the Company’s investment portfolio were issued by a U.S. government entity or agency and are either explicitly or implicitly guaranteed by the U.S. government. The Company believes the long history of no credit losses on these securities indicates that the expectation of nonpayment of the amortized cost basis is zero, even if the U.S. government were to technically default. Further, certain municipal securities held by the Company have been pre- refunded and secured by government guaranteed treasuries. Therefore, for the aforementioned securities, the Company does not assess or record expected credit losses due to the zero loss assumption. The Company monitors the credit quality of its municipal and corporate securities portfolio via credit ratings which are updated on a quarterly basis. On a quarterly basis, municipal and corporate securities in an unrealized loss position are evaluated to determine if the loss is attributable to credit related factors and if an allowance for credit loss is needed.