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, 2023
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, 2023 U.S. Government Treasury $ 22,036 $ - $ 1,727 $ - $ 20,309 U.S. Government Agency 160,275 15 11,328 - 148,962 States and Political Subdivisions 46,479 - 6,272 (12) 40,195 Mortgage-Backed Securities (1) 74,556 - 13,954 - 60,602 Corporate Debt Securities 63,871 - 8,115 (31) 55,725 Other Securities (2) 8,259 - - - 8,259 Total $ 375,476 $ 15 $ 41,396 $ (43) $ 334,052 December 31, 2022 U.S. Government Treasury $ 23,977 $ 1 $ 1,928 $ - $ 22,050 U.S. Government Agency 198,888 27 12,863 - 186,052 States and Political Subdivisions 47,197 - 6,855 (13) 40,329 Mortgage-Backed Securities (1) 80,829 2 11,426 - 69,405 Corporate Debt Securities 97,119 19 8,874 (28) 88,236 Other Securities (2) 7,222 - - - 7,222 Total $ 455,232 $ 49 $ 41,946 $ (41) $ 413,294 Held to Maturity Amortized Unrealized Unrealized Fair (Dollars in Thousands) Cost Gains Losses Value September 30, 2023 U.S. Government Treasury $ 457,602 $ - $ 24,452 $ 433,150 Mortgage-Backed Securities (1) 174,474 - 24,976 149,498 Total $ 632,076 $ - $ 49,428 $ 582,648 December 31, 2022 U.S. Government Treasury $ 457,374 $ - $ 25,641 $ 431,733 Mortgage-Backed Securities (1) 203,370 8 22,410 180,968 Total $ 660,744 $ 8 $ 48,051 $ 612,701 (1) Comprised of residential mortgage-backed securities (2) Includes Federal Home Loan Bank and Federal Reserve Bank stock, recorded at cost of $ 3.2 million and $ 5.1 million, respectively, at September 30, 2023 and $ 2.1 million and $ 5.1 million, respectively, at December 31, 2022. At September 30, 2023 and December 31, 2022, the investment portfolio had $ 3.6 million and $ 0.01 million, respectively in equity securities. These securities do not have a readily determinable fair value and were not credit impaired. Securities with an amortized cost of $ 463.6 million and $ 656.1 million at September 30, 2023 and December 31, 2022, 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 statement of financial condition at September 30, 2023 totaled $ 5.3 million. This amount will continue to 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 $ 30.4 million in sales of investment securities for the three and nine months ended September 30, 2023. There were no significant sales of investment securities for the three months ended September 30, 2022 and $ 3.4 million in sales for the nine months ended September 30, 2022. Maturity Distribution . At September 30, 2023, 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 $ 26,628 $ 25,874 $ - $ - Due after one year through five years 132,264 119,087 457,602 433,150 Due after five year through ten years 45,924 37,331 - - Mortgage-Backed Securities 74,556 60,602 174,474 149,498 U.S. Government Agency 87,845 82,899 - - Other Securities 8,259 8,259 - - Total $ 375,476 $ 334,052 $ 632,076 $ 582,648 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, 2023 Available for Sale U.S. Government Treasury $ - $ - $ 19,318 $ 1,727 $ 19,318 $ 1,727 U.S. Government Agency 11,833 89 134,243 11,239 146,076 11,328 States and Political Subdivisions 835 26 37,981 6,246 38,816 6,272 Mortgage-Backed Securities 91 1 60,492 13,953 60,583 13,954 Corporate Debt Securities - - 55,756 8,115 55,756 8,115 Total $ 12,759 $ 116 $ 307,790 $ 41,280 $ 320,549 $ 41,396 Held to Maturity U.S. Government Treasury - - 433,150 24,452 433,150 24,452 Mortgage-Backed Securities 998 38 148,500 24,938 149,498 24,976 Total $ 998 $ 38 $ 581,650 $ 49,390 $ 582,648 $ 49,428 December 31, 2022 Available for Sale U.S. Government Treasury $ 983 $ - $ 19,189 $ 1,928 $ 20,172 $ 1,928 U.S. Government Agency 63,112 2,572 113,004 10,291 176,116 12,863 States and Political Subdivisions 1,425 2 38,760 6,853 40,185 6,855 Mortgage-Backed Securities 6,594 959 60,458 10,467 67,052 11,426 Corporate Debt Securities 26,959 878 58,601 7,996 85,560 8,874 Total $ 99,073 $ 4,411 $ 290,012 $ 37,535 $ 389,085 $ 41,946 Held to Maturity U.S. Government Treasury 177,552 11,018 254,181 14,623 431,733 25,641 Mortgage-Backed Securities 88,723 6,814 91,462 15,596 180,185 22,410 Total $ 266,275 $ 17,832 $ 345,643 $ 30,219 $ 611,918 $ 48,051 At September 30, 2023, there were 894 positions (combined AFS and HTM) with unrealized losses totaling $ 90.8 million. 86 of these positions are U.S. Treasury bonds and carry the full faith and credit of the U.S. Government. 705 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 effectively zero. The remaining 103 positions (municipal securities and corporate bonds) have a credit component. At September 30, 2023, 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, 2023, corporate debt securities had an allowance for credit losses of $ 31,000 and municipal securities had an allowance of $ 12,000 . 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 effectively 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 no t 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.