INVESTMENT SECURITIES

3 Months Ended

Mar. 31, 2022

Investments, Debt and Equity Securities [Abstract]

INVESTMENT SECURITIESAt March 31, 2022 and December 31, 2021, all investment securities were classified as AFS. The following table summarizes amortized cost and fair value of investment securities, and the corresponding amounts of gross unrealized gains and losses recognized in AOCI, at March 31, 2022 and December 31, 2021:


	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
March 31, 2022
U.S. Treasury securities	$	20,081	$	—	$	1,543	$	18,538


States and political subdivisions	244,922		1,984		9,346		237,560
GSE residential MBSs	61,239		—		2,010		59,229
GSE residential CMOs	74,023		48		3,044		71,027
Non-agency CMOs	29,832		3		2,832		27,003



Asset-backed	117,805		—		1,835		115,970
Other	403		—		—		403
Totals	$	548,305	$	2,035	$	20,610	$	529,730
December 31, 2021
U.S. Treasury securities	$	20,084	$	—	$	382	$	19,702


States and political subdivisions	185,437		8,606		673		193,370
GSE residential MBSs	41,260		44		578		40,726
GSE residential CMOs	66,430		436		944		65,922
Non-agency CMOs	30,676		—		978		29,698



Asset-backed	122,520		401		300		122,621
Other	399		—		—		399
Totals	$	466,806	$	9,487	$	3,855	$	472,438

The following table summarizes investment securities with unrealized losses at March 31, 2022 and December 31, 2021, aggregated by major investment security type and the length of time in a continuous unrealized loss position.


	Less Than 12 Months					12 Months or More					Total
	# of Securities	Fair Value		Unrealized Losses		# of Securities	Fair Value		Unrealized Losses		# of Securities	Fair Value		Unrealized Losses
March 31, 2022
U.S. Treasury securities	3	$	18,538	$	1,543	—	$	—	$	—	3	$	18,538	$	1,543

States and political subdivisions	30	166,305		9,346		—	—		—		30	166,305		9,346
GSE residential MBSs	14	59,229		2,010		—	—		—		14	59,229		2,010
GSE residential CMOs	12	66,516		2,782		1	3,501		262		13	70,017		3,044
Non-agency CMOs	3	22,303		2,832		—	—		—		3	22,303		2,832



Asset-backed	12	83,667		1,352		3	31,910		483		15	115,577		1,835
Totals	74	$	416,558	$	19,865	4	$	35,411	$	745	78	$	451,969	$	20,610
December 31, 2021
U.S. Treasury securities	3	$	19,702	$	382	—	$	—	$	—	3	$	19,702	$	382


States and political subdivisions	12	45,522		673		—	—		—		12	45,522		673
GSE residential MBSs	9	37,899		578		—	—		—		9	37,899		578
GSE residential CMOs	7	41,163		944		—	—		—		7	41,163		944
Non-agency CMOs	3	24,661		978		—	—		—		3	24,661		978



Asset-backed	3	21,245		138		3	34,180		162		6	55,425		300
Totals	37	$	190,192	$	3,693	3	$	34,180	$	162	40	$	224,372	$	3,855

The Company determines whether unrealized losses are temporary in nature in accordance with FASB ASC 320-10, Investments - Overall, (“FASB ASC 320-10”) and FASB ASC 325-40, Investments – Beneficial Interests in Securitized Financial Assets, when applicable. The evaluation is based upon factors such as the creditworthiness of the underlying borrowers, performance of the underlying collateral, if applicable, and the level of credit support in the security structure. Management also evaluates other factors and circumstances that may be indicative of an OTTI condition. This includes, but is not limited to, an evaluation of the type of security, length of time and extent to which the fair value has been less than cost and near-term prospects of the issuer.

FASB ASC 320-10 requires the Company to assess if an OTTI exists by considering whether the Company has the intent to sell the security or it is more likely than not that it will be required to sell the security before recovery. If either of these situations applies, the guidance requires the Company to record an OTTI charge to earnings on debt securities for the difference between the amortized cost basis of the security and the fair value of the security. If neither of these situations applies, the Company is required to assess whether it is expected to recover the entire amortized cost basis of the security. If the Company is not expected to recover the entire amortized cost basis of the security, the guidance requires the Company to bifurcate the identified OTTI into a credit loss component and a component representing loss related to other factors. A discount rate is applied which equals the effective yield of the security. The difference between the present value of the expected flows and the amortized book value is considered a credit loss, which would be recorded through earnings as an OTTI charge. When a market price is not readily available, the market value of the security is determined using the same expected cash flows; the discount rate is a rate the Company determines from the open market and other sources as appropriate for the security. The difference between the market value and the present value of cash flows expected to be collected is recognized in AOCI on the unaudited condensed consolidated statements of financial condition.

U.S. Treasury Securities. The unrealized losses presented in the table above have been caused by an increase in rates from the time these securities were purchased. Management considers the full faith and credit of the U.S. government in determining whether a security is OTTI. Because the Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell them before recovery of their amortized cost basis, which may be maturity, the Company does not consider these securities to be OTTI at March 31, 2022 or December 31, 2021.

States and Political Subdivisions. The unrealized losses presented in the table above have been caused by a rise in interest rates from the time these securities were purchased. Management considers the investment rating, the state of the issuer of the security and other credit support in determining whether the security is OTTI. Because the Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell them before recovery of their amortized cost basis, which may be maturity, the Company does not consider these securities to be OTTI at March 31, 2022 or December 31, 2021.

GSE Residential CMOs and GSE Residential MBS. The unrealized losses presented in the table above have been caused by a widening of spreads and a rise in interest rates from the time these securities were purchased. The contractual terms of these securities do not permit the issuer to settle the securities at a price less than its par value basis. Because the Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell them before recovery of their amortized cost basis, which may be maturity, the Company does not consider these securities to be OTTI at March 31, 2022 or December 31, 2021.

Non-Agency CMOs. The unrealized losses presented in the table above were caused by a widening of spreads and a rise in interest rates from the time the securities were purchased. Because the Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell them before recovery of their amortized cost basis, which may be maturity, the Company does not consider these securities to be OTTI at March 31, 2022 or December 31, 2021, except for one $14.7 million par value non-agency CMO security. For the three months ended March 31, 2022, the Company had $171 thousand in cumulative OTTI on this non-agency CMO security, which was included in securities gains and losses in the unaudited condensed consolidated statements of income. This security is expected to be called by the issuer in the second quarter of 2022 due to an anticipated default caused by increased prepayment speeds on the underlying collateral.

Asset-backed. The unrealized losses presented in the table above were caused by a widening of spreads from the time the securities were purchased. Management considers the investment rating and other credit support in determining whether a security is OTTI. Because the Company does not intend to sell these securities and it is not more likely than not that the Company will be required to sell them before recovery of their amortized cost basis, which may be maturity, the Company does not consider these securities to be OTTI at March 31, 2022 or December 31, 2021.

The following table summarizes amortized cost and fair value of investment securities by contractual maturity at March 31, 2022. Expected maturities may differ from contractual maturities if borrowers have the right to call or prepay obligations with or without call or prepayment penalties. Securities not due at a single maturity date are shown separately.


	Amortized Cost		Fair Value
Due in one year or less	$	—	$	—
Due after one year through five years	3,376		3,509
Due after five years through ten years	79,079		75,367
Due after ten years	182,951		177,625
CMOs and MBSs	165,094		157,259
Asset-backed	117,805		115,970
Totals	$	548,305	$	529,730

The following table summarizes proceeds from sales of investment securities and gross gains and gross losses for the three months ended March 31, 2022 and 2021:


	Three months ended March 31,
		2022		2021
Proceeds from sale of investment securities		$	3,075	$	75,736
Gross gains		25		1,351
Gross losses		—		1,206

During the three months ended March 31, 2022, net investment security gains, excluding the OTTI charge noted above, of $25 thousand were recorded, compared to net gains of $145 thousand for the three months ended March 31, 2021. During the three months ended March 31, 2022, a partial sale of one security with a principal balance of $3.1 million was sold for proceeds of $3.1 million compared to 14 securities with a principal balance of $75.6 million were sold for proceeds of $75.7 million during the three months ended March 31, 2021. Investment securities with a fair value of $291.0 million and $295.6 million at March 31, 2022 and December 31, 2021, respectively, were pledged to secure public funds and for other purposes as required or permitted by law.