SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                               -----------------

                                    FORM 8-K

                                 CURRENT REPORT
                       Pursuant to Section 13 or 15(d) of
                       the Securities Exchange Act of 1934




       Date of Report (Date of earliest event reported): February 19, 2002



                            HFB FINANCIAL CORPORATION
              ----------------------------------------------------
             (Exact name of Registrant as specified in its charter)


         Tennessee                   0-20956                 61-1228266
         ---------                   -------                 ----------
(State or Other Jurisdiction      (Commission             (I.R.S. Employer
      of Incorporation)           File Number)           Identification No.)

               1602 Cumberland Avenue, Middlesboro, Kentucky 40965
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                    (Address of principal executive offices)


                                 (606) 248-1095
                                 --------------
               Registrant's telephone number, including area code


                                 Not Applicable
                                 --------------
          (Former Name or former address, if changed since last report)



Item 8.  Change in Fiscal Year.
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On February 19, 2002, the Board of Directors of HFB Financial  Corporation  (the
"Company") made a determination to change the registrant's  fiscal year end from
June 30 to December  31,  effective  July 1, 2002.  The Company  filed an Annual
Report on Form 10-K with the Securities and Exchange  Commission  with regard to
the 12-month  fiscal year ending June 30,  2001,  on  September  28,  2001,  and
intends to file a Form 10-K for its fiscal year ending  June 30,  2002.  For the
six-month  period  ending  December 31, 2002,  the Company will file a Form 10-K
transition report with the Securities and Exchange Commission. Audited financial
statements  covering the six-month  period ending December 31, 2002 will be part
of the Company's 10-K  transition  filing in March 2003.

Recently,  the Company  converted  from a savings and loan holding  company to a
bank holding company,  and bank holding companies have  historically  utilized a
December  31  year-end.  Management  believes  that in order to  facilitate  the
comparability  of the Company to similar  companies,  it is appropriate to adopt
the reporting period most widely observed with bank holding companies. Moving to
a December 31 year-end  aligns the Company's  financial  reporting with its peer
group and with publicly-held bank holding companies in the United States.



                                   SIGNATURES

     Pursuant to the  requirements  of the Securities  Exchange Act of 1934, the
Registrant has duly caused this report to be signed on behalf by the undersigned
hereunto duly authorized.

                                      HFB FINANCIAL CORPORATION


Date:   March 5, 2002                 By:   /s/ David B. Cook
                                           -------------------------------------
                                           David B. Cook
                                           President and Chief Executive Officer
                                           (Duly Authorized Representative)