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Note 7 - Investments, Held to Maturity ("HTM")

3 Months Ended

Mar. 31, 2024

Investments in Debt Securities, Held to Maturity [Text Block]

NOTE 7 - INVESTMENTS, HELD TO MATURITY ("HTM")

HTM securities are recorded at amortized cost. The amortized cost, gross unrealized gains, gross unrealized losses, and fair values of HTM securities at the dates indicated were as follows:

March 31, 2024

Dollars in thousands

Amortized Cost

Gross Unrealized Gains

Gross Unrealized Losses

Fair Value

US Treasury Bonds

23,904

—

(249

)

23,655

FHLB Bond

1,000

—

)

998

Student Loan Pools

15,995

392

—

16,387

SBA Bonds

10,282

378

—

10,660

Taxable Municipal Bonds

965

—

(32

)

933

MBS

106,939

385

(5,019

)

102,305

Total HTM Securities

159,085

1,155

(5,302

)

154,938

	December 31, 2023
Dollars in thousands		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
US Treasury Bonds	$	23,874	$	—	$	(278	)	$	23,596
FHLB Bond		1,000		—		—			1,000
Student Loan Pools		16,881		278		—			17,159
SBA Bonds		11,305		493		—			11,798
Taxable Municipal Bonds		962		—		(28	)		934
MBS		109,050		96		(5,093	)		104,053
Total HTM Securities	$	163,072	$	867	$	(5,399	)	$	158,540

At March 31, 2024, the amortized cost and fair value of HTM securities that were pledged as collateral for certain deposit accounts, FHLB advances and FRB and other borrowings were $104.0 million and $100.3 million, compared to an amortized cost and fair value of $107.5 million and $103.8 million at December 31, 2023 respectively.

At March 31, 2024, HTM securities had a combined book value of $159.1 million and an average book yield of 4.81%, which was calculated by multiplying the carrying value of each HTM security by its yield and dividing the sum by the total carrying value. The following table includes a summary of the amortized cost and average book yield of HTM securities by contractual maturity at March 31, 2024. Since MBS do not have fixed maturity dates, they are disclosed separately.

Dollars in thousands		Carrying Value	Average Book Yield
HTM Securities:
Due in one year or less	$	11,991	2.94	%
Due after one year through five years		14,957	3.78	%
Due after five years through ten years		5,268	7.11	%
Due after ten years		19,930	7.10	%
MBS		106,939	4.62	%
Total HTM Securities	$	159,085	4.81	%

The following tables show gross unrealized losses, fair value, and length of time that individual HTM investment securities have been in a continuous unrealized loss position at the dates indicated.

	*March 31, 2024*
	*Less than 12 Months*					*12 Months or More*					*Total*
Dollars in thousands		*Fair Value*		*Unrealized Losses*			*Fair Value*		*Unrealized Losses*			*Fair Value*		*Unrealized Losses*
US Treasury Bonds	$	—	$	—		$	23,655	$	(249	)	$	23,655	$	(249	)
FHLB Bond		998		(2	)		—		—			998		(2	)
Taxable Municipal Bonds		—		—			933		(32	)		933		(32	)
MBS		3,023		(44	)		56,505		(4,975	)		59,528		(5,019	)
	$	4,021	$	(46	)	$	81,093	$	(5,256	)	$	85,114	$	(5,302	)

	December 31, 2023
	Less than 12 Months					12 Months or More					Total
Dollars in thousands		Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
US Treasury Bonds	$	—	$	—		$	23,596	$	(278	)	$	23,596	$	(278	)
Taxable Municipal Bonds		—		—			934		(28	)		934		(28	)
MBS		40,732		(458	)		58,731		(4,635	)		99,463		(5,093	)
	$	40,732	$	(458	)	$	83,261	$	(4,941	)	$	123,993	$	(5,399	)

At March 31, 2024 and December 31, 2023, 49 and 55 individual HTM securities were in a loss position, including 43 and 42 securities that were in a loss position for greater than 12 months, respectively. The Company believes, based on industry analyst reports and credit ratings, that the deterioration in value was attributable to changes in market interest rates and was not in the credit quality of the issuer. The Company has the ability and intent to hold these securities to maturity.

The estimate of expected credit losses on HTM securities is primarily based on the ratings assigned to the securities by debt rating agencies and the average of the annual historical loss rates associated with those ratings. The Company then multiplies those loss rates, as adjusted for any modifications to reflect current conditions and reasonable and supportable forecasts as considered necessary, by the remaining lives of each individual security to arrive at a lifetime expected loss amount. Additionally, private label CMO securities which are not explicitly or implicitly guaranteed by the U.S. government are evaluated utilizing underlying pool data such as historical loss rates, loan-to-value ratios and credit enhancement data.

At March 31, 2024, the Company held an amortized cost and fair value of $14.1 million and $13.8 million in HTM private label CMO securities, compared to an amortized cost and fair value of $14.6 million and $14.3 million at December 31, 2023, respectively. All MBS issued by government-sponsored corporations are either explicitly or implicitly guaranteed by the U.S. government, are highly rated by major rating agencies and have a long history of no credit losses. The state and local governments securities held by the Company are highly rated by major rating agencies.

As a result of the analysis, the allowance for credit losses for HTM securities was not considered to be material as of March 31, 2024 . The following table summarizes the amortized cost and credit ratings of our HTM securities that were considered to have greater than zero percent credit loss probability at March 31, 2024 .

Dollars in thousands	*Amortized Cost*
Taxable Municipal Bond
AA	$	965
Total Taxable Municipal Bond	$	965
Private Label MBS
AAA	$	7,260
A		1,566
Not Rated		3,634
Total Private Label MBS	$	12,460

As of March 31, 2024, there were no HTM debt securities that were classified as either nonaccrual or 90 days or more past due and still accruing. Accrued interest receivable on HTM debt securities totaled $883,000 at March 31, 2024 and was excluded from the estimate of credit losses.