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INVESTMENT SECURITIES

9 Months Ended

Sep. 30, 2021

Debt and Equity Securities [Abstract]

NOTE 5 – INVESTMENT SECURITIES

Investment Securities Available for Sale

The amortized cost, gross unrealized gains and losses recorded in other comprehensive (loss) income, ACL, estimated fair value, and weighted-average yield of investment securities available for sale by contractual maturities as of September 30, 2021 were as follows:

		September 30, 2021
		Amortized cost						ACL		Fair value
				Gross Unrealized								Weighted-
				gains		losses						average yield%
(Dollars in thousands)

U.S. Treasury securities:
	After 1 to 5 years	$	88,234	$	-	$	347	$	-	$	87,887	0.50

U.S. government-sponsored
	agencies' obligations:
	After 1 to 5 years		1,771,629		565		7,896		-		1,764,298	0.60
	After 5 to 10 years		494,941		268		7,825		-		487,384	0.86
	After 10 years		16,696		243		-		-		16,939	0.63

Puerto Rico government obligations:
	After 10 years (1)		3,680		-		478		308		2,894	-

United States and Puerto Rico
	government obligations		2,375,180		1,076		16,546		308		2,359,402	0.66

Mortgage-backed securities ("MBS"):
Freddie Mac (“FHLMC”) certificates:
	After 1 to 5 years		1,507		69		-		-		1,576	2.25
	After 5 to 10 years		133,601		3,023		232		-		136,392	1.57
	After 10 years		1,364,820		5,902		20,123		-		1,350,599	1.15
			1,499,928		8,994		20,355		-		1,488,567	1.18

Ginnie Mae (“GNMA”) certificates:
	Due within one year		3		-		-		-		3	1.79
	After 1 to 5 years		18,823		772		-		-		19,595	2.91
	After 5 to 10 years		30,149		158		119		-		30,188	0.49
	After 10 years		380,890		9,941		1,454		-		389,377	1.35
			429,865		10,871		1,573		-		439,163	1.36
Fannie Mae (“FNMA”) certificates:
	Due within one year		5,014		40		-		-		5,054	2.07
	After 1 to 5 years		21,646		559		-		-		22,205	2.85
	After 5 to 10 years		239,743		4,515		528		-		243,730	1.43
	After 10 years		1,547,907		13,111		17,854		-		1,543,164	1.22
			1,814,310		18,225		18,382		-		1,814,153	1.27
Collateralized mortgage obligations
	issued or guaranteed by the FHLMC,				`
	FNMA and GNMA:
	After 1 to 5 years		272		-		-		-		272	0.75
	After 5 to 10 years		40,202		114		494		-		39,822	1.09
	After 10 years		544,865		616		5,955		-		539,526	1.20
			585,339		730		6,449		-		579,620	1.19
Private label:
	After 10 years		10,709		-		2,286		849		7,574	2.12
Total MBS			4,340,151		38,820		49,045		849		4,329,077	1.24

Other
	Due within one year		500		-		-		-		500	0.72
	After 1 to 5 years		500		-		-		-		500	0.84
			1,000		-		-		-		1,000	0.78

Total investment securities
	available for sale	$	6,716,331	$	39,896	$	65,591	$	1,157	$	6,689,479	1.04


(1)	Consist of a residential pass-through MBS issued by the Puerto Rico Housing Finance Authority (“PRHFA”) that is collateralized by certain second mortgages originated under a program launched by the Puerto Rico government in 2010. During the second quarter of 2021, the Corporation placed this instrument in nonaccrual status based on the delinquency status of the underlying second mortgage loans collateral.

The amortized cost, gross unrealized gains and losses recorded in other comprehensive income (loss), ACL, estimated fair value, and weighted-average yield of investment securities available for sale by contractual maturities as of December 31, 2020 were as follows:

		December 31, 2020
		Amortized cost		Gross Unrealized				ACL		Fair value
				Gross Unrealized								Weighted-
				gains		losses						average yield%

(Dollars in thousands)

U.S. Treasury securities:
	Due within one year	$	7,498	$	9	$	-	$	-	$	7,507	1.65

U.S. government-sponsored
	agencies' obligations:
	Due within one year		24,413		273		-		-		24,686	1.95
	After 1 to 5 years		691,668		911		290		-		692,289	0.57
	After 5 to 10 years		441,454		821		347		-		441,928	0.83
	After 10 years		21,413		-		149		-		21,264	0.65

Puerto Rico government obligations:
	After 10 years (1)		3,987		-		780		308		2,899	6.97
United States and Puerto Rico
	government obligations		1,190,433		2,014		1,566		308		1,190,573	0.72

MBS:
FHLMC certificates:
	After 1 to 5 years		75		8		-		-		83	4.86
	After 5 to 10 years		60,773		2,850		-		-		63,623	2.15
	After 10 years		1,070,984		15,340		159		-		1,086,165	1.38
			1,131,832		18,198		159		-		1,149,871	1.42
GNMA certificates:
	Due within one year		1		-		-		-		1	1.93
	After 1 to 5 years		26,918		1,080		-		-		27,998	2.91
	After 5 to 10 years		40,727		128		69		-		40,786	0.42
	After 10 years		614,584		16,271		148		-		630,707	1.27
			682,230		17,479		217		-		699,492	1.29
FNMA certificates:
	After 1 to 5 years		24,812		891		-		-		25,703	2.81
	After 5 to 10 years		110,832		5,783		-		-		116,615	2.13
	After 10 years		1,154,707		23,459		203		-		1,177,963	1.53
			1,290,351		30,133		203		-		1,320,281	1.61
Collateralized mortgage obligations issued or
	guaranteed by the FHLMC, FNMA
	and GNMA:
	After 1 to 5 years		538		-		1		-		537	0.81
	After 5 to 10 years		18,438		152		-		-		18,590	0.80
	After 10 years		258,069		1,019		491		-		258,597	1.56
			277,045		1,171		492		-		277,724	1.51
Private label:
	After 10 years		12,310		-		2,880		1,002		8,428	2.25
Total MBS			3,393,768		66,981		3,951		1,002		3,455,796	1.47

Other
	After 1 to 5 years		650		-		-		-		650	2.94
Total investment securities
	available for sale	$	4,584,851	$	68,995	$	5,517	$	1,310	$	4,647,019	1.28


(1)	Consist of a residential pass-through MBS issued by the PRHFA that is collateralized by certain second mortgages originated under a program launched by the Puerto Rico government in 2010.

Maturities of MBS are based on the period of final contractual maturity. Expected maturities of investments might differ from contractual maturities because they may be subject to prepayments and/or call options. The weighted-average yield on investment securities available for sale is based on amortized cost and, therefore, does not give effect to changes in fair value. The net unrealized gain or loss on securities available for sale is presented as part of other comprehensive income (loss).

The following tables show the fair value and gross unrealized losses of the Corporation’s available-for-sale investment securities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, as of September 30, 2021 and December 31, 2020. The tables also include debt securities for which an ACL was recorded.

	As of September 30, 2021
	Less than 12 months				12 months or more				Total
			Unrealized				Unrealized				Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
(In thousands)
Debt securities:
Puerto Rico-government obligations	$	-	$	-	$	2,894	$	478	$	2,894	$	478
U.S. Treasury and U.S. government
agenciesʼ obligations		2,018,246		15,805		47,550		263		2,065,796		16,068
MBS:
FNMA		1,384,133		18,063		10,582		319		1,394,715		18,382
FHLMC		1,130,514		20,355		-		-		1,130,514		20,355
GNMA		108,272		1,573		-		-		108,272		1,573
Collateralized mortgage obligations
issued or guaranteed by the
FHLMC, FNMA and GNMA		427,088		6,052		21,102		397		448,190		6,449
Private label MBS		-		-		7,574		2,286		7,574		2,286
	$	5,068,253	$	61,848	$	89,702	$	3,743	$	5,157,955	$	65,591


	As of December 31, 2020
	Less than 12 months				12 months or more				Total
			Unrealized				Unrealized				Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
(In thousands)
Debt securities:
Puerto Rico-government obligations	$	-	$	-	$	2,899	$	780	$	2,899	$	780
U.S. Treasury and U.S. government
agenciesʼ obligations		425,155		621		23,377		165		448,532		786
MBS:
FNMA		93,509		203		-		-		93,509		203
FHLMC		89,292		159		-		-		89,292		159
GNMA		70,504		217		-		-		70,504		217
Collateralized mortgage obligations
issued or guaranteed by the
FHLMC, FNMA and GNMA		104,500		410		9,761		82		114,261		492
Private label MBS		-		-		8,428		2,880		8,428		2,880
	$	782,960	$	1,610	$	44,465	$	3,907	$	827,425	$	5,517

During the first nine months of 2020, proceeds from sales of available-for-sale investment securities amounted to $1.1 billion, including gross realized gains of $13.5 million and gross unrealized losses of $0.1 million. The $13.4 million net gain on tax-exempt securities, which were realized at the tax-exempt international banking entity subsidiary, had no effect in the income tax expense recorded for the first nine months of 2020. There were no sales of securities available for sale during the first nine months of 2021.

Assessment for Credit Losses

Debt securities issued by U.S. government agencies, U.S. government-sponsored entities (“GSEs”), and the U.S. Treasury, including notes and MBS, accounted for approximately 99% of the total available-for-sale portfolio as of September 30, 2021, and the Corporation expects no credit losses on these securities, given the explicit and implicit guarantees provided by the U.S. federal government. Because the decline in fair value is attributable to changes in interest rates, and not credit quality, and because the Corporation does not have the intent to sell these U.S. government and agencies debt securities and it is likely that it will not be required to sell the securities before their anticipated recovery, the Corporation does not consider impairments on these securities to be credit related as of September 30, 2021. The Corporation’s credit loss assessment was concentrated mainly on private label MBS, and on Puerto Rico government debt securities, for which credit losses are evaluated on a quarterly basis. The Corporation considered the following factors in determining whether a credit loss existed and the period over which the debt security was expected to recover:

 Any adverse change to the credit conditions and liquidity of the issuer, taking into consideration the latest information available about the financial condition of the issuer, credit ratings, the failure of the issuer to make scheduled principal or interest payments, recent legislation and government actions affecting the issuer’s industry; and actions taken by the issuer to deal with the present economic climate;

 Changes in the near-term prospects of the underlying collateral for a security, if any, such as changes in default rates, loss severity given default, and significant changes in prepayment assumptions; and

 The level of cash flows generated from the underlying collateral, if any, supporting the principal and interest payments of the debt securities.

The Corporation’s available-for-sale MBS portfolio included private label MBS with a fair value of $7.6 million, which had unrealized losses of approximately $3.1 million as of September 30, 2021, of which $0.8 million is due to credit deterioration and is part of the ACL. The interest rate on these private-label MBS is variable, tied to 3-month LIBOR and limited to the weighted-average coupon on the underlying collateral. The underlying collateral is fixed-rate, single-family residential mortgage loans in the United States with original FICO scores over 700 and moderate loan-to-value ratios (under 80%), as well as moderate delinquency levels. As of September 30, 2021, the Corporation did not have the intent to sell these securities and determined that it was likely that it will not be required to sell the securities before anticipated recovery. The Corporation determined the ACL for private label MBS based on a risk-adjusted discounted cash flow methodology that considers the structure and terms of the instruments. The Corporation utilized probability of default (“PDs”) and loss given default (“LGDs”) that considered, among other things, historical payment performance, loan-to-value attributes and relevant current and forward-looking macroeconomic variables, such as regional unemployment rates and the housing price index. Under this approach, all future cash flows (interest and principal) from the underlying collateral loans, adjusted by prepayments and the PDs and LGDs, were discounted at the effective interest rate as of the reporting date. Significant assumptions in the valuation of the private label MBS were as follows:

	As of			As of
	September 30, 2021			December 31, 2020
	Weighted	Range		Weighted	Range
	Average	Minimum	Maximum	Average	Minimum	Maximum

Discount rate	12.7%	12.7%	12.7%	12.2%	12.2%	12.2%
Prepayment rate	15.8%	4.8%	24.1%	12.1%	1.2%	18.8%
Projected Cumulative Loss Rate	9.6%	0.2%	18.6%	10.2%	2.6%	22.3%

The Corporation evaluates if a credit loss exists, primarily by monitoring adverse variances in the present value of expected cash flows. As of September 30, 2021, the ACL for these private label MBS was $0.8 million, relatively flat compared to $1.0 million as of December 31, 2020.

As of September 30, 2021, the Corporation’s available-for-sale investment securities portfolio also included a residential pass-through MBS issued by the PRHFA, collateralized by certain second mortgages, with a fair value of $2.9 million, which had an unrealized loss of approximately $0.8 million. Approximately $0.3 million of the unrealized losses were due to credit deterioration and is part of the ACL. The underlying second mortgage loans were originated under a program launched by the Puerto Rico government in 2010. This residential pass-through MBS was structured as a zero-coupon bond for the first ten years (up to July 2019). The underlying source of repayment on this residential pass-through MBS is second mortgage loans in Puerto Rico. PRHFA, not the Puerto Rico government, provides a guarantee in the event of default and subsequent foreclosure of the properties underlying the second mortgage loans. During the second quarter of 2021, the Corporation placed this instrument in nonaccrual status based on the delinquency status of the underlying second mortgage loans collateral. The Corporation determined the ACL on this instrument based on a risk-adjusted discounted cash flow methodology that considered the structure and terms of the underlying collateral. The Corporation utilized PDs and LGDs that considered, among other things, historical payment performance, loan-to value attributes and relevant current and forward-looking macroeconomic variables, such as regional unemployment rates, the housing price index and expected recovery from the PRHFA guarantee. Under this approach, all future cash flows (interest and principal) from the underlying collateral loans, adjusted by prepayments and the PDs and LGDs, were discounted at the internal rate of return as of the reporting date and compared to the amortized cost. In the event that the second mortgage loans default and the collateral is insufficient to satisfy the outstanding balance of this residential pass-through MBS, PRHFA’s ability to honor its insurance will depend on, among other factors, the financial condition of PRHFA at the time such obligation becomes due and payable. Further deterioration of the Puerto Rico economy or fiscal health of the PRHFA could impact the value of these securities, resulting in additional losses to the Corporation. As of September 30, 2021, the Corporation did not have the intent to sell this security and determined that it was likely that it will not be required to sell the security before its anticipated recovery.

Accrued interest receivable on available-for-sale debt securities totaled $10.9 million as of September 30, 2021 ($8.5 million as of December 31, 2020) and is excluded from the estimate of credit losses.

The following table presents a rollforward by major security type for the quarters and nine-month periods ended September 30, 2021 and 2020 of the ACL on debt securities available-for-sale:

	Quarter Ended September 30, 2021
	Private label MBS		Puerto Rico Government Obligations		Total
	Private label MBS		Puerto Rico Government Obligations		Total

(In thousands)
Beginning Balance	$	858	$	308	$	1,166
Provision for credit losses - (benefit)		(9)		-		(9)
ACL on debt securities available-for-sale	$	849	$	308	$	1,157

	Quarter Ended September 30, 2020
	Private label MBS		Puerto Rico Government Obligations		Total
	Private label MBS		Puerto Rico Government Obligations		Total

(In thousands)
Beginning Balance	$	1,323	$	308	$	1,631
Net charge-offs		(245)		-		(245)
ACL on debt securities available-for-sale	$	1,078	$	308	$	1,386

	Nine-Month Period Ended September 30, 2021
	Private label MBS		Puerto Rico Government Obligations		Total
	Private label MBS		Puerto Rico Government Obligations		Total

(In thousands)
Beginning Balance	$	1,002	$	308	$	1,310
Provision for credit losses - (benefit)		(136)		-		(136)
Net charge-offs		(17)		-		(17)
ACL on debt securities available-for-sale	$	849	$	308	$	1,157

	Nine-Month Period Ended September 30, 2020
	Private label MBS		Puerto Rico Government Obligations		Total
	Private label MBS		Puerto Rico Government Obligations		Total

(In thousands)
Beginning Balance	$	-	$	-	$	-
Provision for credit losses		1,323		308		1,631
Net charge-offs		(245)		-		(245)
ACL on debt securities available-for-sale	$	1,078	$	308	$	1,386

Investments Held to Maturity

The amortized cost, gross unrecognized gains and losses, estimated fair value, ACL, weighted-average yield and contractual maturities of investment securities held to maturity as of September 30, 2021 and December 31, 2020 were as follows:

		September 30, 2021
		Amortized cost						Fair value		ACL
				Gross Unrecognized
				Gains		Losses						Weighted- average yield%
(Dollars in thousands)
Puerto Rico municipal bonds:
	Due within one year	$	2,993	$	8	$	19	$	2,982	$	59	5.39
	After 1 to 5 years		14,667		615		178		15,104		268	2.36
	After 5 to 10 years		90,377		1,939		1,470		90,846		3,013	4.26
	After 10 years		69,768		-		8,262		61,506		4,977	4.07
Total investment securities
	held to maturity	$	177,805	$	2,562	$	9,929	$	170,438	$	8,317	4.05

		December 31, 2020
		Amortized cost						Fair value		ACL
				Gross Unrecognized
				Gains		Losses						Weighted- average yield%
(Dollars in thousands)
Puerto Rico municipal bonds:
	Due within one year	$	556	$	7	$	-	$	563	$	-	5.41
	After 1 to 5 years		17,297		561		305		17,553		576	3.00
	After 5 to 10 years		88,394		1,388		3,146		86,636		4,401	4.66
	After 10 years		83,241		-		14,187		69,054		3,868	3.57
Total investment securities
	held to maturity	$	189,488	$	1,956	$	17,638	$	173,806	$	8,845	4.03

The following tables show the Corporation’s held-to-maturity investments’ fair value and gross unrecognized losses, aggregated by investment category and length of time that individual securities had been in a continuous unrecognized loss position, as of September 30, 2021 and December 31, 2020, including debt securities for which an ACL was recorded:

	As of September 30, 2021
	Less than 12 months				12 months or more				Total
			Unrecognized				Unrecognized				Unrecognized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
(In thousands)
Debt securities:
Puerto Rico municipal bonds	$	-	$	-	$	117,787	$	9,929	$	117,787	$	9,929


	As of December 31, 2020
	Less than 12 months				12 months or more				Total
			Unrecognized				Unrecognized				Unrecognized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
(In thousands)
Debt securities:
Puerto Rico municipal bonds	$	28,252	$	1,611	$	116,216	$	16,027	$	144,468	$	17,638

The Corporation determines the ACL of Puerto Rico municipal bonds based on the product of a cumulative PD and LGD, and the amortized cost basis of the bonds over their remaining expected life as described in Note 1 – Nature of Business and Summary of Significant Accounting Policies in the audited consolidated financial statements included in the 2020 Annual Report on Form 10-K.

The Corporation performs periodic credit quality reviews on these issuers. All Puerto Rico municipal bonds were current as to scheduled contractual payments as of September 30, 2021. The Puerto Rico municipal bonds had an ACL of $8.3 million as of September 30, 2021, down $0.5 million from $8.8 million as of December 31, 2020. The decrease was mainly related to improvements in forecasted macroeconomic variables and the repayment of certain bonds during the nine-month period ended September 30, 2021, partially offset by changes in some issuers’ financial metrics based on their most recent financial statements. According to Corporation’s policy, accrued interest receivable on held-to-maturity debt securities that totaled $1.7 million as of September 30, 2021 ($3.6 million as of December 31, 2020), was excluded from the estimate of credit losses.

The following table presents the activity in the ACL for debt securities held to maturity by major security type for the quarters and nine-month periods ended September 30, 2021 and 2020:

		Puerto Rico Municipal Bonds
		Quarter Ended		Quarter Ended
		September 30, 2021		September 30, 2020

(In thousands)
Beginning Balance		$	10,685	$	9,268
Initial allowance on purchases with credit deterioration
	("PCD") debt securities		-		1,269
Provision for credit losses - (benefit)			(2,368)		(361)
		$	8,317	$	10,176

During the second quarter of 2019, the oversight board established by PROMESA announced the designation of Puerto Rico’s 78 municipalities as covered instrumentalities under PROMESA. Municipalities may be affected by the negative economic and other effects resulting from expense, revenue or cash management measures taken by the Puerto Rico government to address its fiscal situation, or measures included in fiscal plans of other government entities, and, more recently, by the effect of the COVID-19 pandemic on the Puerto Rico and global economy. Given the uncertain effect of the negative fiscal situation of the Puerto Rico central government, the COVID-19 pandemic, and the measures taken, or to be taken, by other government entities in response to the COVID-19 pandemic on municipalities, the Corporation cannot be certain whether future charges to the ACL on these securities will be required.

From time to time, the Corporation has securities held to maturity with an original maturity of three months or less that are considered cash and cash equivalents and are classified as money market investments in the consolidated statements of financial condition. As of September 30, 2021 and December 31, 2020, the Corporation had no outstanding securities held to maturity that were classified as cash and cash equivalents.

Credit Quality Indicators:

The held-to-maturity investment securities portfolio consisted of financing arrangements with Puerto Rico municipalities issued in bond form, which are accounted for as securities, but are underwritten as loans with features that are typically found in commercial loans. Accordingly, the Corporation monitors the credit quality of Puerto Rico municipal bonds held-to-maturity through the use of internal credit-risk ratings, which are generally updated on a quarterly basis. The Corporation considers a debt security held-to-maturity as a criticized asset if its risk rating is Special Mention, Substandard, Doubtful or Loss. Puerto Rico municipal bonds that do not meet the criteria for classification as criticized assets are considered to be pass-rated securities. The asset categories are defined below:

Pass – Assets classified as pass have a well-defined primary source of repayment, with no apparent risk, strong financial position, minimal operating risk, profitability, liquidity and strong capitalization.

Special Mention – Special Mention assets have potential weaknesses that deserve management’s close attention. If left uncorrected, these potential weaknesses may result in deterioration of the repayment prospects for the asset or in the Corporation’s credit position at some future date. Special Mention assets are not adversely classified and do not expose the Corporation to sufficient risk to warrant adverse classification.

Substandard – Substandard assets are inadequately protected by the current sound worth and paying capacity of the obligor or of the collateral pledged, if any. Assets so classified must have a well-defined weakness or weaknesses that jeopardize the liquidation of the debt. They are characterized by the distinct possibility that the institution will sustain some loss if the deficiencies are not corrected.

Doubtful – Doubtful classifications have all the weaknesses inherent in those classified Substandard with the added characteristic that the weaknesses make collection or liquidation in full highly questionable and improbable, based on currently known facts, conditions and values. A Doubtful classification may be appropriate in cases where significant risk exposures are perceived, but loss cannot be determined because of specific reasonable pending factors, which may strengthen the credit in the near term.

Loss – Assets classified Loss are considered uncollectible and of such little value that their continuance as bankable assets is not warranted. This classification does not mean that the asset has absolutely no recovery or salvage value, but rather that it is not practical or desirable to defer writing off this asset even though partial recovery may occur in the future. There is little or no prospect for near term improvement and no realistic strengthening action of significance pending.

The Corporation periodically reviews its assets to evaluate if they are properly classified, and to determine impairment, if any. The frequency of these reviews will depend on the amount of the aggregate outstanding debt, and the risk rating classification of the obligor.

The Corporation has a Loan Review Group that reports directly to the Corporation’s Risk Management Committee and administratively to the Chief Risk Officer. The Loan Review Group performs annual comprehensive credit process reviews of the Bank’s commercial loan portfolios, including the above-mentioned Puerto Rico municipal bonds accounted for as held-to-maturity securities. This group evaluates the credit risk profile of portfolios, including the assessment of the risk rating representative of the current credit quality of the assets, and the evaluation of collateral documentation, if applicable. The monitoring performed by this group contributes to the assessment of compliance with credit policies and underwriting standards, the determination of the current level of credit risk, the evaluation of the effectiveness of the credit management process and the identification of any deficiency that may arise in the credit-granting process. Based on its findings, the Loan Review Group recommends corrective actions, if necessary, that help in maintaining a sound credit process. The Loan Review Group reports the results of the credit process reviews to the Risk Management Committee.

The following table summarizes the amortized cost of the Puerto Rico municipal bonds, which are the Corporation’s only debt securities held-to-maturity, as of September 30, 2021 and December 31, 2020 aggregated by credit quality indicator:

	Held to Maturity
	Puerto Rico Municipal Bonds
	September 30,		December 31
(In thousands)	2021		2020
Risk Ratings:
Pass	$	177,805	$	189,488
Criticized:
Special Mention		-		-
Substandard		-		-
Doubtful		-		-
Loss		-		-
Total	$	177,805	$	189,488

No held-to-maturity debt securities were on nonaccrual status, 90 days past due and still accruing, or past due as of September 30, 2021 and December 31, 2020. A security is considered to be past due once it is 30 days contractually past due under the terms of the agreement.